gavindiaz/fx-quant
1
0
Fork 0
mirror of https://github.com/BrentNeale1/fx-quant.git synced 2026-08-26 08:28:04 +00:00
Code Issues Packages Projects Releases Wiki Activity

Add 2025 forward validation: only S3 survives out of 4 strategies

Browse Source 
Downloaded 2025 data (Oct 2024-Dec 2025) for GBP_JPY H1, GBP_AUD H1,
GBP_USD M15+H1 via Dukascopy. Ran all 4 Phase 2 passing strategies on
2025 data. Results: S7_Tight PF=0.52 FAIL, S9_Filtered PF=0.74 FAIL,
S3 PF=1.05 PASS (+52p), S8_OB PF=0.84 FAIL. Portfolio PF=0.83 (-373p).
Only S3 (Key Level Breakout) maintained edge into 2025.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Brent Neale
2026-02-21 12:00:22 +10:00
co-authored by Claude Opus 4.6
parent a4ec5fb0a5
commit 8df1bac3a4
12 changed files with 55182 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files
results/2025_validation/trades_S7_Tight_2025.csv
+19
View File
@@ -0,0 +1,19 @@
timestamp,strategy_id,pair,signal_direction,entry_price,sl_price,tp1_price,tp2_price,tp3_price,lot_size,confluence_score,session,spread_at_entry,atr_at_entry,adx_at_entry,rsi_at_entry,ema_50_value,ema_200_value,vwap_deviation,news_within_60min,macd_hist_at_entry,stoch_k_at_entry,distance_from_ema50_pips,candle_body_ratio,hour_of_day,day_of_week,entry_pattern,exit_price,exit_reason,exit_time,pnl_pips,pnl_dollars,hold_time_minutes,win
2025-01-06 08:00:00+00:00,7,GBP_JPY,LONG,196.795,196.03562464338182,197.20456303492728,197.64312606985453,197.64312606985453,1326.04,3,LONDON,2.5,0.2923753566181812,45.050221339210545,77.80688335793323,195.71885313944267,196.23361299221412,13.56666666666797,False,0.10862603334152274,76.13264615568745,104.71468605573193,0.9339019189765324,8,0,liquidity_sweep_bullish,196.795,TP1+SL,2025-01-06 12:00:00+00:00,20.4781517463644,271.5484834174905,240,True
2025-01-20 08:00:00+00:00,7,GBP_JPY,SHORT,190.368,191.00814705018644,189.90477942472035,189.4125588494407,189.4125588494407,1577.26,4,LONDON,2.5,0.3281470501864324,25.298907150137687,53.43629606532976,190.37008387714386,192.17198916859877,-6.30000000000166,False,0.05233286983744043,67.03372468460755,2.691612285613587,0.3952254641909738,8,0,liquidity_sweep_bearish,191.00814705018644,SL,2025-01-20 13:00:00+00:00,-64.01470501864424,-1009.678336377068,300,False
2025-01-23 16:00:00+00:00,7,GBP_JPY,LONG,192.63,191.9914763841423,193.0067854237866,193.41257084757316,193.41257084757316,1565.46,5,OVERLAP,2.5,0.2705236158577244,18.66356085986309,51.093857506184456,192.3279797181537,192.11847936562066,4.843352747684548,False,-0.04679460852219795,45.385416158364286,27.30202818462999,0.39000000000000923,16,3,liquidity_sweep_bullish,193.41257084757316,TP3,2025-01-24 02:00:00+00:00,57.968313466323494,907.4707599899078,600,True
2025-02-18 14:00:00+00:00,7,GBP_JPY,LONG,191.401,190.61660095897497,191.83309856153755,192.2941971230751,192.2941971230751,1285.89,4,OVERLAP,2.5,0.30739904102502896,21.4599980182721,51.8930443330576,191.32376083769176,191.00195076638033,8.437271970993265,False,-0.02846848606283359,34.04542331279312,4.823916230824921,0.7325102880659059,14,1,liquidity_sweep_bullish,191.401,TP1+SL,2025-02-19 01:00:00+00:00,21.60492807687717,277.8156096477559,660,True
