mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-23 15:08:05 +00:00
Brent NealeandClaude Opus 4.6
17b80b7d17
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>
7.4 KiB
7.4 KiB
| 1 | timestamp | strategy_id | pair | signal_direction | entry_price | sl_price | tp1_price | tp2_price | tp3_price | lot_size | confluence_score | session | spread_at_entry | atr_at_entry | adx_at_entry | rsi_at_entry | ema_50_value | ema_200_value | vwap_deviation | news_within_60min | macd_hist_at_entry | stoch_k_at_entry | distance_from_ema50_pips | candle_body_ratio | hour_of_day | day_of_week | entry_pattern | exit_price | exit_reason | exit_time | pnl_pips | pnl_dollars | hold_time_minutes | win |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2 | 2023-12-25 00:30:00+00:00 | 19 | EUR_USD | LONG | 1.10019 | 1.0997844807943093 | 1.101298569892473 | 1.101298569892473 | 1.101298569892473 | 2465974.45 | 5 | ASIAN | 1.5 | 0.0005046963660546087 | 23.468792240432983 | 32.79098787655292 | 1.1012956781538161 | 1.0994553399477018 | -18.420224522963657 | False | -3.849512746164538e-05 | 47.22222222221989 | -13.556781538162088 | 0.8333333333334704 | 0 | 0 | vwap_deviation_mr_long | 1.0997844807943093 | SL | 2023-12-25 00:45:00+00:00 | -4.05519205690652 | -1000.0000002174426 | 15 | False |
| 3 | 2024-03-01 06:30:00+00:00 | 19 | EUR_USD | LONG | 1.08112 | 1.0807083186438653 | 1.0814621961440538 | 1.0814621961440538 | 1.0814621961440538 | 2404772.49 | 2 | ASIAN | 1.5 | 0.0002512925000628146 | 23.105822625516947 | 37.28925026390242 | 1.0814058037148733 | 1.082445594399005 | -17.286523613979643 | False | -9.085981942851445e-05 | 20.079365079375226 | -5.3580371487327305 | 0.8064516129034106 | 6 | 4 | vwap_deviation_mr_long | 1.0814621961440538 | TP3 | 2024-03-01 07:00:00+00:00 | 3.421961454767178 | 822.903876826449 | 30 | True |
| 4 | 2024-03-18 07:15:00+00:00 | 19 | EUR_USD | SHORT | 1.08921 | 1.0894992635286258 | 1.0887480068606792 | 1.0887480068606792 | 1.0887480068606792 | 3450932.94 | 4 | ASIAN | 1.5 | 0.000250418889315537 | 21.01451185796587 | 68.8511011140638 | 1.0887722697033995 | 1.089588298767403 | 6.648184779396438 | False | 7.090414573401205e-05 | 87.15446389360845 | 6.8773029660063045 | 0.5555555555562409 | 7 | 0 | vwap_deviation_mr_short | 1.0894992635286258 | SL | 2024-03-18 07:30:00+00:00 | -2.8926352862579385 | -998.2290392753849 | 15 | False |
| 5 | 2024-03-20 02:45:00+00:00 | 19 | EUR_USD | SHORT | 1.08663 | 1.0870434963276145 | 1.0862807812509623 | 1.0862807812509623 | 1.0862807812509623 | 2389977.09 | 3 | ASIAN | 1.5 | 0.00025423835888408467 | 21.201200174809394 | 66.10396666282918 | 1.0862877110651508 | 1.0870672477083396 | 12.176504411300915 | False | 3.5271049359148084e-05 | 81.2842712842798 | 5.9228893484930545 | 0.6976744186046872 | 2 | 2 | vwap_deviation_mr_short | 1.0870434963276145 | SL | 2024-03-20 03:00:00+00:00 | -4.134963276145598 | -988.2467497979322 | 15 | False |
