Phase 1: Event-driven backtester, 5 strategies, and baseline results

- Built event-driven backtesting engine with spread/slippage modeling,
  3-TP partial closes, trailing stops, and rich trade logging (20+ features)
- Implemented 5 strategy signal generators (MA Breakout, VWAP Reversal,
  Key Level Breakout, EMA Ribbon Scalp, Momentum Exhaustion)
- Full indicator library (EMA, SMA, RSI, ATR, MACD, ADX, Stochastic,
  Session VWAP bands, swing points, key levels, RSI divergence)
- Data pipeline: Dukascopy download, validation, 70/30 train/test split
- Baseline results: all 5 strategies generate 200+ trades on training data
  (Jan 2021 - Aug 2023), best profit factors 0.82-0.96 on select pairs
- Trade logs and reports saved for Phase 3 ML feature engineering

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>

docs/smart_money_research.md

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