Step 03: SL/TP Optimization

This step searches stop-loss and take-profit variants for each Step 02 metric-winner candidate. Candidate-specific SL and TP grids are derived from trade-level MAE/MFE quantiles, then multiple exit-combination types are tested.

InputMetric winners, research-period trades, per-trade MAE/MFE, SL/TP quantiles, and exit-combination rules.

OutputSL/TP-modified candidates that improve their target metric versus the no-SL/TP baseline, plus validation diagnostics for those overlays.

Used laterImproving SL/TP candidates are forwarded to Robustness Analysis, where they must survive rolling and OOS validation.

Configuration

SL/TP research period	01.01.2022-01.01.2024
MAE quantiles (SL grid)	[0.7, 0.8, 0.9, 0.95]
MFE quantiles (TP grid)	[0.5, 0.6, 0.7, 0.8]

Full SL/TP candidate table (277 rows)

Candidate Id	Buy Ema Short	Buy Ema Long	Directional Improvementi	SL	TP	Typei	Metric Winneri	Baselinei	With SL/TPi	Tradesi	Profit Totali	Profit absi	Win ratei	Max Drawdowni	Sharpei	Sortinoi	Profit Factori	Expectancyi	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei

Results by candidate

Base backtest

Candidate Id	Buy Ema Short	Buy Ema Long	Tradesi	Profit Totali	Profit absi	Win ratei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Profit Drawdowni	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Underwater Meani	Time Below Entryi	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Account Profit Totali	Account Max Drawdowni

47 SL/TP improvements found

SL grid: 4.14%, 5.17%, 8.01%, 8.65% | TP grid: 5.43%, 8.44%, 9.93%, 15.40%

Buy Ema Short	Buy Ema Long	Typei	Metric Winneri	Improvement	SL	TP	Baselinei	With SL/TPi	Tradesi	Profit Totali	Profit absi	Win ratei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Profit Drawdowni	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Underwater Meani	Time Below Entryi	Account Profit Totali	Account Max Drawdowni

Base backtest

Candidate Id	Buy Ema Short	Buy Ema Long	Tradesi	Profit Totali	Profit absi	Win ratei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Profit Drawdowni	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Underwater Meani	Time Below Entryi	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Account Profit Totali	Account Max Drawdowni

52 SL/TP improvements found

SL grid: 3.92%, 4.28%, 7.49%, 8.64% | TP grid: 5.19%, 6.52%, 9.27%, 13.55%

Buy Ema Short	Buy Ema Long	Typei	Metric Winneri	Improvement	SL	TP	Baselinei	With SL/TPi	Tradesi	Profit Totali	Profit absi	Win ratei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Profit Drawdowni	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Underwater Meani	Time Below Entryi	Account Profit Totali	Account Max Drawdowni

Base backtest

Candidate Id	Buy Ema Short	Buy Ema Long	Tradesi	Profit Totali	Profit absi	Win ratei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Profit Drawdowni	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Underwater Meani	Time Below Entryi	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Account Profit Totali	Account Max Drawdowni

49 SL/TP improvements found

SL grid: 3.98%, 4.37%, 7.67%, 8.64% | TP grid: 5.30%, 7.02%, 9.49%, 14.20%

Buy Ema Short	Buy Ema Long	Typei	Metric Winneri	Improvement	SL	TP	Baselinei	With SL/TPi	Tradesi	Profit Totali	Profit absi	Win ratei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Profit Drawdowni	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Underwater Meani	Time Below Entryi	Account Profit Totali	Account Max Drawdowni

Base backtest

Candidate Id	Buy Ema Short	Buy Ema Long	Tradesi	Profit Totali	Profit absi	Win ratei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Profit Drawdowni	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Underwater Meani	Time Below Entryi	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Account Profit Totali	Account Max Drawdowni

32 SL/TP improvements found

SL grid: 10.96%, 12.53%, 16.48%, 20.72% | TP grid: 9.05%, 13.52%, 22.51%, 35.19%

Buy Ema Short	Buy Ema Long	Typei	Metric Winneri	Improvement	SL	TP	Baselinei	With SL/TPi	Tradesi	Profit Totali	Profit absi	Win ratei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Profit Drawdowni	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Underwater Meani	Time Below Entryi	Account Profit Totali	Account Max Drawdowni

