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Add held-out test set validation and S3 multi-pair expansion

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Test set (Sep 2023 - Dec 2024): only S9_Filtered passes (PF=1.13),
portfolio PF=0.91 FAIL. S3 expansion to GBP_USD, EUR_USD, GBP_AUD
shows no generalization — GBP_JPY remains the only viable pair.
No strategy is consistently profitable across all 4 validation periods.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Brent Neale
2026-02-21 12:41:44 +10:00
co-authored by Claude Opus 4.6
parent c8ec99c4e4
commit 935e02bdc6
26 changed files with 9779 additions and 0 deletions
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results/test_set_validation/trades_S7_Tight_test.csv
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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
2023-09-14 08:00:00+00:00,7,GBP_JPY,SHORT,183.881,184.27114199097255,183.6037870135412,183.2975740270824,183.2975740270824,2537.54,3,LONDON,2.5,0.2041419909725317,26.20884903127468,50.46869243677844,183.84393196273547,184.0412930095047,-2.766666666667561,False,-0.026061013947830346,51.6959032202919,6.606803726452881,0.10389610389611029,8,3,liquidity_sweep_bearish,183.881,TP1+SL,2023-09-14 12:00:00+00:00,13.860649322940333,351.7195208293401,240,True
2023-09-19 12:00:00+00:00,7,GBP_JPY,SHORT,183.286,183.66990931489948,183.04063602765078,182.76627205530156,182.76627205530156,2587.9,5,LONDON,2.5,0.18290931489948176,23.599703183635604,65.24161659783817,183.03124913740024,183.50963292482783,22.1151253851815,False,0.058461483682155195,86.62534126598877,28.375086259976,0.06796116504859594,12,1,liquidity_sweep_bearish,183.286,TP1+SL,2023-09-19 18:00:00+00:00,12.268198617461223,317.488712021279,360,True
2023-10-16 08:00:00+00:00,7,GBP_JPY,SHORT,181.745,182.37043616712455,181.42834574931314,181.0826914986263,181.0826914986263,1593.6,3,LONDON,2.5,0.23043616712456602,34.09046977386149,44.9368820991252,182.17777632318314,182.16603789106424,-8.666666666667311,False,0.07912300143134929,67.01741123833112,-40.37763231831377,0.6864406779661568,8,0,liquidity_sweep_bearish,182.37043616712455,SL,2023-10-16 14:00:00+00:00,-62.543616712454764,-996.6950759296791,360,False
2023-11-03 09:00:00+00:00,7,GBP_JPY,LONG,183.613,183.10521927211659,183.87767109182514,184.17134218365024,184.17134218365024,1943.21,3,LONDON,2.5,0.1957807278834151,18.202420758533762,57.70852852323714,183.31506679514288,182.73873631455072,15.38496648754517,False,0.0024699309405176936,62.26795137894215,26.893320485712024,0.6577181208053583,9,4,liquidity_sweep_bullish,184.17134218365024,TP3,2023-11-03 13:00:00+00:00,41.150951103590884,799.6493969400885,240,True
2023-11-07 12:00:00+00:00,7,GBP_JPY,LONG,185.133,184.59797316378604,185.41754025432095,185.7310805086419,185.7310805086419,1859.2,4,LONDON,2.5,0.20902683621395934,27.86909335385638,48.66723056543609,184.91970505329547,183.67218575359686,4.894695276027505,False,-0.05677853772070395,30.265346918319903,18.429494670454005,0.8821656050955299,12,1,liquidity_sweep_bullish,184.59797316378604,SL,2023-11-08 09:00:00+00:00,-53.502683621397296,-994.7218938890186,1260,False
