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feat: relax WF filter WF_WINDOW 2→4 for 40min candle strategy

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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 <noreply@anthropic.com>
This commit is contained in:
joungmin
2026-03-02 15:15:37 +09:00
parent 6a685a7852
commit 3e2cdeb2c5
2 changed files with 2 additions and 2 deletions
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2
sim_365.py
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@@ -41,7 +41,7 @@ def load_data() -> dict:
# ── WF 필터 (종목별 적용) ────────────────────────────── # ── WF 필터 (종목별 적용) ──────────────────────────────
WF_WINDOW = 2 WF_WINDOW = 4
WF_MIN_WIN_RATE = 0.01 WF_MIN_WIN_RATE = 0.01
WF_SHADOW_WINS = 2 WF_SHADOW_WINS = 2

2
sim_45m40.py
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@@ -40,7 +40,7 @@ SIGNAL_TO_N = 12 # 8h × 1.5
ATR_N = 7 # 5h × 1.5 ATR_N = 7 # 5h × 1.5
TS_N = 12 # 8h × 1.5 TS_N = 12 # 8h × 1.5
WF_WINDOW = 2 WF_WINDOW = 4
WF_MIN_WIN_RATE = 0.01 WF_MIN_WIN_RATE = 0.01
WF_SHADOW_WINS = 2 WF_SHADOW_WINS = 2