Brent Neale and Claude Opus 4.6
17b80b7d17
Add 5 new ranging strategies (S17-S21) — all tested, none show edge
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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 and Claude Opus 4.6
af994b0fbe
Add Phase 1 trade preview PNGs, live engine state, remove master prompt PDF
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Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com >
2026-02-19 14:54:04 +10:00
Brent Neale and Claude Opus 4.6
39a6536284
Phase 1 complete: S7-S9 Smart Money strategies, expanded pair testing, consolidated scorecard
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- S7 Liquidity Sweep: built, tested across 6 pairs, tight SL (1.0 ATR) on GBP_JPY
is Phase 2 candidate (107 trades, OOS PF 1.39, gen ratio 1.81)
- S8 Order Block: built, tested on GBP_JPY (watchlist, 32 trades, OOS PF 1.55)
- S9 London Session: built, tested across 8 pairs with filter experiments
GBP_USD (OOS PF 1.45) and GBP_AUD filtered (OOS PF 1.94) advance to Phase 2
- Added OBV indicator to technical.py
- Added GBP_NZD to engine spread/pip config
- Standalone OANDA fetcher (bypasses Supabase dependency)
- Fetched EUR_GBP, EUR_USD, GBP_NZD H1 data (2021-2023)
- Consolidated STRATEGY_LEARNINGS.md with full Phase 1 scorecard and 11 design principles
- Phase 2 roster: S7/GBP_JPY, S9/GBP_USD, S9F/GBP_AUD, S4-F/EUR_AUD, S3/GBP_JPY
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com >
2026-02-19 13:56:03 +10:00
Brent Neale and Claude Opus 4.6
edbe359d1b
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 >
2026-02-18 20:42:16 +10:00
Brent Neale and Claude Opus 4.6
dce54845c2
Phase 1: Event-driven backtester, 5 strategies, and baseline results
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- 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
