# OOS Backtest Report

**Generated:** 2026-01-06 23:22:28

## Configuration

- **OOS Period:** 2024-03-01 to 2025-03-18
- **Training Data Cutoff:** 2024-03-01 (excluded from training)

## Summary by Symbol/Timeframe

| Symbol | TF | Samples | MAE High | MAE Low | Dir Acc High | Dir Acc Low | Signal Acc |
|--------|----|---------|---------:|--------:|-------------:|------------:|-----------:|
| XAUUSD | 5m | 73226 | 1.0982 | 1.2217 | 91.4% | 93.2% | 91.5% |
| XAUUSD | 15m | 24578 | 2.0019 | 2.3882 | 94.6% | 95.9% | 94.7% |
| EURUSD | 5m | 76858 | 0.0003 | 0.0003 | 98.0% | 98.1% | 98.0% |
| EURUSD | 15m | 25635 | 0.0005 | 0.0006 | 98.6% | 98.8% | 98.6% |


## R:R Analysis

### Risk/Reward Performance by Symbol


#### XAUUSD 5m

| R:R | Win Rate | Trades | Expectancy |
|-----|---------|--------|------------|
| 1.0 | 51.0% | 45984 | 0.019 |
| 1.5 | 36.2% | 35367 | -0.094 |
| 2.0 | 22.7% | 29182 | -0.318 |
| 2.5 | 13.1% | 25943 | -0.543 |
| 3.0 | 7.4% | 24352 | -0.704 |

#### XAUUSD 15m

| R:R | Win Rate | Trades | Expectancy |
|-----|---------|--------|------------|
| 1.0 | 55.4% | 13514 | 0.107 |
| 1.5 | 39.1% | 9905 | -0.022 |
| 2.0 | 24.5% | 7984 | -0.266 |
| 2.5 | 14.2% | 7033 | -0.501 |
| 3.0 | 8.1% | 6562 | -0.676 |

#### EURUSD 5m

| R:R | Win Rate | Trades | Expectancy |
|-----|---------|--------|------------|
| 1.0 | 44.2% | 30193 | -0.116 |
| 1.5 | 24.5% | 22300 | -0.388 |
| 2.0 | 13.9% | 19565 | -0.583 |
| 2.5 | 7.9% | 18292 | -0.723 |
| 3.0 | 4.8% | 17698 | -0.807 |

#### EURUSD 15m

| R:R | Win Rate | Trades | Expectancy |
|-----|---------|--------|------------|
| 1.0 | 45.7% | 9031 | -0.086 |
| 1.5 | 27.0% | 6721 | -0.324 |
| 2.0 | 15.9% | 5830 | -0.523 |
| 2.5 | 9.1% | 5396 | -0.680 |
| 3.0 | 5.9% | 5213 | -0.762 |


## Conclusions

### Key Observations

1. **Directional Accuracy**: The models show high directional accuracy (>90%) in predicting
   whether price will move up or down.

2. **Signal Quality**: Signal-based accuracy helps identify when predictions are most reliable.

3. **R:R Performance**: The expectancy values show the expected return per unit of risk.
   - Positive expectancy = profitable strategy
   - Expectancy > 0.5 with 2:1 R:R = strong edge

### Recommendations

1. Focus on configurations with positive expectancy
2. Consider combining with DirectionalFilters for additional confirmation
3. Use volume/volatility filters during low-quality periods

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*Report generated by OOS Backtest Pipeline*