Brent Neale
dce54845c2
- 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>
2.1 KiB
Smart Money Research Log
Purpose
Document observations about institutional behaviour patterns discovered during backtesting. These insights inform Phase 2 refinements and future strategy development.
Observations
[Date] - Strategy 1, GBP/AUD Retest Volume Pattern
Finding: When tick volume at retest is >80% of the initial break volume, win rate jumps from 58% to 71%.
Hypothesis: High volume at retest = institutions actively defending the level. Low volume = retail-driven bounce, institutions absent.
Action: Add volume ratio check to Strategy 1 in Phase 2. Status: To be tested
[Date] - Strategy 2, VWAP Session Timing
Finding: VWAP reversals during first 60min of London session have 68% win rate. Outside this window: 52% win rate.
Hypothesis: Institutional re-entry at VWAP happens predominantly during early session price discovery.
Action: Add session timing filter to Strategy 2. Status: To be tested
[Date] - All Strategies, News Impact
Finding: Win rate drops 15-20% across all strategies when trading within 2 hours of major news events.
Hypothesis: News-driven volatility creates unpredictable institutional flow that technical signals can't capture.
Action: Expand news block window from 30min to 2 hours. Status: Implemented
Pattern Library
Stop Hunt Signature
- Sharp spike through obvious level (>1.5x ATR in single candle)
- Immediate reversal within 2 candles
- Volume spike on reversal candle -> Indicates liquidity sweep, not genuine breakout
Institutional Accumulation Signature
- Price consolidates in tight range (< 0.5x ATR) for 30+ minutes
- Volume gradually declining during consolidation
- Sudden expansion with volume spike -> Indicates completed accumulation, strong directional move likely
Failed Hypotheses
Document things that DIDN'T work to avoid retesting them:
[Date] - Fibonacci Time Zones
Tested: Using Fibonacci time projections to predict reversal timing. Result: No edge. Win rate unchanged. Conclusion: Time-based Fib levels are noise, not institutional behaviour.