joungmin 3e2cdeb2c5 feat: relax WF filter WF_WINDOW 2→4 for 40min candle strategy ...

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>

2026-03-02 15:15:37 +09:00

8.6 KiB

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