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>
This commit is contained in:
Brent Neale
2026-02-18 06:04:40 +10:00
co-authored by Claude Opus 4.6
parent 5d7f6c60a9
commit dce54845c2
103 changed files with 26083 additions and 123 deletions
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@@ -11,7 +11,7 @@
{% for s in summaries %}
<div class="card mb-4">
<div class="card-header">
<strong>{{ s.instrument }} / {{ s.granularity }}</strong>
<strong>{% if s.strategy_name %}{{ s.strategy_name }} &mdash; {% endif %}{{ s.instrument }} / {{ s.granularity }}</strong>
<span class="text-muted float-end">Run: {{ s.run_time[:19] }} | {{ s.data_range.bars | default(0) }} bars ({{ s.data_range.start[:10] }} to {{ s.data_range.end[:10] }})</span>
</div>
<div class="card-body">