Tune EUR/USD defaults: tighter SL, higher TP, A-grade filter, unblock ranging

Config changes from EUR/USD optimization rounds:
- sl_atr_multiplier 1.5→0.5, tp_atr_multiplier 1.0→1.5, min_rr 0.5→1.0
- Unblock ranging regime, restrict to A+/A quality on M15
- Lower entry thresholds: score 38→30, confidence 60→50
- Add M5-specific regime weights and config overrides in eurusd.py

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
harwinder
2026-05-18 17:26:05 -04:00
parent e6e09c587e
commit de57c016d1
2 changed files with 38 additions and 8 deletions
+7 -7
View File
@@ -169,22 +169,22 @@ class EurUsdStrategyConfig:
weekend_filter: bool = True weekend_filter: bool = True
allowed_weekdays: List[int] = field(default_factory=lambda: [0, 1, 2, 3, 4]) allowed_weekdays: List[int] = field(default_factory=lambda: [0, 1, 2, 3, 4])
min_atr_threshold: float = 0.0003 min_atr_threshold: float = 0.0003
sl_atr_multiplier: float = 1.5 sl_atr_multiplier: float = 0.5
tp_atr_multiplier: float = 1.0 tp_atr_multiplier: float = 1.5
sl_atr_floor: float = 1.2 sl_atr_floor: float = 1.2
min_rr_ratio: float = 0.5 min_rr_ratio: float = 1.0
mature_move_threshold: float = 35.0 mature_move_threshold: float = 35.0
tp_quality_scale: Dict[str, float] = field(default_factory=lambda: { tp_quality_scale: Dict[str, float] = field(default_factory=lambda: {
"A+": 1.0, "A": 1.0, "B": 1.0, "C": 1.0, "A+": 1.0, "A": 1.0, "B": 1.0, "C": 1.0,
}) })
blocked_regimes: List[str] = field(default_factory=lambda: ["ranging"]) blocked_regimes: List[str] = field(default_factory=list)
min_quality_grades: List[str] = field(default_factory=lambda: ["A+", "A", "B"]) min_quality_grades: List[str] = field(default_factory=lambda: ["A+", "A"])
max_exhaustion_tags: int = 99 max_exhaustion_tags: int = 99
block_near_ema200: bool = False block_near_ema200: bool = False
session_hours: List[int] = field(default_factory=list) session_hours: List[int] = field(default_factory=list)
min_entry_score: float = 38.0 min_entry_score: float = 30.0
min_entry_confidence: float = 60.0 min_entry_confidence: float = 50.0
block_rsi_extended: bool = True block_rsi_extended: bool = True
be_trigger_r: float = 0.3 be_trigger_r: float = 0.3
be_buffer_r: float = 0.05 be_buffer_r: float = 0.05
+30
View File
@@ -32,6 +32,28 @@ EUR_REGIME_WEIGHTS = {
}, },
} }
_M5_TRENDING = {
"ema_trend": 1.5, "rsi": 1.0, "macd": 2.5,
"bollinger": 0.5, "keltner": 2.0, "roc": 2.0,
"candlestick": 0.3, "divergence": 1.0, "adx": 1.0,
}
M5_REGIME_WEIGHTS = {
"trending_up": _M5_TRENDING,
"trending_down": _M5_TRENDING,
"trending": _M5_TRENDING,
"ranging": {
"ema_trend": 0.3, "rsi": 1.5, "macd": 1.5,
"bollinger": 1.5, "keltner": 2.0, "roc": 1.0,
"candlestick": 0.3, "divergence": 1.5, "adx": 0.5,
},
"transitioning": {
"ema_trend": 1.0, "rsi": 1.0, "macd": 2.5,
"bollinger": 0.5, "keltner": 2.5, "roc": 2.0,
"candlestick": 0.3, "divergence": 1.0, "adx": 1.0,
},
}
def make_config( def make_config(
primary_tf: Timeframe, primary_tf: Timeframe,
@@ -53,6 +75,14 @@ def make_config(
config.backtest.blocked_hours_utc = [22, 23, 0, 1, 2, 3] config.backtest.blocked_hours_utc = [22, 23, 0, 1, 2, 3]
config.backtest.allowed_weekdays = [0, 1, 2, 3, 4] config.backtest.allowed_weekdays = [0, 1, 2, 3, 4]
if primary_tf == Timeframe.M5:
config.technical.regime_weights_override = M5_REGIME_WEIGHTS
config.eur_strategy.sl_atr_floor = 0.8
config.eur_strategy.sl_atr_multiplier = 0.3
config.eur_strategy.min_quality_grades = ["A+", "A", "B"]
config.eur_strategy.min_entry_score = 28.0
config.eur_strategy.min_entry_confidence = 50.0
else:
config.technical.regime_weights_override = EUR_REGIME_WEIGHTS config.technical.regime_weights_override = EUR_REGIME_WEIGHTS
return config return config