Experiment with hourly timeframe-specific stops

- Added HOURLY_ATR_STOP_MULTIPLIER (1.8x) vs daily (3.5x)
- Added hourly-specific trail multipliers
- Strategy now uses timeframe field to select appropriate stops
- Tested multiple configurations on hourly:
  * 3.5x stops: -0.5% return, 45% max DD
  * 1.8x stops: -45% return, 53% max DD (worse)
  * Conservative regime (0.25x): -65% return, 67% max DD (terrible)
- Conclusion: Hourly doesn't work with this strategy
- Daily with relaxed regime remains best: +17.4% over 5yr, 24% max DD

Co-Authored-By: Claude Sonnet 4.5 <noreply@anthropic.com>
This commit is contained in:
zastian-dev
2026-02-13 19:20:01 +00:00
parent edc655ca2c
commit 79816b9e2e
7 changed files with 757 additions and 13 deletions

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@@ -21,6 +21,10 @@ cargo run --release -- --backtest --years 3
cargo run --release -- --backtest --years 5 --capital 50000
cargo run --release -- --backtest --years 1 --months 6 --timeframe hourly
# Run backtesting with custom date range
cargo run --release -- --backtest --start-date 2007-01-01 --end-date 2008-12-31
cargo run --release -- --backtest --start-date 2020-03-01 --end-date 2020-12-31 --timeframe hourly
# Lint and format (available via nix flake)
cargo clippy
cargo fmt