Harwinder Sekhon
68dc76a5f1
26 rolling folds per TF (train 12mo / test 3mo / step 3mo) over
2019-01-01→2026-08-07 on fresh Oanda history (5 parquets, sha256s in
manifest). Aggregated OOS: M5 +126.5R PF 1.35 (11/26 folds flagged),
M15 +139.2R PF 1.18 (9/26), H1 +33.3R PF 1.15 (13/26), H4 +33.3R
PF 1.52 (9/26). Flagged folds cluster 2020H2–2023; 2023-10+ nearly
uniformly positive — corroborates the "earns mainly 2024+" re-pin
finding. Robustness read only: NOT a new baseline, nothing tuned.
Runs captured at 1c264d5 + the walk-forward diff (recorded as
dirty + diff sha256 in manifest.json); compare_baseline passed 32/32
immediately before the runs.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_017FBjfomAipxvPWwRJEDDyJ
257 lines
8.7 KiB
JSON
257 lines
8.7 KiB
JSON
{
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"backend": "NumPy CPU fallback",
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"cache_files": {
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},
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"commit": "1c264d5315120e9f18f2f81ab92b3295d79f3dca",
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"commit_short": "1c264d5",
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"compared_files": [
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"trades.csv",
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"summary.txt",
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"equity.csv",
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"metrics.json"
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],
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"created_utc": "2026-08-07T22:13:15Z",
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"dirty": true,
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"env_overrides": {
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"CUDA_PATH": "removed",
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"PYTHONHASHSEED": "0"
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},
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"purpose": "walk-forward exam 2019-01-01\u21922026-08-07, $0.65 spread, train 12mo / test 3mo / step 3mo (one continuous replay per TF, folds sliced by entry time, no re-optimization)",
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"runs": {
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"h1_s065": {
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"argv": [
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"backtest/gpu_backtest.py",
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"--pair",
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"XAUUSD",
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"--primary-tf",
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"1h",
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"--confirm-tfs",
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"15min,4h",
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"--start",
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"2019-01-01",
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"--end",
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"2026-08-07",
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"--spread",
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"0.65",
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"--quality",
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"A+,A,B,C",
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"--warmup-bars",
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"250",
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"--cooldown-bars",
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"5",
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"--max-hold-bars",
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"300",
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"--workers",
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"4",
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"--reasoning-samples",
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"3",
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"--detail",
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"--walk-forward",
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"--wf-train-months",
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"12",
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"--wf-test-months",
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"3",
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"--wf-step-months",
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"3"
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],
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"command": "venv/bin/python backtest/gpu_backtest.py --pair XAUUSD --primary-tf 1h --confirm-tfs 15min,4h --start 2019-01-01 --end 2026-08-07 --spread 0.65 --quality A+,A,B,C --warmup-bars 250 --cooldown-bars 5 --max-hold-bars 300 --workers 4 --reasoning-samples 3 --detail --walk-forward --wf-train-months 12 --wf-test-months 3 --wf-step-months 3 --export-csv walkforward/1c264d5/h1_s065/trades.csv",
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"confirm_tfs": "15min,4h",
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"metrics.json": "3d36d04060999cab65347132cfec73dc17806bc0ede7427ef62ac3108018cdad",
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},
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"primary_tf": "1h",
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"spread": "0.65",
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}
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},
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"h4_s065": {
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"argv": [
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"backtest/gpu_backtest.py",
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"--pair",
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"XAUUSD",
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"--primary-tf",
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"4h",
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"--confirm-tfs",
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"1h,1d",
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"--start",
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"2019-01-01",
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"--end",
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"2026-08-07",
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"--spread",
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"0.65",
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"--quality",
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"A+,A,B,C",
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"--warmup-bars",
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"250",
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"--cooldown-bars",
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"5",
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"--max-hold-bars",
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"300",
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"--workers",
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"4",
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"--reasoning-samples",
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"3",
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"--detail",
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"--walk-forward",
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"--wf-train-months",
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"12",
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"--wf-test-months",
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"3",
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"--wf-step-months",
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"3"
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],
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],
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"command": "venv/bin/python backtest/gpu_backtest.py --pair XAUUSD --primary-tf 4h --confirm-tfs 1h,1d --start 2019-01-01 --end 2026-08-07 --spread 0.65 --quality A+,A,B,C --warmup-bars 250 --cooldown-bars 5 --max-hold-bars 300 --workers 4 --reasoning-samples 3 --detail --walk-forward --wf-train-months 12 --wf-test-months 3 --wf-step-months 3 --export-csv walkforward/1c264d5/h4_s065/trades.csv",
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"confirm_tfs": "1h,1d",
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"files": {
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"summary.txt": "44371897499ce04ec9d707d1c0c380475548e0531348ba52b16c96b317824f99",
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},
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"primary_tf": "4h",
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"spread": "0.65",
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"walk_forward": {
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"step_months": 3,
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}
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},
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"m15_s065": {
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"argv": [
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"backtest/gpu_backtest.py",
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"--pair",
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"XAUUSD",
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"--primary-tf",
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"15min",
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"--confirm-tfs",
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"5min,1h",
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"--start",
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"2019-01-01",
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"--end",
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"2026-08-07",
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"--spread",
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"0.65",
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"--quality",
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"A+,A,B,C",
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"--warmup-bars",
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"250",
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"--cooldown-bars",
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"5",
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"--max-hold-bars",
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"300",
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"--workers",
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"4",
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"--reasoning-samples",
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"3",
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"--detail",
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"--walk-forward",
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"--wf-train-months",
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"12",
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"--wf-test-months",
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"3",
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"--wf-step-months",
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"3"
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],
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],
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"command": "venv/bin/python backtest/gpu_backtest.py --pair XAUUSD --primary-tf 15min --confirm-tfs 5min,1h --start 2019-01-01 --end 2026-08-07 --spread 0.65 --quality A+,A,B,C --warmup-bars 250 --cooldown-bars 5 --max-hold-bars 300 --workers 4 --reasoning-samples 3 --detail --walk-forward --wf-train-months 12 --wf-test-months 3 --wf-step-months 3 --export-csv walkforward/1c264d5/m15_s065/trades.csv",
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"confirm_tfs": "5min,1h",
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"summary.txt": "a554789bb0c2ecbe3d4b69e9c01a29aab265ef0bf2a56d08751006a779e84a31",
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},
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"primary_tf": "15min",
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"spread": "0.65",
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"walk_forward": {
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"step_months": 3,
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}
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},
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"m5_s065": {
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"argv": [
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"backtest/gpu_backtest.py",
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"--pair",
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"XAUUSD",
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"--primary-tf",
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"5min",
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"--confirm-tfs",
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"15min,1h",
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"--start",
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"2019-01-01",
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"--end",
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"2026-08-07",
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"--spread",
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"0.65",
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"--quality",
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"A+,A,B,C",
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"--warmup-bars",
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"250",
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"--cooldown-bars",
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"5",
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"--max-hold-bars",
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"300",
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"--workers",
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"4",
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"--reasoning-samples",
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"3",
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"--detail",
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"--walk-forward",
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"--wf-train-months",
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"12",
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"--wf-test-months",
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"3",
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"--wf-step-months",
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"3"
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"oanda_XAU_USD_1h_20181031_20260807.parquet"
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],
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},
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"primary_tf": "5min",
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"spread": "0.65",
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},
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}
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