2025-02-26 16:00:00+00:00,7,GBP_JPY,SHORT,189.275,190.21298715589526,188.7235192661571,188.14303853231416,188.14303853231416,1078.3,4,OVERLAP,2.5,0.3869871558952756,22.133066874265946,54.18003728061299,189.11118565385374,189.7835561346014,2.4538497016692418,False,0.06168790896406007,70.7215119032236,19.28143461462639,0.8388278388278478,16,2,liquidity_sweep_bearish,189.275,TP1+SL,2025-02-27 08:00:00+00:00,27.574036692145402,297.33083765140384,960,True
2025-03-06 15:00:00+00:00,7,GBP_JPY,LONG,191.106,189.7752292340628,191.85065614890576,192.62431229781154,192.62431229781154,762.27,4,OVERLAP,2.5,0.5157707659371802,46.93199444636843,48.41002242969856,191.0828601212273,190.28532328403827,53.69696397433188,False,-0.1501054792100494,58.621741402055534,-0.5860121227300397,0.7652947719688403,15,3,liquidity_sweep_bullish,189.7752292340628,SL,2025-03-07 17:00:00+00:00,-133.07707659371886,-1014.4066317509407,1560,False
2025-03-13 09:00:00+00:00,7,GBP_JPY,LONG,192.018,190.96996870844208,192.58154693733692,193.17409387467382,193.17409387467382,958.24,4,LONDON,2.5,0.39503129155793953,34.48310138818815,53.6518517301343,191.57661097842632,190.80803703314126,41.22496199382795,False,-0.0869180645672551,57.10849783778287,41.238902157368784,0.7356143079315904,9,3,liquidity_sweep_bullish,190.96996870844208,SL,2025-03-13 17:00:00+00:00,-104.80312915579191,-1004.2655048224603,480,False
2025-03-21 08:00:00+00:00,7,GBP_JPY,LONG,193.465,192.60699022054078,193.94301466918884,194.45002933837765,194.45002933837765,1158.75,4,LONDON,2.5,0.3380097794592138,19.55413013900674,57.59345719786689,193.21326929977846,192.64402368080886,14.099999999999113,False,0.07378067080985559,64.68349606404871,22.273070022154684,0.5474060822898265,8,4,liquidity_sweep_bullish,192.60699022054078,SL,2025-03-21 12:00:00+00:00,-85.80097794592234,-994.2188319483752,240,False
2025-04-10 13:00:00+00:00,7,GBP_JPY,SHORT,187.113,188.6969894079523,186.14001588807156,185.13803177614312,185.13803177614312,621.39,3,OVERLAP,2.5,0.6679894079522872,22.675582678106778,42.105428917197436,187.7886506113008,189.6986960361379,-81.28752132374188,False,-0.18187732366884368,22.821017680266227,-64.66506113007995,0.861365953109076,13,3,liquidity_sweep_bearish,187.113,TP1+SL,2025-04-11 06:00:00+00:00,48.649205596422014,302.30129865560673,1020,True
2025-05-07 12:00:00+00:00,7,GBP_JPY,LONG,191.644,191.03785831575223,192.06071252637167,192.50642505274334,192.50642505274334,1628.83,3,LONDON,2.5,0.2971416842477794,30.04581062738892,64.51742125633898,191.14319599460813,191.06214272652716,32.78067002964917,False,0.07921229071340095,76.64342719685682,47.18040053918742,0.7922535211268634,12,2,liquidity_sweep_bullish,191.03785831575223,SL,2025-05-07 18:00:00+00:00,-60.614168424777404,-987.3017595533017,360,False
