Brent Neale and Claude Opus 4.6
4f911b2072
Add Phase 2 backtesting pipeline: IS/OOS split, param sweep, generalization scoring
...
Externalize hardcoded params in S4F (5 params) and S3 (9 params) as class
attributes for sweep compatibility. Add unified backtest runner with IS/OOS
validation and generalization scores, plus parameter grid sweep (90 combos)
with OOS validation. S7/S9/S9_Filtered pass generalization; S4F/S3 confirm
defaults are near-optimal.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com >
2026-02-20 10:25:08 +10:00
Brent Neale and Claude Opus 4.6
edbe359d1b
Phase 1 complete: S3-S6 strategies, S4 variant analysis, learnings doc
...
- 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
...
- 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
