EUR/USD RSI Oversold/Overbought XGBoost Reversal
Maximise Sharpe ratio on EUR/USD 15-min data. XGBClassifier trained on a single 70/30 train-test holdout split. RSI(14) oversold/overbought signals are the primary features, supplemented by MACD, Bollinger Band %B, Stochastic, ATR-normalised volatility, price momentum, and candle structure. Regularisation (gamma, alpha, lambda, min_child_weight) and moderate depth (4) are chosen to reduce overfitting and improve out-of-sample Sharpe. Session filter restricts trading to London
+18.72%
PF 2.35
68 trades