fx-quant/logs/backtest_trades_S5_EUR_CAD_M15.csv at main

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Brent NealeandClaude 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

2.7 KiB

Raw Permalink Blame History

1	time	strategy	instrument	granularity	side	price	position_size	equity	pnl
2	2024-01-30 05:30:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	BUY	1.45093	1500.0	100000.0	0.0
3	2024-01-30 06:45:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	SL_EXIT_LONG	1.450350357142857	0.0	99999.4	-0.6
4	2024-01-30 07:15:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	BUY	1.45016	1499.99	99999.4	0.0
5	2024-01-30 10:30:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TP1_LONG	1.45215332890413	899.99	100000.23	0.82
6	2024-01-30 10:30:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TP2_LONG	1.4510757142857142	300.0	100000.6	0.38
7	2024-01-30 10:30:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TP3_LONG	1.4517624999999998	0.0	100000.94	0.33
8	2024-01-30 13:00:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	SELL_SHORT	1.45641	1500.01	100000.94	0.0
9	2024-01-30 18:00:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TP1_SHORT	1.45320875151639	900.01	100002.25	1.32
10	2024-01-30 18:00:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TP2_SHORT	1.45461	300.0	100003.0	0.74
11	2024-01-30 18:00:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TP3_SHORT	1.45326	0.0	100003.65	0.65
12	2024-01-31 12:30:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	SELL_SHORT	1.45605	1500.05	100003.65	0.0
13	2024-01-31 14:45:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	SL_EXIT_SHORT	1.4573164285714286	0.0	100002.34	-1.3
14	2024-02-05 20:45:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	SELL_SHORT	1.45456	1500.04	100002.34	0.0
15	2024-02-06 03:45:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TP1_SHORT	1.45277725230381	900.02	100003.08	0.74
16	2024-02-06 03:45:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TP2_SHORT	1.4533142857142858	300.01	100003.59	0.51
17	2024-02-06 04:30:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TRAIL_SL_SHORT	1.452865	0.0	100003.94	0.35
18	2024-02-06 17:45:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	BUY	1.45003	1500.06	100003.94	0.0
19	2024-02-07 07:45:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TP1_LONG	1.4523581365203	900.04	100004.9	0.96
20	2024-02-07 07:45:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TP2_LONG	1.45196	300.01	100005.7	0.8
21	2024-02-07 08:00:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TRAIL_SL_LONG	1.45207	0.0	100006.12	0.42
22	2024-02-08 14:00:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	BUY	1.44873	1500.09	100006.12	0.0
23	2024-02-08 14:45:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TP1_LONG	1.45047619184842	900.06	100006.85	0.72
24	2024-02-08 14:45:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TP2_LONG	1.45027	300.02	100007.48	0.64
25	2024-02-08 15:00:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	TRAIL_SL_LONG	1.4493964285714285	0.0	100007.62	0.14
26	2024-02-12 15:45:00+00:00	S5_Momentum_Exhaustion	EUR_CAD	M15	BUY	1.44805	1500.11	100007.62	0.0

2.7 KiB Raw Permalink Blame History

2.7 KiB

Raw Permalink Blame History