mirror of
https://github.com/BrentNeale1/fx-quant.git
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68 lines
2.1 KiB
Markdown
68 lines
2.1 KiB
Markdown
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# Smart Money Research Log
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## Purpose
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Document observations about institutional behaviour patterns discovered during
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backtesting. These insights inform Phase 2 refinements and future strategy development.
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## Observations
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### [Date] - Strategy 1, GBP/AUD Retest Volume Pattern
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**Finding:** When tick volume at retest is >80% of the initial break volume,
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win rate jumps from 58% to 71%.
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**Hypothesis:** High volume at retest = institutions actively defending the level.
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Low volume = retail-driven bounce, institutions absent.
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**Action:** Add volume ratio check to Strategy 1 in Phase 2.
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**Status:** To be tested
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---
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### [Date] - Strategy 2, VWAP Session Timing
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**Finding:** VWAP reversals during first 60min of London session have 68% win rate.
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Outside this window: 52% win rate.
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**Hypothesis:** Institutional re-entry at VWAP happens predominantly during early
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session price discovery.
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**Action:** Add session timing filter to Strategy 2.
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**Status:** To be tested
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---
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### [Date] - All Strategies, News Impact
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**Finding:** Win rate drops 15-20% across all strategies when trading within
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2 hours of major news events.
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**Hypothesis:** News-driven volatility creates unpredictable institutional flow
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that technical signals can't capture.
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**Action:** Expand news block window from 30min to 2 hours.
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**Status:** Implemented
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---
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## Pattern Library
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### Stop Hunt Signature
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- Sharp spike through obvious level (>1.5x ATR in single candle)
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- Immediate reversal within 2 candles
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- Volume spike on reversal candle
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-> Indicates liquidity sweep, not genuine breakout
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### Institutional Accumulation Signature
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- Price consolidates in tight range (< 0.5x ATR) for 30+ minutes
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- Volume gradually declining during consolidation
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- Sudden expansion with volume spike
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-> Indicates completed accumulation, strong directional move likely
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---
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## Failed Hypotheses
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Document things that DIDN'T work to avoid retesting them:
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### [Date] - Fibonacci Time Zones
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**Tested:** Using Fibonacci time projections to predict reversal timing.
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**Result:** No edge. Win rate unchanged.
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**Conclusion:** Time-based Fib levels are noise, not institutional behaviour.
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