2025-09-25 14:00:00+00:00,7,GBP_JPY,SHORT,199.696,200.1487560194459,199.40736597083117,199.08973194166234,199.08973194166234,2158.84,4,OVERLAP,2.5,0.21175601944588426,31.759483416022125,41.53198926024545,199.90856344598103,199.8488025993896,-11.70593311110224,False,-0.06154447825391013,28.71972318339205,-18.356344598103647,0.2895927601809588,14,3,liquidity_sweep_bearish,200.1487560194459,SL,2025-09-26 07:00:00+00:00,-45.27560194458999,-977.4278050205867,1020,False
2025-10-09 11:00:00+00:00,7,GBP_JPY,LONG,204.387,203.68883656502143,204.80824515246786,205.25849030493572,205.25849030493572,1386.0,3,LONDON,2.5,0.3001634349785676,26.47777521556377,50.07149501573136,203.95657599082438,201.64379957839563,15.37902553312449,False,-0.0784209891394244,40.970714071725496,40.14240091756278,0.6354679802955814,11,3,liquidity_sweep_bullish,203.68883656502143,SL,2025-10-09 15:00:00+00:00,-69.81634349785679,-967.6545208802952,240,False
2025-11-24 12:00:00+00:00,7,GBP_JPY,LONG,205.68699999999998,204.982931102766,206.10210334585096,206.54620669170194,206.54620669170194,1360.63,3,LONDON,2.5,0.29606889723398366,28.937655011938737,60.26378817556637,205.24125319483898,204.39473049527857,32.74583855999822,False,0.059839510918221234,55.56168461605938,41.67468051610115,0.8740554156170971,12,0,liquidity_sweep_bullish,205.77,TIME,2025-11-26 04:00:00+00:00,8.300000000002683,112.93229000003652,2400,True
2025-12-03 09:00:00+00:00,7,GBP_JPY,LONG,206.666,206.0605009907832,206.98874851382521,207.3404970276504,207.3404970276504,1583.99,4,LONDON,2.5,0.23449900921680372,28.344594479891004,72.17672370547221,205.9594723013251,205.7422457337999,19.86240915854296,False,0.06360367716976709,90.23947202070583,67.75276986749077,0.585858585858562,9,2,liquidity_sweep_bullish,207.3404970276504,TP3,2025-12-03 21:00:00+00:00,49.86270289529991,789.8202275912611,720,True
2025-12-23 09:00:00+00:00,7,GBP_JPY,LONG,210.611,210.04134466889494,210.9699829966576,211.3579659933152,211.3579659933152,1697.52,4,LONDON,2.5,0.25865533110506334,41.48957497418431,42.89300280553006,210.52938837174582,209.04430568410808,-0.17577004943234442,False,-0.0806279410814187,67.69704779631962,5.261162825416932,0.16155988857937573,9,1,liquidity_sweep_bullish,210.611,TP1+SL,2025-12-23 15:00:00+00:00,17.949149832880096,304.6904082431062,360,True
2025-12-24 15:00:00+00:00,7,GBP_JPY,LONG,210.406,209.77845579590925,210.77381630613615,211.1706326122723,211.1706326122723,1545.79,4,OVERLAP,2.5,0.2645442040907657,23.160935773629824,42.92575626793039,210.59786209934424,209.46187458014302,-11.337377135691895,False,-0.027031930118123687,38.270999947637016,-22.086209934423096,0.5810810810811182,15,2,liquidity_sweep_bullish,210.406,TP1+SL,2025-12-25 07:00:00+00:00,18.39081530680744,284.28338393109874,960,True
2025-12-30 08:00:00+00:00,7,GBP_JPY,LONG,210.74,210.31343409461678,211.04934885807484,211.38769771614963,211.38769771614963,2280.76,3,LONDON,2.5,0.22556590538320787,27.79658816044497,44.176618763832884,210.85847556356012,210.1984761267166,3.5666666666656965,False,-0.005321844175906129,28.660863172250515,-14.747556356010705,0.21940928270048873,8,1,liquidity_sweep_bullish,210.31343409461678,SL,2025-12-30 22:00:00+00:00,-42.656590538322796,-972.8944543618512,840,False
