Optimize EUR/USD to 78.7% WR on 2-year M15 backtest
Three-layer optimization:
1. Entry filters (signal_aggregator.py section 6e):
- Block ranging regime
- Only A+/A/B quality grades
- min_entry_score=38, min_entry_confidence=60
- Block RSI > 70 for BUY, RSI < 30 for SELL
2. Trade setup (config.py EurUsdStrategyConfig):
- RR=0.50 with uniform quality scale
- SL floor 1.2 ATR, TP 1.0 ATR
3. Breakeven trail (backtest/gpu_backtest.py):
- When MFE reaches 0.3R, move SL to entry + 0.05R buffer
- Converts 4 of 14 losses to +0.05R small wins
- Bar-by-bar simulation integrated into simulate_trades()
Results (EUR/USD M15, 2024-05-18 to 2026-05-18):
47 trades | 78.7% WR | +1.81R | PF 1.18 | MaxDD 3.35R
XAU/USD unchanged: 77.8% WR on 30-day, 68.7% WR on 2-year.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
harwinder
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