| 6 | 2024-03-25 11:45:00+00:00 | 19 | EUR_USD | SHORT | 1.08265 | 1.082894568628497 | 1.0815690156849813 | 1.0815690156849813 | 1.0815690156849813 | 4000367.04 | 4 | LONDON | 1.5 | 0.00044185098117190575 | 24.99297907478463 | 64.38025641657231 | 1.08171041599612 | 1.0833504335828374 | 10.659319701851189 | False | 9.262110918130124e-05 | 95.62580868550641 | 11.295840038800797 | 0.7142857142857143 | 11 | 0 | vwap_deviation_mr_short | 1.082894568628497 | SL | 2024-03-25 12:00:00+00:00 | -2.4456862849708823 | -978.3642804577566 | 15 | False |
| 7 | 2024-03-29 01:45:00+00:00 | 19 | EUR_USD | LONG | 1.0778400000000001 | 1.077401305573426 | 1.078461211535881 | 1.078461211535881 | 1.078461211535881 | 2207870.85 | 3 | ASIAN | 1.5 | 0.00035330198748496005 | 24.231923883520853 | 24.959321428966803 | 1.0790785541301398 | 1.080814552795034 | -19.35385255563915 | False | -9.644314113073837e-05 | 1.4900990099034999 | -14.885541301397076 | 0.7380952380951625 | 1 | 4 | vwap_deviation_mr_long | 1.077401305573426 | SL | 2024-03-29 02:00:00+00:00 | -4.386944265741821 | -968.580636490602 | 15 | False |
| 8 | 2024-04-01 10:30:00+00:00 | 19 | EUR_USD | LONG | 1.0782500000000002 | 1.0778403337253226 | 1.0788373582238526 | 1.0788373582238526 | 1.0788373582238526 | 2340673.11 | 2 | LONDON | 1.5 | 0.0003323414995099905 | 24.053820530034336 | 34.8826615602443 | 1.0787547641753659 | 1.0792807236995954 | -6.513607917710829 | False | -7.697094425352172e-05 | 3.871640119465194 | -6.947641753658473 | 0.4545454545451793 | 10 | 0 | vwap_deviation_mr_long | 1.0778403337253226 | SL | 2024-04-01 12:15:00+00:00 | -4.096662746775337 | -958.894833211577 | 105 | False |
| 9 | 2024-04-25 05:45:00+00:00 | 19 | EUR_USD | SHORT | 1.07096 | 1.0714011707140423 | 1.0705698144989366 | 1.0705698144989366 | 1.0705698144989366 | 2151788.08 | 3 | ASIAN | 1.5 | 0.00027711873836856315 | 24.455237068003353 | 66.67995341446064 | 1.0702375913274647 | 1.069039086310774 | 19.806315966881538 | False | 1.3171555169182896e-05 | 77.94538794537236 | 9.72408672535341 | 0.6296296296296601 | 5 | 3 | vwap_deviation_mr_short | 1.0714011707140423 | SL | 2024-04-25 06:00:00+00:00 | -4.411707140423715 | -949.3058837214637 | 15 | False |
| 10 | 2024-05-14 14:00:00+00:00 | 19 | EUR_USD | SHORT | 1.0815899999999998 | 1.082062503286942 | 1.079733604311351 | 1.079733604311351 | 1.079733604311351 | 1989008.01 | 3 | OVERLAP | 1.5 | 0.0007762996585303396 | 23.064499340120037 | 69.17150556321326 | 1.079565019863394 | 1.0785097989348846 | 18.46798248224424 | False | 0.00020928670342035185 | 80.59548678511469 | 22.149801366060373 | 0.12345679012344664 | 14 | 1 | vwap_deviation_mr_short | 1.082062503286942 | SL | 2024-05-14 14:45:00+00:00 | -4.725032869421497 | -939.8128224792642 | 45 | False |
| 11 | 2024-05-20 04:00:00+00:00 | 19 | EUR_USD | SHORT | 1.08782 | 1.0882504194829048 | 1.0874271933754498 | 1.0874271933754498 | 1.0874271933754498 | 2161646.33 | 3 | ASIAN | 1.5 | 0.00027440870248496524 | 24.87459704262882 | 68.51255725116734 | 1.0871172828814522 | 1.086244565189926 | 19.40175826605328 | False | 4.319250527556014e-05 | 90.07024455660138 | 9.52717118547941 | 0.6750000000000556 | 4 | 0 | vwap_deviation_mr_short | 1.0882504194829048 | SL | 2024-05-20 06:00:00+00:00 | -4.304194829047869 | -930.4146955816304 | 120 | False |
