Update scoring

README.md

@@ -389,47 +389,50 @@ The backtest scoring system evaluates strategy performance using a comprehensive
 
 | Component | Weight | Description |
 |-----------|--------|-------------|
-| **Growth Percentage** | 25% | Primary performance metric based on total return |
-| **Sharpe Ratio** | 15% | Risk-adjusted return measure |
-| **Max Drawdown (USD)** | 12% | Maximum capital loss in absolute terms |
-| **Win Rate** | 15% | Percentage of profitable trades (weighted by trade count) |
+| **Growth Percentage** | 20% | Primary performance metric based on total return |
+| **Sharpe Ratio** | 15% | Risk-adjusted return measure (multiplied by 100 for accuracy) |
+| **Hodl Comparison** | 10% | Performance vs buy-and-hold strategy |
+| **Win Rate** | 12% | Percentage of profitable trades (weighted by trade count) |
 | **Profitability Bonus** | 8% | Additional reward for positive returns |
-| **Hodl Comparison** | 5% | Performance vs buy-and-hold strategy |
 | **Trade Count** | 5% | Sufficient trading activity validation |
 | **Recovery Time** | 2% | Time to recover from maximum drawdown |
 | **Test Duration** | 3% | Adequate testing period validation |
-| **Fees Impact** | 2% | Trading cost efficiency |
+| **Fees Impact** | 2% | Trading cost efficiency (based on PnL ratio) |
+| **Risk Adjusted Return** | 23% | PnL vs MaxDD ratio based on trading balance |
 
 #### Component Scoring Details
 
-**Growth Percentage (25%)**
-- **Negative Returns**: Linear penalty (20 + growth% × 1.5)
-- **0-5%**: Linear scale (0-40 points)
-- **5-10%**: Accelerated scale (40-100 points)
-- **10%+**: Full score (100 points)
+**Growth Percentage (20%)**
+- **Negative Returns**: 0 points (no partial credit for losses)
+- **0-5%**: Linear scale (0-20 points)
+- **5-10%**: Accelerated scale (20-50 points)
+- **10-20%**: Linear scale (50-100 points)
+- **20%+**: Full score (100 points)
 
 **Sharpe Ratio (15%)**
+- **Input**: Sharpe ratio is multiplied by 100 for more accurate scoring
 - **Negative**: 0 points
 - **0-4**: Linear scale (0-100 points)
 - **4+**: Full score (100 points)
 
-**Max Drawdown USD (12%)**
-- **0-30%**: Exponential penalty (100 - (drawdown%/30 × 100)^1.5)
-- **30%+**: 0 points
+**Hodl Comparison (10%)**
+- **+5%+ better than HODL**: 100 points
+- **+2-5% better**: 80-100 points
+- **+0-2% better**: 40-80 points
+- **-1-0% worse**: 20-40 points
+- **-2 to -1% worse**: 0-20 points
+- **-2%+ worse**: 0 points (handled by early exit)
 
-**Win Rate (15%)**
-- **Base Score**: Win rate percentage
+**Win Rate (12%)**
+- **Input**: Win rate as percentage (e.g., 23.45 for 23.45%)
+- **Base Score**: Win rate converted to decimal (23.45% → 0.2345)
 - **Trade Count Factor**: Full significance at 55+ trades, reduced for fewer trades
 - **Minimum Trade Penalty**: 50% penalty for <10 trades
 
 **Profitability Bonus (8%)**
-- **Positive Returns**: Logarithmic bonus (50 × (1 - 1/(1 + growth%/30)))
+- **Positive Returns**: Logarithmic bonus (max 50 points)
 - **Negative Returns**: 0 points
 
-**Hodl Comparison (5%)**
-- **Outperforms Hodl**: 0-80 points based on margin
-- **Underperforms Hodl**: 0-20 points based on underperformance
-
 **Trade Count (5%)**
 - **<5 trades**: 0 points
 - **5-10 trades**: Linear scale (0-50 points)
@@ -456,25 +459,41 @@ The backtest scoring system evaluates strategy performance using a comprehensive
 - **Optimal duration**: 3× minimum duration
 
 **Fees Impact (2%)**
-- **0-2% fees**: Linear penalty (100-50 points)
-- **2-5% fees**: Linear penalty (50-0 points)
-- **5%+ fees**: 0 points
+- **Based on**: Fees as percentage of PnL (not initial balance)
+- **0-10% fees**: Linear scale (100-50 points)
+- **10-20% fees**: Linear scale (50-0 points)
+- **20%+ fees**: 0 points
 - **Fees > PnL**: 0 points
 
+**Risk Adjusted Return (23%)**
+- **Based on**: Trading balance (not initial balance)
+- **Calculation**: PnL percentage vs MaxDD percentage ratio
+- **>3:1 ratio**: 100 points
+- **2-3:1 ratio**: 80-100 points
+- **1.5-2:1 ratio**: 60-80 points
+- **1-1.5:1 ratio**: 40-60 points
+- **0.5-1:1 ratio**: 20-40 points
+- **<0.5:1 ratio**: 0-20 points
+
 #### Dynamic Penalty System
 
 The scoring system applies dynamic penalties based on performance thresholds:
 
+**Early Exit Conditions**
+- **No Trades**: Automatic 0 score
+- **Negative PnL**: Automatic 0 score
+- **HODL Underperformance**: Automatic 0 score if >2% worse than HODL
+
 **Profitability Rules**
 - **Negative Growth**: 10% penalty per 1% loss
-- **Negative Absolute PnL**: 70% penalty
 - **Low Win Rate**: 50% penalty per 10% below 30% (for 10+ trades)
 - **Low Profit**: 10% penalty per 1% below 2% (for 5+ trades)
-- **High Drawdown**: 2% penalty per 1% above 20%
+- **High Drawdown**: 2% penalty per 1% above 20% of trading balance
+- **Poor Risk/Reward**: 20% penalty per 0.5 ratio above 1.5:1 (MaxDD/PnL)
 - **Short Test Duration**: 2% penalty per day below 30 days
+- **HODL Underperformance**: 30% penalty per 1% underperformance
 
 **Special Rules**
-- **No Positions**: Automatic 0 score
 - **Score Clamping**: Final score clamped between 0-100
 - **Error Handling**: Returns 0 for any calculation errors
 
@@ -482,11 +501,12 @@ The scoring system applies dynamic penalties based on performance thresholds:
 
 The system prioritizes:
 1. **Consistent profitability** over high-risk gains
-2. **Risk management** through drawdown control
+2. **Risk management** through drawdown control based on trading balance
 3. **Statistical significance** through adequate trade counts
 4. **Timeframe-appropriate** expectations for recovery and duration
-5. **Cost efficiency** through fee management
+5. **Cost efficiency** through fee management relative to PnL
 6. **Realistic performance** through dynamic penalties
+7. **HODL outperformance** as a baseline requirement
 
 This comprehensive approach ensures that high-scoring strategies demonstrate robust, sustainable performance across multiple dimensions rather than relying on single metrics or short-term luck.