2025-12-31 09:00:00+00:00,7,GBP_JPY,LONG,210.492,210.0619801216865,210.76002981747024,211.0570596349405,211.0570596349405,2239.81,3,LONDON,2.5,0.1980198783134948,28.740310445169715,42.19993800482815,210.70362349428802,210.29074875948643,1.797318301254336,False,-0.0119967564523158,24.784612302144044,-24.06234942880303,0.5445544554455232,9,2,liquidity_sweep_bullish,211.0570596349405,TP3,2025-12-31 13:00:00+00:00,41.65472490070168,932.9866937984063,240,True
1 timestamp strategy_id pair signal_direction entry_price sl_price tp1_price tp2_price tp3_price lot_size confluence_score session spread_at_entry atr_at_entry adx_at_entry rsi_at_entry ema_50_value ema_200_value vwap_deviation news_within_60min macd_hist_at_entry stoch_k_at_entry distance_from_ema50_pips candle_body_ratio hour_of_day day_of_week entry_pattern exit_price exit_reason exit_time pnl_pips pnl_dollars hold_time_minutes win
2 2025-01-06 08:00:00+00:00 7 GBP_JPY LONG 196.795 196.03562464338182 197.20456303492728 197.64312606985453 197.64312606985453 1326.04 3 LONDON 2.5 0.2923753566181812 45.050221339210545 77.80688335793323 195.71885313944267 196.23361299221412 13.56666666666797 False 0.10862603334152274 76.13264615568745 104.71468605573193 0.9339019189765324 8 0 liquidity_sweep_bullish 196.795 TP1+SL 2025-01-06 12:00:00+00:00 20.4781517463644 271.5484834174905 240 True
3 2025-01-20 08:00:00+00:00 7 GBP_JPY SHORT 190.368 191.00814705018644 189.90477942472035 189.4125588494407 189.4125588494407 1577.26 4 LONDON 2.5 0.3281470501864324 25.298907150137687 53.43629606532976 190.37008387714386 192.17198916859877 -6.30000000000166 False 0.05233286983744043 67.03372468460755 2.691612285613587 0.3952254641909738 8 0 liquidity_sweep_bearish 191.00814705018644 SL 2025-01-20 13:00:00+00:00 -64.01470501864424 -1009.678336377068 300 False
4 2025-01-23 16:00:00+00:00 7 GBP_JPY LONG 192.63 191.9914763841423 193.0067854237866 193.41257084757316 193.41257084757316 1565.46 5 OVERLAP 2.5 0.2705236158577244 18.66356085986309 51.093857506184456 192.3279797181537 192.11847936562066 4.843352747684548 False -0.04679460852219795 45.385416158364286 27.30202818462999 0.39000000000000923 16 3 liquidity_sweep_bullish 193.41257084757316 TP3 2025-01-24 02:00:00+00:00 57.968313466323494 907.4707599899078 600 True
5 2025-02-18 14:00:00+00:00 7 GBP_JPY LONG 191.401 190.61660095897497 191.83309856153755 192.2941971230751 192.2941971230751 1285.89 4 OVERLAP 2.5 0.30739904102502896 21.4599980182721 51.8930443330576 191.32376083769176 191.00195076638033 8.437271970993265 False -0.02846848606283359 34.04542331279312 4.823916230824921 0.7325102880659059 14 1 liquidity_sweep_bullish 191.401 TP1+SL 2025-02-19 01:00:00+00:00 21.60492807687717 277.8156096477559 660 True
6 2025-02-26 16:00:00+00:00 7 GBP_JPY SHORT 189.275 190.21298715589526 188.7235192661571 188.14303853231416 188.14303853231416 1078.3 4 OVERLAP 2.5 0.3869871558952756 22.133066874265946 54.18003728061299 189.11118565385374 189.7835561346014 2.4538497016692418 False 0.06168790896406007 70.7215119032236 19.28143461462639 0.8388278388278478 16 2 liquidity_sweep_bearish 189.275 TP1+SL 2025-02-27 08:00:00+00:00 27.574036692145402 297.33083765140384 960 True
