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Author SHA1 Message Date
Brent Neale 17b80b7d17 Add 5 new ranging strategies (S17-S21) — all tested, none show edge 
Implemented and backtested 5 ranging-market M15 strategies across
3 periods (Training 2021-2023, Test Set 2023-2024, 2025) and 4 pairs
(EUR_USD, GBP_USD, GBP_JPY, GBP_AUD). All 5 fail Phase 1 validation:

- S17 BB Rejection: PF 0.55-0.92, -1208p on 2025 (347 trades)
- S18 Failed Breakout: PF 0.53-0.84, -1905p on 2025 (747 trades)
- S19 VWAP Deviation: PF 0.23-1.65, -87p on 2025 (37 trades)
- S20 Range Compression: only 5 trades on 2025 (too restrictive)
- S21 EMA Ribbon Bounce: PF 0.64-0.89, -3358p on 2025 (1088 trades)

Also added midnight-reset VWAP indicator and downloaded 2025 M15 data
for EUR_USD, GBP_JPY, GBP_AUD.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
 2026-02-21 20:48:03 +10:00
Brent Neale 935e02bdc6 Add held-out test set validation and S3 multi-pair expansion 
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>
 2026-02-21 12:41:44 +10:00
Brent Neale 8df1bac3a4 Add 2025 forward validation: only S3 survives out of 4 strategies 
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>
 2026-02-21 12:00:22 +10:00
Brent Neale dce54845c2 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>
 2026-02-18 06:04:40 +10:00