2023-11-10 10:00:00+00:00,7,GBP_JPY,LONG,185.16899999999998,184.74371646736935,185.40742529894595,185.67485059789195,185.67485059789195,2315.57,3,LONDON,2.5,0.1782835326306506,23.825508179744553,51.804139532819086,185.12891216380854,184.41446418246403,10.482483588322111,False,0.019124581710743993,52.86669851887302,1.108783619145015,0.5570776255707259,10,4,liquidity_sweep_bullish,184.74371646736935,SL,2023-11-10 15:00:00+00:00,-42.52835326306297,-984.7737896535073,300,False
2023-11-22 08:00:00+00:00,7,GBP_JPY,LONG,186.869,186.26661396659793,187.24407905010312,187.64815810020625,187.64815810020625,1618.44,4,LONDON,2.5,0.2693860334020854,41.889324060826794,75.92013373819556,185.7961537262761,185.91505338740143,8.733333333333348,False,0.10013143175323916,94.0683853043588,104.38462737239149,0.7167630057803117,8,2,liquidity_sweep_bullish,186.26661396659793,SL,2023-11-22 13:00:00+00:00,-60.238603340206964,-974.9256518992456,300,False
2024-01-08 10:00:00+00:00,7,GBP_JPY,LONG,183.49,182.7712897954502,183.91356530682472,184.36613061364946,184.36613061364946,1342.93,3,LONDON,2.5,0.3017102045498133,27.404835310642603,47.23394716967616,183.2810319437179,181.87065313855277,10.720235574009962,False,-0.0849572091570127,40.12388841078771,17.996805628212087,0.7602591792656772,10,0,liquidity_sweep_bullish,183.49,TP1+SL,2024-01-08 13:00:00+00:00,21.178265341235655,284.409278747056,180,True
2024-01-26 09:00:00+00:00,7,GBP_JPY,LONG,187.984,187.49928031811547,188.34757952282678,188.74015904565357,188.74015904565357,1997.07,3,LONDON,2.5,0.26171968188451794,19.80050199172515,58.00310417214202,187.73429243839942,187.25572707499302,15.199128488197289,False,0.02889326753456662,60.46636246593334,22.07075616005909,0.4890109890110538,9,4,liquidity_sweep_bullish,187.984,TP1+SL,2024-01-28 22:00:00+00:00,18.17897614133841,363.046878825827,3660,True
2024-03-14 14:00:00+00:00,7,GBP_JPY,SHORT,188.876,189.38702160625854,188.5239675906122,188.14293518122437,188.14293518122437,1901.39,4,OVERLAP,2.5,0.25402160625853776,33.470331562940814,42.06923499533005,189.02674296401221,189.27097617985748,-20.073403572018833,False,-0.03473563699810095,43.63915195619779,-12.17429640122134,0.4622950819671737,14,3,liquidity_sweep_bearish,189.38702160625854,SL,2024-03-15 08:00:00+00:00,-51.10216062585379,-971.6513719239216,1080,False
2024-05-01 14:00:00+00:00,7,GBP_JPY,LONG,196.982,196.27928723990993,197.38156914013507,197.81013828027017,197.81013828027017,1368.89,4,OVERLAP,2.5,0.2857127600900535,24.746472501311878,49.420011057846864,196.78578464728193,194.972179865339,-5.059984861213707,False,-0.041162534015858634,29.08883085881483,16.721535271807397,0.6016597510373287,14,2,liquidity_sweep_bullish,196.27928723990993,SL,2024-05-01 20:00:00+00:00,-70.27127600900654,-961.9364701596899,360,False
2024-07-30 13:00:00+00:00,7,GBP_JPY,SHORT,198.121,199.17628726673414,197.53456909989882,196.9191381997976,196.9191381997976,902.42,4,OVERLAP,2.5,0.41028726673413046,37.580795151586806,46.37329407977431,198.2154905618788,199.89569193400138,-58.209213293645234,False,-0.016540505015113727,13.695274667385908,-6.549056187878932,0.9029411764706232,13,1,liquidity_sweep_bearish,196.9191381997976,TP3,2024-07-30 16:00:00+00:00,89.41596683606186,806.9075679219894,180,True
2024-08-12 16:00:00+00:00,7,GBP_JPY,SHORT,187.959,188.90590940709825,187.3221358893526,186.6562717787052,186.6562717787052,1014.23,3,OVERLAP,2.5,0.44390940709826926,36.570139657260476,51.39414589917375,187.55897175673573,188.73160619875233,-46.54398366586747,False,0.026416914796091873,37.39594442126003,42.90282432642698,0.9025844930417901,16,0,liquidity_sweep_bearish,188.90590940709825,SL,2024-08-13 06:00:00+00:00,-94.69094070982463,-960.3839279612545,840,False
