mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-05 22:57:45 +00:00
Brent Neale
bdab78ee48
Implemented two M15 intraday strategies to diversify the portfolio: - S10: VWAP mean reversion in ranging markets (ADX<30, RSI(9) extremes) - S11: ADX trend pullback to 20 EMA in strong trends (ADX>30, rising) Added rsi_9 and atr_10 to the indicator pipeline for both strategies. Backtested on IS (2021-2022) and OOS (2023): both strategies produced insufficient trade counts on M15 and failed generalization. S10 best result was EUR_GBP at Gen 0.65 (WARN). S11 collapsed to 0% WR OOS across all param sweep combos. Both dropped from active portfolio — 3-strategy core (S7_Tight, S9_Filtered, S3) remains unchanged. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
224 lines
4.3 KiB
JSON
224 lines
4.3 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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"S10_EUR_USD": {
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"pair": "EUR_USD",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 13,
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"wr": 53.8,
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"pf": 1.67,
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"sharpe": 3.17,
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"pnl_pips": 20.1,
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"max_dd_pips": -13.1,
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"expectancy": 1.55
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},
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"oos_metrics": {
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"trades": 6,
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"wr": 33.3,
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"pf": 1.19,
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"sharpe": 0.97,
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"pnl_pips": 1.5,
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"max_dd_pips": -7.9,
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"expectancy": 0.25
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},
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"generalization": {
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"composite": 0.45,
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"detail": {
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"wr": 0.619,
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"pf": 0.713,
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"expectancy": 0.161,
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"sharpe": 0.306
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},
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"verdict": "FAIL"
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}
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},
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"S10_USD_JPY": {
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"pair": "USD_JPY",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 20,
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"wr": 50.0,
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"pf": 2.08,
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"sharpe": 4.18,
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"pnl_pips": 51.5,
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"max_dd_pips": -19.3,
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"expectancy": 2.58
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},
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"oos_metrics": {
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"trades": 9,
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"wr": 33.3,
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"pf": 0.76,
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"sharpe": -1.48,
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"pnl_pips": -10.1,
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"max_dd_pips": -9.8,
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"expectancy": -1.13
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},
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"generalization": {
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"composite": 0.258,
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"detail": {
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"wr": 0.666,
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"pf": 0.365,
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"expectancy": 0.0,
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"sharpe": 0.0
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},
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"verdict": "FAIL"
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}
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},
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"S10_EUR_GBP": {
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"pair": "EUR_GBP",
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"timeframe": "M15",
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"is_metrics": {
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"trades": 15,
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"wr": 33.3,
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"pf": 0.98,
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"sharpe": -0.14,
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"pnl_pips": -0.8,
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"max_dd_pips": -29.2,
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"expectancy": -0.06
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},
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"oos_metrics": {
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"trades": 7,
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"wr": 42.9,
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"pf": 1.28,
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"sharpe": 1.61,
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"pnl_pips": 3.5,
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"max_dd_pips": -9.4,
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"expectancy": 0.49
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},
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"generalization": {
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"composite": 0.649,
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"detail": {
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"wr": 1.288,
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"pf": 1.306,
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"expectancy": 0,
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"sharpe": 0
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},
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"verdict": "WARN"
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}
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},
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"_portfolio": {
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"is_metrics": {
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"trades": 197,
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"wr": 54.8,
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"pf": 1.3,
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"sharpe": 1.58,
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"pnl_pips": 936.6,
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"max_dd_pips": -597.5,
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"expectancy": 4.75
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},
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"oos_metrics": {
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"trades": 78,
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"wr": 56.4,
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"pf": 1.51,
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"sharpe": 2.52,
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"pnl_pips": 548.2,
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"max_dd_pips": -208.7,
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"expectancy": 7.03
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},
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"generalization": {
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"composite": 1.316,
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"detail": {
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"wr": 1.029,
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"pf": 1.162,
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"expectancy": 1.48,
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"sharpe": 1.595
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},
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"verdict": "PASS"
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}
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}
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} |