EUR/USD XGBoost Multi-Feature Sharpe Maximiser
Maximise Sharpe ratio on 15-min EUR/USD. XGBoost with moderate depth (4) and heavy regularisation (reg_lambda=1.5, min_child_weight=5, gamma=0.1) controls overfitting on the short date window. Low learning_rate (0.03) with 400 trees for stable convergence. SL=0.8 pip / TP=1.6 pip gives 1:2 RR to preserve Sharpe. Session filter [7,21] removes illiquid Asia opens. min_atr filters flat, low-volatility bars that degrade signal quality.
+0.53%
PF 1.27
68 trades