2024-09-10 08:00:00+00:00,7,GBP_JPY,SHORT,187.752,188.4735781779571,187.21013273306434,186.63926546612868,186.63926546612868,1317.64,3,LONDON,2.5,0.380578177957108,25.97304054666003,57.55078247255535,187.60106504146114,189.17408688119278,-6.2999999999959755,False,0.10520043330161027,85.98705133862997,17.993495853886543,0.4275862068965657,8,1,liquidity_sweep_bearish,186.63926546612868,TP3,2024-09-10 13:00:00+00:00,82.73093453090426,1090.095885753007,300,True
2024-10-10 10:00:00+00:00,7,GBP_JPY,LONG,194.89,194.23428030806815,195.28507953789776,195.70915907579553,195.70915907579553,1466.61,3,LONDON,2.5,0.28271969193184976,19.734559996780845,50.92720681296909,194.6101871239519,193.47533923358714,3.7809003583845424,False,-0.06274500910325806,23.258173018537914,25.081287604808722,0.48179271708682736,10,3,liquidity_sweep_bullish,194.23428030806815,SL,2024-10-10 12:00:00+00:00,-65.57196919318356,-961.6850573841496,120,False
2024-10-11 12:00:00+00:00,7,GBP_JPY,LONG,194.771,194.1596065130191,195.20609023047132,195.67018046094265,195.67018046094265,1557.21,4,LONDON,2.5,0.3093934869808818,34.387544919330594,60.444583402748115,194.38634471021692,193.64760421479457,10.668127383672754,False,0.09251890437990201,76.69973429671829,35.56552897830727,0.2995689655172026,12,4,liquidity_sweep_bullish,194.771,TP1+SL,2024-10-11 16:00:00+00:00,21.754511523566578,338.76342889613113,240,True
2024-10-17 10:00:00+00:00,7,GBP_JPY,LONG,194.639,194.0798562058005,195.01821569129928,195.42643138259854,195.42643138259854,1708.78,3,LONDON,2.5,0.27214379419951046,31.49788090960406,56.62922129016336,194.5810277659609,194.3609469372335,12.95290813247334,False,0.05956482455136029,76.08488121539463,2.897223403911653,0.6607142857142911,10,3,liquidity_sweep_bullish,194.639,TP1+SL,2024-10-17 13:00:00+00:00,18.96078456496326,323.9980944891792,180,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 2023-09-14 08:00:00+00:00 7 GBP_JPY SHORT 183.881 184.27114199097255 183.6037870135412 183.2975740270824 183.2975740270824 2537.54 3 LONDON 2.5 0.2041419909725317 26.20884903127468 50.46869243677844 183.84393196273547 184.0412930095047 -2.766666666667561 False -0.026061013947830346 51.6959032202919 6.606803726452881 0.10389610389611029 8 3 liquidity_sweep_bearish 183.881 TP1+SL 2023-09-14 12:00:00+00:00 13.860649322940333 351.7195208293401 240 True
3 2023-09-19 12:00:00+00:00 7 GBP_JPY SHORT 183.286 183.66990931489948 183.04063602765078 182.76627205530156 182.76627205530156 2587.9 5 LONDON 2.5 0.18290931489948176 23.599703183635604 65.24161659783817 183.03124913740024 183.50963292482783 22.1151253851815 False 0.058461483682155195 86.62534126598877 28.375086259976 0.06796116504859594 12 1 liquidity_sweep_bearish 183.286 TP1+SL 2023-09-19 18:00:00+00:00 12.268198617461223 317.488712021279 360 True
4 2023-10-16 08:00:00+00:00 7 GBP_JPY SHORT 181.745 182.37043616712455 181.42834574931314 181.0826914986263 181.0826914986263 1593.6 3 LONDON 2.5 0.23043616712456602 34.09046977386149 44.9368820991252 182.17777632318314 182.16603789106424 -8.666666666667311 False 0.07912300143134929 67.01741123833112 -40.37763231831377 0.6864406779661568 8 0 liquidity_sweep_bearish 182.37043616712455 SL 2023-10-16 14:00:00+00:00 -62.543616712454764 -996.6950759296791 360 False