7 2025-03-06 15:00:00+00:00 7 GBP_JPY LONG 191.106 189.7752292340628 191.85065614890576 192.62431229781154 192.62431229781154 762.27 4 OVERLAP 2.5 0.5157707659371802 46.93199444636843 48.41002242969856 191.0828601212273 190.28532328403827 53.69696397433188 False -0.1501054792100494 58.621741402055534 -0.5860121227300397 0.7652947719688403 15 3 liquidity_sweep_bullish 189.7752292340628 SL 2025-03-07 17:00:00+00:00 -133.07707659371886 -1014.4066317509407 1560 False
8 2025-03-13 09:00:00+00:00 7 GBP_JPY LONG 192.018 190.96996870844208 192.58154693733692 193.17409387467382 193.17409387467382 958.24 4 LONDON 2.5 0.39503129155793953 34.48310138818815 53.6518517301343 191.57661097842632 190.80803703314126 41.22496199382795 False -0.0869180645672551 57.10849783778287 41.238902157368784 0.7356143079315904 9 3 liquidity_sweep_bullish 190.96996870844208 SL 2025-03-13 17:00:00+00:00 -104.80312915579191 -1004.2655048224603 480 False
9 2025-03-21 08:00:00+00:00 7 GBP_JPY LONG 193.465 192.60699022054078 193.94301466918884 194.45002933837765 194.45002933837765 1158.75 4 LONDON 2.5 0.3380097794592138 19.55413013900674 57.59345719786689 193.21326929977846 192.64402368080886 14.099999999999113 False 0.07378067080985559 64.68349606404871 22.273070022154684 0.5474060822898265 8 4 liquidity_sweep_bullish 192.60699022054078 SL 2025-03-21 12:00:00+00:00 -85.80097794592234 -994.2188319483752 240 False
10 2025-04-10 13:00:00+00:00 7 GBP_JPY SHORT 187.113 188.6969894079523 186.14001588807156 185.13803177614312 185.13803177614312 621.39 3 OVERLAP 2.5 0.6679894079522872 22.675582678106778 42.105428917197436 187.7886506113008 189.6986960361379 -81.28752132374188 False -0.18187732366884368 22.821017680266227 -64.66506113007995 0.861365953109076 13 3 liquidity_sweep_bearish 187.113 TP1+SL 2025-04-11 06:00:00+00:00 48.649205596422014 302.30129865560673 1020 True
11 2025-05-07 12:00:00+00:00 7 GBP_JPY LONG 191.644 191.03785831575223 192.06071252637167 192.50642505274334 192.50642505274334 1628.83 3 LONDON 2.5 0.2971416842477794 30.04581062738892 64.51742125633898 191.14319599460813 191.06214272652716 32.78067002964917 False 0.07921229071340095 76.64342719685682 47.18040053918742 0.7922535211268634 12 2 liquidity_sweep_bullish 191.03785831575223 SL 2025-05-07 18:00:00+00:00 -60.614168424777404 -987.3017595533017 360 False
12 2025-09-25 14:00:00+00:00 7 GBP_JPY SHORT 199.696 200.1487560194459 199.40736597083117 199.08973194166234 199.08973194166234 2158.84 4 OVERLAP 2.5 0.21175601944588426 31.759483416022125 41.53198926024545 199.90856344598103 199.8488025993896 -11.70593311110224 False -0.06154447825391013 28.71972318339205 -18.356344598103647 0.2895927601809588 14 3 liquidity_sweep_bearish 200.1487560194459 SL 2025-09-26 07:00:00+00:00 -45.27560194458999 -977.4278050205867 1020 False
