Optimize EUR/USD M5 signals: 1:1 RR, vol/agreement filters, disable XAU

Tune EUR/USD M5 trade setup for balanced profitability (78% WR, 1.68 PF,
+26.5R over 365d) under a 4-hour max hold constraint. Key changes:
- Raise min RR from 0.5 to 1.0 and TP multiplier from 1.0x to 1.2x ATR
- Tighten SL floor (0.8→0.7 ATR) and swing lookback (50→20 bars)
- Add volatility regime filter (block "high" vol) and min 6 indicator
  agreement gate in signal_aggregator
- Raise BE trigger 0.2→0.3R, buffer 0.05→0.15R to let winners run
- Block weak hours (06, 09, 11 UTC) on M5
- Disable XAU strategy checks by default; XAU pair config re-enables

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
harwinder
2026-05-21 19:12:58 -04:00
parent 9a2b1f7b1e
commit 25791fefa3
5 changed files with 38 additions and 11 deletions
+5 -2
View File
@@ -77,12 +77,15 @@ def make_config(
if primary_tf == Timeframe.M5:
config.technical.regime_weights_override = M5_REGIME_WEIGHTS
config.eur_strategy.sl_atr_floor = 0.8
config.technical.swing_sr_lookback = 20
config.eur_strategy.sl_atr_floor = 0.7
config.eur_strategy.sl_atr_multiplier = 0.3
config.eur_strategy.min_quality_grades = ["A+", "A", "B"]
config.eur_strategy.min_entry_score = 35.0
config.eur_strategy.min_entry_confidence = 50.0
config.backtest.blocked_hours_utc = [22, 23, 0, 1, 2, 3, 4, 19, 21]
config.eur_strategy.blocked_vol_regimes = ["high"]
config.eur_strategy.min_indicator_agreement = 6
config.backtest.blocked_hours_utc = [22, 23, 0, 1, 2, 3, 4, 6, 9, 11, 19, 21]
else:
config.technical.regime_weights_override = EUR_REGIME_WEIGHTS