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Phase 1 complete: S3-S6 strategies, S4 variant analysis, learnings doc

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- S3 Key Level Breakout: best performer (52-53% WR, PF ~1.0 on JPY crosses)
- S4 EMA Ribbon: tested 7 variants (D/E/F/F-v2/G/G-Minimal), exhausted
  - Only EUR_AUD S4-F marginally profitable (PF 1.06)
  - Detailed filter funnel analysis revealed contradictory filter stacking
- S5 Momentum Exhaustion: extended to 5 pairs, PF 0.43-0.77
- S6 EMA Bounce: 59-60% WR but PF 0.83-0.84, needs SL/TP restructuring
- Added STRATEGY_LEARNINGS.md with design principles and next steps
- Added M5 data downloader for 3-timeframe strategies
- Updated README with full strategy scorecard

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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Brent Neale
2026-02-18 20:42:16 +10:00
co-authored by Claude Opus 4.6
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README.md
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@@ -96,9 +96,53 @@ fx-quant/
requirements.docker.txt# Docker-specific deps
```
## Strategies
## Phase 1: Strategy Backtesting Status
### 1. SMA Cross (original)
Backtested 6 strategy families across 10 currency pairs on 2021-2024 data. Full results in `results/phase1/`, detailed learnings in `results/STRATEGY_LEARNINGS.md`.
### Working Strategies
**S3 — Key Level Momentum Breakout** (H1 timeframe) — Best performer
| Pair | Trades | Win Rate | PF | PnL (pips) | Max DD |
|------|--------|----------|-----|------------|--------|
| GBP_JPY | 155 | 52.3% | 0.99 | +408 | -13.5% |
| GBP_USD | 179 | 53.1% | 1.02 | +97 | -10.2% |
| USD_JPY | 138 | 52.9% | 1.00 | +66 | -9.8% |
Breakout of horizontal S/R levels (3+ touch clusters) with volume confirmation, strong candle close, MACD alignment, and ADX > 20. Simple, 4-filter approach on H1. Needs SL/TP tuning to push PF above 1.0 consistently.
### Strategies With Potential (Need Tweaks)
**S4-F — EMA Ribbon Trend Context** (EUR_AUD only): 95 trades, 45.3% WR, PF 1.06, +173 pips. Only profitable on EUR_AUD. Needs pair-specific tuning and SL/TP restructuring.
**S6 — EMA Bounce** (EUR_AUD/GBP_USD): 59-60% win rate but PF 0.83-0.84. Win rate is strong — needs tighter SL or trailing stop to fix risk/reward.
### Strategies Retired
| Strategy | Issue | Status |
|----------|-------|--------|
| S1 — MA Breakout | 35-47% WR, PF 0.40-0.88 | No edge |
| S2 — VWAP Reversal | 20-25% WR, 26 consecutive losses | Disabled |
| S4 — EMA Ribbon (6 variants) | Extensively tested D/E/F/F-v2/G/G-Minimal. Only EUR_AUD S4-F marginal. | Exhausted |
| S5 — Momentum Exhaustion | High trade count but PF 0.43-0.77 | Too much noise |
### Key Learnings
1. **Momentum + mean-reversion filters are contradictory** — don't combine in one strategy
2. **3-4 hard filters max** — more gates compound multiplicatively and kill trade count
3. **Always validate thresholds against data distributions** before running backtests
4. **Simple strategies beat complex ones** — S3 (4 filters) outperforms S4 (7+ filters)
5. **H1 timeframe has natural edge** — lower timeframes (M5/M15) struggle with noise
Full filter analysis and design principles in [`results/STRATEGY_LEARNINGS.md`](results/STRATEGY_LEARNINGS.md).
### Next Phase
Moving to Smart Money / institutional flow strategies. Will also revisit S3 (SL/TP tuning, expanded pairs) and S6 (risk/reward restructuring).
---
## Strategies (Legacy Reference)
### SMA Cross (original)
Long-only strategy. Goes long when short SMA > long SMA, flat otherwise.
@@ -110,7 +154,7 @@ strategy:
long: 100
```
### 2. Pivot Retest + Engulfing (current)
### Pivot Retest + Engulfing
Long/short strategy with dual take-profit and ATR-based stop loss.