13 2025-10-09 11:00:00+00:00 7 GBP_JPY LONG 204.387 203.68883656502143 204.80824515246786 205.25849030493572 205.25849030493572 1386.0 3 LONDON 2.5 0.3001634349785676 26.47777521556377 50.07149501573136 203.95657599082438 201.64379957839563 15.37902553312449 False -0.0784209891394244 40.970714071725496 40.14240091756278 0.6354679802955814 11 3 liquidity_sweep_bullish 203.68883656502143 SL 2025-10-09 15:00:00+00:00 -69.81634349785679 -967.6545208802952 240 False
14 2025-11-24 12:00:00+00:00 7 GBP_JPY LONG 205.68699999999998 204.982931102766 206.10210334585096 206.54620669170194 206.54620669170194 1360.63 3 LONDON 2.5 0.29606889723398366 28.937655011938737 60.26378817556637 205.24125319483898 204.39473049527857 32.74583855999822 False 0.059839510918221234 55.56168461605938 41.67468051610115 0.8740554156170971 12 0 liquidity_sweep_bullish 205.77 TIME 2025-11-26 04:00:00+00:00 8.300000000002683 112.93229000003652 2400 True
15 2025-12-03 09:00:00+00:00 7 GBP_JPY LONG 206.666 206.0605009907832 206.98874851382521 207.3404970276504 207.3404970276504 1583.99 4 LONDON 2.5 0.23449900921680372 28.344594479891004 72.17672370547221 205.9594723013251 205.7422457337999 19.86240915854296 False 0.06360367716976709 90.23947202070583 67.75276986749077 0.585858585858562 9 2 liquidity_sweep_bullish 207.3404970276504 TP3 2025-12-03 21:00:00+00:00 49.86270289529991 789.8202275912611 720 True
16 2025-12-23 09:00:00+00:00 7 GBP_JPY LONG 210.611 210.04134466889494 210.9699829966576 211.3579659933152 211.3579659933152 1697.52 4 LONDON 2.5 0.25865533110506334 41.48957497418431 42.89300280553006 210.52938837174582 209.04430568410808 -0.17577004943234442 False -0.0806279410814187 67.69704779631962 5.261162825416932 0.16155988857937573 9 1 liquidity_sweep_bullish 210.611 TP1+SL 2025-12-23 15:00:00+00:00 17.949149832880096 304.6904082431062 360 True
17 2025-12-24 15:00:00+00:00 7 GBP_JPY LONG 210.406 209.77845579590925 210.77381630613615 211.1706326122723 211.1706326122723 1545.79 4 OVERLAP 2.5 0.2645442040907657 23.160935773629824 42.92575626793039 210.59786209934424 209.46187458014302 -11.337377135691895 False -0.027031930118123687 38.270999947637016 -22.086209934423096 0.5810810810811182 15 2 liquidity_sweep_bullish 210.406 TP1+SL 2025-12-25 07:00:00+00:00 18.39081530680744 284.28338393109874 960 True
18 2025-12-30 08:00:00+00:00 7 GBP_JPY LONG 210.74 210.31343409461678 211.04934885807484 211.38769771614963 211.38769771614963 2280.76 3 LONDON 2.5 0.22556590538320787 27.79658816044497 44.176618763832884 210.85847556356012 210.1984761267166 3.5666666666656965 False -0.005321844175906129 28.660863172250515 -14.747556356010705 0.21940928270048873 8 1 liquidity_sweep_bullish 210.31343409461678 SL 2025-12-30 22:00:00+00:00 -42.656590538322796 -972.8944543618512 840 False
19 2025-12-31 09:00:00+00:00 7 GBP_JPY LONG 210.492 210.0619801216865 210.76002981747024 211.0570596349405 211.0570596349405 2239.81 3 LONDON 2.5 0.1980198783134948 28.740310445169715 42.19993800482815 210.70362349428802 210.29074875948643 1.797318301254336 False -0.0119967564523158 24.784612302144044 -24.06234942880303 0.5445544554455232 9 2 liquidity_sweep_bullish 211.0570596349405 TP3 2025-12-31 13:00:00+00:00 41.65472490070168 932.9866937984063 240 True