Base backtest

Candidate Id	Buy Ema Short	Buy Ema Long	Tradesi	Profit Totali	Profit absi	Win ratei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Profit Drawdowni	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Underwater Meani	Time Below Entryi	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Account Profit Totali	Account Max Drawdowni

47 SL/TP improvements found

SL grid: 6.12%, 9.71%, 11.97%, 14.16% | TP grid: 7.82%, 9.42%, 14.68%, 19.68%

Buy Ema Short	Buy Ema Long	Typei	Metric Winneri	Improvement	SL	TP	Baselinei	With SL/TPi	Tradesi	Profit Totali	Profit absi	Win ratei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Profit Drawdowni	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Underwater Meani	Time Below Entryi	Account Profit Totali	Account Max Drawdowni

Base backtest

Candidate Id	Buy Ema Short	Buy Ema Long	Tradesi	Profit Totali	Profit absi	Win ratei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Profit Drawdowni	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Underwater Meani	Time Below Entryi	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Account Profit Totali	Account Max Drawdowni

50 SL/TP improvements found

SL grid: 9.93%, 12.03%, 16.51%, 20.47% | TP grid: 11.04%, 18.59%, 25.67%, 37.00%

Buy Ema Short	Buy Ema Long	Typei	Metric Winneri	Improvement	SL	TP	Baselinei	With SL/TPi	Tradesi	Profit Totali	Profit absi	Win ratei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Profit Drawdowni	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Underwater Meani	Time Below Entryi	Account Profit Totali	Account Max Drawdowni

SL/TP Relative Robustness Validation (relative to base candidate)

Replays the SL/TP candidates found in Step 03 on separate OOS and rolling validation periods and scores how often the improvement survives relative to the original base candidate. For informational purposes only - these results do not affect the pipeline workflow.

Validation Configuration

SL/TP research period	01.01.2022-01.01.2024
Validation OOS periods	01.01.2025-01.07.2025, 01.07.2025-01.01.2026
Rolling validation period	01.01.2022-01.01.2025
Rolling window / shift	12 months / 3 months
SL/TP Robustness Score formula	0.45 * rolling survival + 0.35 * OOS survival + 0.20 * no-negative-worst

SL/TP relative robustness summary

Candidate Id	Buy Ema Short	Buy Ema Long	Segments Testedi	SL/TP OOS Survivali	SL/TP Rolling Survivali	SL/TP Positive Segment Ratioi	SL/TP Mean Improvementi	SL/TP Worst Improvementi	SL/TP Robustness Scorei	SL	TP	Base Candidatei	Typei	Target Metrici	Train Baselinei	Train SL/TPi

Validation details

OOS validation details (554 rows)

Candidate Id	Validation SL/TPi	Validation Improvementi	Validation Improvement %i	Improvedi	Buy Ema Short	Buy Ema Long	SL	TP	Base Candidatei	Segment Typei	Segmenti	Segment Timerange	Typei	Target Metrici	Baselinei	Tradesi	Profit Totali	Profit absi	Win ratei	Profit Drawdowni	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Underwater Meani	Time Below Entryi	Account Profit Totali	Account Max Drawdowni

Rolling validation details (2493 rows)

Rolling validation can contain thousands of rows, so this table is sorted by SL/TP robustness score and capped at 1000 rows.

Candidate Id	Validation SL/TPi	Validation Improvementi	Validation Improvement %i	Improvedi	Buy Ema Short	Buy Ema Long	SL	TP	Base Candidatei	Segment Typei	Segmenti	Segment Timerange	Typei	Target Metrici	Baselinei	Tradesi	Profit Totali	Profit absi	Win ratei	Profit Drawdowni	Efficiency Scorei	Balanced Scorei	Profit Quality Scorei	Final Balancei	Sharpei	Sharpe Trade Basedi	Sortinoi	Sortino Trade Basedi	Profit Factori	Expectancyi	Max Drawdowni	Max Drawdown Relativei	Drawdown Duration Pcti	Underwater Meani	Time Below Entryi	Account Profit Totali	Account Max Drawdowni