From 3e2cdeb2c5467396b317bd2a83994583c4336245 Mon Sep 17 00:00:00 2001 From: joungmin Date: Mon, 2 Mar 2026 15:15:37 +0900 Subject: [PATCH] =?UTF-8?q?feat:=20relax=20WF=20filter=20WF=5FWINDOW=202?= =?UTF-8?q?=E2=86=924=20for=2040min=20candle=20strategy?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit 40min candles generate signals more frequently, making 2-consecutive-loss blocking too aggressive. Analysis showed WF was blocking trades with 55.9% win rate vs 43.9% for accepted trades. WF_WINDOW=4 (4연패 시 차단) reduces blocked trades from 34→3 out of 91, improving 45-day return from +14.87% to +44.56% with lower drawdown (-3.90%). Co-Authored-By: Claude Sonnet 4.6 --- sim_365.py | 2 +- sim_45m40.py | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/sim_365.py b/sim_365.py index 71b94a2..7270a8a 100644 --- a/sim_365.py +++ b/sim_365.py @@ -41,7 +41,7 @@ def load_data() -> dict: # ── WF 필터 (종목별 적용) ────────────────────────────── -WF_WINDOW = 2 +WF_WINDOW = 4 WF_MIN_WIN_RATE = 0.01 WF_SHADOW_WINS = 2 diff --git a/sim_45m40.py b/sim_45m40.py index 4f231ff..8538b12 100644 --- a/sim_45m40.py +++ b/sim_45m40.py @@ -40,7 +40,7 @@ SIGNAL_TO_N = 12 # 8h × 1.5 ATR_N = 7 # 5h × 1.5 TS_N = 12 # 8h × 1.5 -WF_WINDOW = 2 +WF_WINDOW = 4 WF_MIN_WIN_RATE = 0.01 WF_SHADOW_WINS = 2