mirror of
https://github.com/BrentNeale1/fx-quant.git
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Brent Neale
9c5d55ec46
S7: add RSI floor (RSI<40 = 0% WR) and ATR percentile cap (high-vol regime = worse RR). IS flips from PF 0.68 to 1.52, OOS holds at 1.80. S3: add confluence gate (C>=4) and skip hours 09-10 (0% WR). IS PF 1.06 -> 1.22, OOS PF 1.07 -> 1.23. S9_Filtered: add skip_monday (unreliable Asian ranges after weekend gaps). IS PF 1.10 -> 1.31, OOS holds strong at 2.26. Drop S9/GBP_USD (negative PF across all param combos) and S4F/EUR_AUD (overfit: IS 1.43 collapses to OOS 0.48). 3-strategy portfolio: all PASS generalization, IS PF 1.29, OOS PF 1.55, Gen 1.46. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
128 lines
2.4 KiB
JSON
128 lines
2.4 KiB
JSON
{
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"S7_Tight": {
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"pair": "GBP_JPY",
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"timeframe": "H1",
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"is_metrics": {
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"trades": 23,
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"wr": 69.6,
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"pf": 1.52,
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"sharpe": 2.89,
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"pnl_pips": 207.2,
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"max_dd_pips": -205.7,
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"expectancy": 9.01
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},
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"oos_metrics": {
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"trades": 15,
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"wr": 73.3,
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"pf": 1.8,
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"sharpe": 3.96,
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"pnl_pips": 200.1,
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"max_dd_pips": -73.5,
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"expectancy": 13.34
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},
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"generalization": {
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"composite": 1.272,
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"detail": {
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"wr": 1.053,
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"pf": 1.184,
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"expectancy": 1.481,
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"sharpe": 1.37
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},
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"verdict": "PASS"
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}
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},
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"S9_Filtered": {
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"pair": "GBP_AUD",
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"timeframe": "H1",
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"is_metrics": {
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"trades": 42,
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"wr": 59.5,
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"pf": 1.31,
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"sharpe": 1.89,
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"pnl_pips": 299.5,
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"max_dd_pips": -393.2,
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"expectancy": 7.13
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},
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"oos_metrics": {
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"trades": 9,
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"wr": 66.7,
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"pf": 2.26,
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"sharpe": 5.45,
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"pnl_pips": 217.8,
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"max_dd_pips": -49.6,
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"expectancy": 24.19
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},
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"generalization": {
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"composite": 1.712,
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"detail": {
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"wr": 1.121,
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"pf": 1.725,
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"expectancy": 2.0,
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"sharpe": 2.0
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},
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"verdict": "PASS"
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}
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},
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"S3": {
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"pair": "GBP_JPY",
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"timeframe": "H1",
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"is_metrics": {
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"trades": 84,
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"wr": 53.6,
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"pf": 1.22,
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"sharpe": 1.26,
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"pnl_pips": 359.2,
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"max_dd_pips": -335.7,
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"expectancy": 4.28
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},
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"oos_metrics": {
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"trades": 32,
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"wr": 59.4,
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"pf": 1.23,
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"sharpe": 1.47,
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"pnl_pips": 135.5,
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"max_dd_pips": -182.9,
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"expectancy": 4.24
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},
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"generalization": {
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"composite": 1.068,
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"detail": {
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"wr": 1.108,
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"pf": 1.008,
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"expectancy": 0.991,
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"sharpe": 1.167
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},
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"verdict": "PASS"
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}
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},
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"_portfolio": {
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"is_metrics": {
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"trades": 149,
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"wr": 57.7,
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"pf": 1.29,
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"sharpe": 1.68,
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"pnl_pips": 865.8,
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"max_dd_pips": -597.5,
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"expectancy": 5.81
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},
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"oos_metrics": {
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"trades": 56,
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"wr": 64.3,
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"pf": 1.55,
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"sharpe": 3.03,
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"pnl_pips": 553.3,
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"max_dd_pips": -182.9,
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"expectancy": 9.88
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},
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"generalization": {
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"composite": 1.455,
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"detail": {
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"wr": 1.114,
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"pf": 1.202,
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"expectancy": 1.701,
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"sharpe": 1.804
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},
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"verdict": "PASS"
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}
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}
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} |