5 2023-11-03 09:00:00+00:00 7 GBP_JPY LONG 183.613 183.10521927211659 183.87767109182514 184.17134218365024 184.17134218365024 1943.21 3 LONDON 2.5 0.1957807278834151 18.202420758533762 57.70852852323714 183.31506679514288 182.73873631455072 15.38496648754517 False 0.0024699309405176936 62.26795137894215 26.893320485712024 0.6577181208053583 9 4 liquidity_sweep_bullish 184.17134218365024 TP3 2023-11-03 13:00:00+00:00 41.150951103590884 799.6493969400885 240 True
6 2023-11-07 12:00:00+00:00 7 GBP_JPY LONG 185.133 184.59797316378604 185.41754025432095 185.7310805086419 185.7310805086419 1859.2 4 LONDON 2.5 0.20902683621395934 27.86909335385638 48.66723056543609 184.91970505329547 183.67218575359686 4.894695276027505 False -0.05677853772070395 30.265346918319903 18.429494670454005 0.8821656050955299 12 1 liquidity_sweep_bullish 184.59797316378604 SL 2023-11-08 09:00:00+00:00 -53.502683621397296 -994.7218938890186 1260 False
7 2023-11-10 10:00:00+00:00 7 GBP_JPY LONG 185.16899999999998 184.74371646736935 185.40742529894595 185.67485059789195 185.67485059789195 2315.57 3 LONDON 2.5 0.1782835326306506 23.825508179744553 51.804139532819086 185.12891216380854 184.41446418246403 10.482483588322111 False 0.019124581710743993 52.86669851887302 1.108783619145015 0.5570776255707259 10 4 liquidity_sweep_bullish 184.74371646736935 SL 2023-11-10 15:00:00+00:00 -42.52835326306297 -984.7737896535073 300 False
8 2023-11-22 08:00:00+00:00 7 GBP_JPY LONG 186.869 186.26661396659793 187.24407905010312 187.64815810020625 187.64815810020625 1618.44 4 LONDON 2.5 0.2693860334020854 41.889324060826794 75.92013373819556 185.7961537262761 185.91505338740143 8.733333333333348 False 0.10013143175323916 94.0683853043588 104.38462737239149 0.7167630057803117 8 2 liquidity_sweep_bullish 186.26661396659793 SL 2023-11-22 13:00:00+00:00 -60.238603340206964 -974.9256518992456 300 False
9 2024-01-08 10:00:00+00:00 7 GBP_JPY LONG 183.49 182.7712897954502 183.91356530682472 184.36613061364946 184.36613061364946 1342.93 3 LONDON 2.5 0.3017102045498133 27.404835310642603 47.23394716967616 183.2810319437179 181.87065313855277 10.720235574009962 False -0.0849572091570127 40.12388841078771 17.996805628212087 0.7602591792656772 10 0 liquidity_sweep_bullish 183.49 TP1+SL 2024-01-08 13:00:00+00:00 21.178265341235655 284.409278747056 180 True
10 2024-01-26 09:00:00+00:00 7 GBP_JPY LONG 187.984 187.49928031811547 188.34757952282678 188.74015904565357 188.74015904565357 1997.07 3 LONDON 2.5 0.26171968188451794 19.80050199172515 58.00310417214202 187.73429243839942 187.25572707499302 15.199128488197289 False 0.02889326753456662 60.46636246593334 22.07075616005909 0.4890109890110538 9 4 liquidity_sweep_bullish 187.984 TP1+SL 2024-01-28 22:00:00+00:00 18.17897614133841 363.046878825827 3660 True
11 2024-03-14 14:00:00+00:00 7 GBP_JPY SHORT 188.876 189.38702160625854 188.5239675906122 188.14293518122437 188.14293518122437 1901.39 4 OVERLAP 2.5 0.25402160625853776 33.470331562940814 42.06923499533005 189.02674296401221 189.27097617985748 -20.073403572018833 False -0.03473563699810095 43.63915195619779 -12.17429640122134 0.4622950819671737 14 3 liquidity_sweep_bearish 189.38702160625854 SL 2024-03-15 08:00:00+00:00 -51.10216062585379 -971.6513719239216 1080 False
