 Brent Neale
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dce54845c2
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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>
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2026-02-18 06:04:40 +10:00 |
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