USD/CAD BB Mean-Reversion + ATR XGBoost
Maximise risk-adjusted return (Sharpe/Calmar) on USD/CAD 15-min using Bollinger Band mean-reversion signals augmented by ATR, RSI, MACD, and EMA-cross features fed into a regularised XGBoost classifier. SL=0.5% / TP=1.0% gives a 1:2 RR floor. Conservative depth (4) and strong L1/L2 regularisation prevent overfitting on a single year of data.
+4.84%
PF 1.31
362 trades