gavindiaz/fx-quant
1
0
Fork 0
mirror of https://github.com/BrentNeale1/fx-quant.git synced 2026-08-24 23:48:04 +00:00
Code Issues Packages Projects Releases Wiki Activity

Phase 1 complete: S7-S9 Smart Money strategies, expanded pair testing, consolidated scorecard

Browse Source 
- S7 Liquidity Sweep: built, tested across 6 pairs, tight SL (1.0 ATR) on GBP_JPY
  is Phase 2 candidate (107 trades, OOS PF 1.39, gen ratio 1.81)
- S8 Order Block: built, tested on GBP_JPY (watchlist, 32 trades, OOS PF 1.55)
- S9 London Session: built, tested across 8 pairs with filter experiments
  GBP_USD (OOS PF 1.45) and GBP_AUD filtered (OOS PF 1.94) advance to Phase 2
- Added OBV indicator to technical.py
- Added GBP_NZD to engine spread/pip config
- Standalone OANDA fetcher (bypasses Supabase dependency)
- Fetched EUR_GBP, EUR_USD, GBP_NZD H1 data (2021-2023)
- Consolidated STRATEGY_LEARNINGS.md with full Phase 1 scorecard and 11 design principles
- Phase 2 roster: S7/GBP_JPY, S9/GBP_USD, S9F/GBP_AUD, S4-F/EUR_AUD, S3/GBP_JPY

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Brent Neale
2026-02-19 13:56:03 +10:00
co-authored by Claude Opus 4.6
parent 70a216d695
commit 39a6536284
83 changed files with 7737 additions and 94 deletions
Download Patch File Download Diff File Expand all files Collapse all files
results/phase1/s7_expanded_results.json
+236
View File
@@ -0,0 +1,236 @@
{
"GBP_JPY": {
"mode": "FULL_DATASET",
"FULL": {
"trades": 107,
"wr": 59.8,
"pf": 0.96,
"pnl_pips": -22.1,
"pnl_usd": -1734.16,
"dd": -11.85,
"avg_win": 42.2,
"avg_loss": 63.3,
"rr": 0.67,
"expectancy": -0.21
},
"TRAIN": {
"trades": 61,
"wr": 54.1,
"pf": 0.77,
"pnl_pips": -336.9,
"pnl_usd": -6147.64,
"dd": -11.78,
"avg_win": 38.0,
"avg_loss": 56.8,
"rr": 0.67,
"expectancy": -5.52
},
"TEST": {
"trades": 43,
"wr": 67.4,
"pf": 1.39,
"pnl_pips": 331.2,
"pnl_usd": 5088.11,
"dd": -3.84,
"avg_win": 47.8,
"avg_loss": 75.3,
"rr": 0.63,
"expectancy": 7.7
}
},
"GBP_USD": {
"mode": "6_MONTHS",
"FULL": {
"trades": 19,
"wr": 63.2,
"pf": 0.86,
"pnl_pips": 48.6,
"pnl_usd": -1010.19,
"dd": -3.1,
"avg_win": 25.8,
"avg_loss": 37.3,
"rr": 0.69,
"expectancy": 2.56
},
"TRAIN": {
"trades": 10,
"wr": 60.0,
"pf": 0.74,
"pnl_pips": -4.2,
"pnl_usd": -1063.13,
"dd": -2.63,
"avg_win": 25.2,
"avg_loss": 38.9,
"rr": 0.65,
"expectancy": -0.42
},
"TEST": {
"trades": 6,
"wr": 66.7,
"pf": 1.24,
"pnl_pips": 60.2,
"pnl_usd": 495.36,
"dd": -1.0,
"avg_win": 33.7,
"avg_loss": 37.2,
"rr": 0.9,
"expectancy": 10.04
}
},
"EUR_AUD": {
"mode": "6_MONTHS",
"FULL": {
"trades": 14,
"wr": 42.9,
"pf": 0.29,
"pnl_pips": -254.0,
"pnl_usd": -5509.05,
"dd": -6.27,
"avg_win": 27.1,
"avg_loss": 52.1,
"rr": 0.52,
"expectancy": -18.14
},
"TRAIN": {
"trades": 12,
"wr": 41.7,
"pf": 0.29,
"pnl_pips": -217.1,
"pnl_usd": -4826.02,
"dd": -5.85,
"avg_win": 28.6,
"avg_loss": 51.4,
"rr": 0.56,
"expectancy": -18.09
},
"TEST": {
"trades": 2,
"wr": 50.0,
"pf": 0.28,
"pnl_pips": -37.0,
"pnl_usd": -717.66,
"dd": -1.0,
"avg_win": 19.7,
"avg_loss": 56.7,
"rr": 0.35,
"expectancy": -18.48
}
},
"GBP_AUD": {
"mode": "6_MONTHS",
"FULL": {
"trades": 14,
"wr": 57.1,
"pf": 0.83,
"pnl_pips": -185.7,
"pnl_usd": -1009.26,
"dd": -2.63,
"avg_win": 39.8,
"avg_loss": 84.0,
"rr": 0.47,
"expectancy": -13.26
},
"TRAIN": {
"trades": 10,
"wr": 60.0,
"pf": 0.91,
"pnl_pips": -79.6,
"pnl_usd": -346.37,
"dd": -1.99,
"avg_win": 40.9,
"avg_loss": 81.2,
"rr": 0.5,
"expectancy": -7.96
},
"TEST": {
"trades": 4,
"wr": 50.0,
"pf": 0.67,
"pnl_pips": -106.1,
"pnl_usd": -665.19,
"dd": -1.99,
"avg_win": 36.3,
"avg_loss": 89.3,
"rr": 0.41,
"expectancy": -26.52
}
},
"EUR_USD": {
"mode": "6_MONTHS",
"FULL": {
"trades": 22,
"wr": 77.3,
"pf": 1.88,
"pnl_pips": 189.8,
"pnl_usd": 4527.98,
"dd": -2.97,
"avg_win": 20.7,
"avg_loss": 32.4,
"rr": 0.64,
"expectancy": 8.63
},
"TRAIN": {
"trades": 18,
"wr": 77.8,
"pf": 1.91,
"pnl_pips": 166.8,
"pnl_usd": 3723.01,
"dd": -2.97,
"avg_win": 20.7,
"avg_loss": 30.7,
"rr": 0.67,
"expectancy": 9.27
},
"TEST": {
"trades": 3,
"wr": 66.7,
"pf": 0.94,
"pnl_pips": -4.9,
"pnl_usd": -63.33,
"dd": -1.0,
"avg_win": 17.2,
"avg_loss": 39.3,
"rr": 0.44,
"expectancy": -1.63
}
},
"GBP_NZD": {
"mode": "6_MONTHS",
"FULL": {
"trades": 16,
"wr": 43.8,
"pf": 0.39,
"pnl_pips": -306.5,
"pnl_usd": -5353.48,
"dd": -6.61,
"avg_win": 42.5,
"avg_loss": 67.1,
"rr": 0.63,
"expectancy": -19.16
},
"TRAIN": {
"trades": 10,
"wr": 40.0,
"pf": 0.29,
"pnl_pips": -211.5,
"pnl_usd": -4069.53,
"dd": -4.58,
"avg_win": 40.6,
"avg_loss": 62.3,
"rr": 0.65,
"expectancy": -21.15
},
"TEST": {
"trades": 5,
"wr": 60.0,
"pf": 0.93,
"pnl_pips": -14.2,
"pnl_usd": -145.85,
"dd": -1.25,
"avg_win": 45.2,
"avg_loss": 74.8,
"rr": 0.6,
"expectancy": -2.84
}
}
}