| 12 | 2024-05-31 08:15:00+00:00 | 19 | EUR_USD | SHORT | 1.0827999999999998 | 1.0833465910270184 | 1.0821631949987542 | 1.0821631949987542 | 1.0821631949987542 | 1685191.49 | 3 | LONDON | 1.5 | 0.0003944653427546772 | 23.185494000527576 | 64.01474450845487 | 1.0823464941703984 | 1.0826604805055173 | 2.2792550964179092 | False | 0.00016172039300135256 | 87.3077412783306 | 6.435058296014873 | 0.5151515151516171 | 8 | 4 | vwap_deviation_mr_short | 1.0833465910270184 | SL | 2024-05-31 08:30:00+00:00 | -5.465910270185947 | -921.1105472420959 | 15 | False |
| 13 | 2024-07-10 03:15:00+00:00 | 19 | EUR_USD | SHORT | 1.0817599999999998 | 1.0821493611957398 | 1.0814529088410836 | 1.0814529088410836 | 1.0814529088410836 | 2342039.87 | 3 | ASIAN | 1.5 | 0.00023215078488540914 | 23.817204243380676 | 68.04604359134048 | 1.0815338061569217 | 1.0819109262355524 | 4.132360619284459 | False | 5.5067093620302476e-05 | 96.84577114426885 | 4.761938430781765 | 0.6333333333331113 | 3 | 2 | vwap_deviation_mr_short | 1.0821493611957398 | SL | 2024-07-10 06:45:00+00:00 | -3.8936119573995676 | -911.899444253853 | 210 | False |
| 14 | 2024-07-12 14:30:00+00:00 | 19 | EUR_USD | SHORT | 1.09011 | 1.0900780842797564 | 1.0883344985666334 | 1.0883344985666334 | 1.0883344985666334 | 28286388.1 | 3 | OVERLAP | 1.5 | 0.0005811952377076278 | 24.341342212830387 | 74.45503062293666 | 1.0882855588482458 | 1.0860199933017003 | 12.911334543996844 | False | 6.106669437706591e-05 | 80.8094136436905 | 20.144411517541982 | 0.6428571428570975 | 14 | 4 | vwap_deviation_mr_short | 1.0900780842797564 | SL | 2024-07-12 14:45:00+00:00 | 0.3191572024352496 | 902.7804492993736 | 15 | True |
| 15 | 2024-07-30 04:00:00+00:00 | 19 | EUR_USD | SHORT | 1.08216 | 1.082461444486426 | 1.0817513052489718 | 1.0817513052489718 | 1.0817513052489718 | 3024796.59 | 5 | ASIAN | 1.5 | 0.00023671307915139054 | 23.209853204476968 | 63.12638003659223 | 1.0821590414040931 | 1.0836782245981051 | 2.2693490289138474 | False | 8.411392471200627e-05 | 95.13167145240072 | 2.5095859590695824 | 0.8399999999998934 | 4 | 1 | vwap_deviation_mr_short | 1.082461444486426 | SL | 2024-07-30 04:15:00+00:00 | -3.014444864259946 | -911.8082546156498 | 15 | False |
| 16 | 2024-10-07 05:15:00+00:00 | 19 | EUR_USD | LONG | 1.0966900000000002 | 1.0962158824311616 | 1.0972119136968959 | 1.0972119136968959 | 1.0972119136968959 | 1903937.4 | 2 | ASIAN | 1.5 | 0.00033201042191139676 | 24.270545090249534 | 33.70254923290392 | 1.0974237977196408 | 1.100628784916479 | -18.54729241678177 | False | -7.876100485570972e-05 | 3.956930979502554 | -9.837977196407444 | 0.5151515151516171 | 5 | 0 | vwap_deviation_mr_long | 1.0972119136968959 | TP3 | 2024-10-07 06:45:00+00:00 | 5.219136996369262 | 993.6910123111103 | 90 | True |