12 2024-05-01 14:00:00+00:00 7 GBP_JPY LONG 196.982 196.27928723990993 197.38156914013507 197.81013828027017 197.81013828027017 1368.89 4 OVERLAP 2.5 0.2857127600900535 24.746472501311878 49.420011057846864 196.78578464728193 194.972179865339 -5.059984861213707 False -0.041162534015858634 29.08883085881483 16.721535271807397 0.6016597510373287 14 2 liquidity_sweep_bullish 196.27928723990993 SL 2024-05-01 20:00:00+00:00 -70.27127600900654 -961.9364701596899 360 False
13 2024-07-30 13:00:00+00:00 7 GBP_JPY SHORT 198.121 199.17628726673414 197.53456909989882 196.9191381997976 196.9191381997976 902.42 4 OVERLAP 2.5 0.41028726673413046 37.580795151586806 46.37329407977431 198.2154905618788 199.89569193400138 -58.209213293645234 False -0.016540505015113727 13.695274667385908 -6.549056187878932 0.9029411764706232 13 1 liquidity_sweep_bearish 196.9191381997976 TP3 2024-07-30 16:00:00+00:00 89.41596683606186 806.9075679219894 180 True
14 2024-08-12 16:00:00+00:00 7 GBP_JPY SHORT 187.959 188.90590940709825 187.3221358893526 186.6562717787052 186.6562717787052 1014.23 3 OVERLAP 2.5 0.44390940709826926 36.570139657260476 51.39414589917375 187.55897175673573 188.73160619875233 -46.54398366586747 False 0.026416914796091873 37.39594442126003 42.90282432642698 0.9025844930417901 16 0 liquidity_sweep_bearish 188.90590940709825 SL 2024-08-13 06:00:00+00:00 -94.69094070982463 -960.3839279612545 840 False
15 2024-09-10 08:00:00+00:00 7 GBP_JPY SHORT 187.752 188.4735781779571 187.21013273306434 186.63926546612868 186.63926546612868 1317.64 3 LONDON 2.5 0.380578177957108 25.97304054666003 57.55078247255535 187.60106504146114 189.17408688119278 -6.2999999999959755 False 0.10520043330161027 85.98705133862997 17.993495853886543 0.4275862068965657 8 1 liquidity_sweep_bearish 186.63926546612868 TP3 2024-09-10 13:00:00+00:00 82.73093453090426 1090.095885753007 300 True
16 2024-10-10 10:00:00+00:00 7 GBP_JPY LONG 194.89 194.23428030806815 195.28507953789776 195.70915907579553 195.70915907579553 1466.61 3 LONDON 2.5 0.28271969193184976 19.734559996780845 50.92720681296909 194.6101871239519 193.47533923358714 3.7809003583845424 False -0.06274500910325806 23.258173018537914 25.081287604808722 0.48179271708682736 10 3 liquidity_sweep_bullish 194.23428030806815 SL 2024-10-10 12:00:00+00:00 -65.57196919318356 -961.6850573841496 120 False
17 2024-10-11 12:00:00+00:00 7 GBP_JPY LONG 194.771 194.1596065130191 195.20609023047132 195.67018046094265 195.67018046094265 1557.21 4 LONDON 2.5 0.3093934869808818 34.387544919330594 60.444583402748115 194.38634471021692 193.64760421479457 10.668127383672754 False 0.09251890437990201 76.69973429671829 35.56552897830727 0.2995689655172026 12 4 liquidity_sweep_bullish 194.771 TP1+SL 2024-10-11 16:00:00+00:00 21.754511523566578 338.76342889613113 240 True
18 2024-10-17 10:00:00+00:00 7 GBP_JPY LONG 194.639 194.0798562058005 195.01821569129928 195.42643138259854 195.42643138259854 1708.78 3 LONDON 2.5 0.27214379419951046 31.49788090960406 56.62922129016336 194.5810277659609 194.3609469372335 12.95290813247334 False 0.05956482455136029 76.08488121539463 2.897223403911653 0.6607142857142911 10 3 liquidity_sweep_bullish 194.639 TP1+SL 2024-10-17 13:00:00+00:00 18.96078456496326 323.9980944891792 180 True