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fx-quant/results/phase2/param_sweep.json
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Brent Neale bdab78ee48 Add S10 VWAP Mean Reversion and S11 ADX Trend Pullback strategies, drop both from portfolio 
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>
2026-02-20 16:23:23 +10:00

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}
}
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