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

..

2025

Add 5 new ranging strategies (S17-S21) — all tested, none show edge

2026-02-21 20:48:03 +10:00

test_set

Phase 1: Event-driven backtester, 5 strategies, and baseline results

2026-02-18 06:04:40 +10:00