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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>
5.6 KiB
5.6 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 | 2021-03-22 10:15:00+00:00 | 19 | EUR_USD | SHORT | 1.1907299999999998 | 1.1911224553545665 | 1.189082225593824 | 1.189082225593824 | 1.189082225593824 | 2548060.53 | 4 | LONDON | 1.5 | 0.000680076586914135 | 23.17482003379449 | 66.95562528766871 | 1.189398267246985 | 1.1905880356028895 | 12.66960970978337 | False | 0.00019424450803227835 | 77.8481934731957 | 15.21732753015037 | 0.6595744680852169 | 10 | 0 | vwap_deviation_mr_short | 1.1911224553545665 | SL | 2021-03-22 11:00:00+00:00 | -3.924553545666676 | -999.9999987584808 | 45 | False |
| 3 | 2021-03-25 03:00:00+00:00 | 19 | EUR_USD | SHORT | 1.1822599999999999 | 1.1829136604274433 | 1.1815577187536848 | 1.1815577187536848 | 1.1815577187536848 | 1514547.86 | 3 | ASIAN | 1.5 | 0.0004519805579195392 | 23.19918744323658 | 64.24928204336854 | 1.1819474710021378 | 1.184798764154519 | 0.5528792460296472 | False | 0.00017857995289652124 | 94.83603154835957 | 5.625289978621328 | 0.44444444444407893 | 3 | 3 | vwap_deviation_mr_short | 1.1815577187536848 | TP3 | 2021-03-25 06:00:00+00:00 | 7.022812509520098 | 1063.6385657474896 | 180 | True |
| 4 | 2021-07-26 03:45:00+00:00 | 19 | EUR_USD | SHORT | 1.1776 | 1.1780552717173804 | 1.1770555140179397 | 1.1770555140179397 | 1.1770555140179397 | 2197888.31 | 4 | ASIAN | 1.5 | 0.00033325256648027184 | 15.839090757385843 | 64.69690810519576 | 1.1771414186848537 | 1.1774951436751562 | 9.829214353020976 | False | 7.470579696426303e-05 | 84.9032838205457 | 7.085813151463949 | 0.8064516129039883 | 3 | 0 | vwap_deviation_mr_short | 1.1780552717173804 | SL | 2021-07-26 05:15:00+00:00 | -4.552717173804677 | -1000.6363855041537 | 90 | False |
| 5 | 2021-09-28 04:45:00+00:00 | 19 | EUR_USD | SHORT | 1.1696099999999998 | 1.1698894802831985 | 1.1690762878448642 | 1.1690762878448642 | 1.1690762878448642 | 3544543.5 | 5 | ASIAN | 1.5 | 0.00027106414611143974 | 23.623559310193944 | 63.39393299729639 | 1.169556387885173 | 1.1708173565378361 | -0.2845387716465808 | False | 0.00011338783719790856 | 97.95072025676387 | 3.036121148269899 | 0.5714285714283902 | 4 | 1 | vwap_deviation_mr_short | 1.1698894802831985 | SL | 2021-09-28 05:00:00+00:00 | -2.794802831986853 | -990.6300211900593 | 15 | False |
| 6 | 2022-06-06 05:00:00+00:00 | 19 | EUR_USD | SHORT | 1.07314 | 1.0735392569987439 | 1.0721206410910642 | 1.0721206410910642 | 1.0721206410910642 | 2456372.02 | 3 | ASIAN | 1.5 | 0.0004728719692265283 | 18.122853647207478 | 65.22006820715973 | 1.072399697112639 | 1.072342907935272 | 6.010097746471654 | False | 0.00011671881900412955 | 90.69250746656094 | 9.903028873610165 | 0.7441860465117179 | 5 | 0 | vwap_deviation_mr_short | 1.0721206410910642 | TP3 | 2022-06-06 06:00:00+00:00 | 10.193589130856411 | 2503.924712441181 | 60 | True |
| 7 | 2022-06-17 11:45:00+00:00 | 19 | EUR_USD | LONG | 1.0487600000000001 | 1.048379978023256 | 1.0522373077576685 | 1.0522373077576685 | 1.0522373077576685 | 2646591.59 | 3 | LONDON | 1.5 | 0.001285776578137492 | 23.82740688441665 | 33.10445337941141 | 1.0519242728518774 | 1.0491790099656728 | -30.795113294488363 | False | -0.0001894807312957515 | 17.46969216226943 | -33.542728518773934 | 0.896000000000027 | 11 | 4 | vwap_deviation_mr_long | 1.048379978023256 | SL | 2022-06-17 12:00:00+00:00 | -3.8002197674402716 | -1005.7629676659178 | 15 | False |
| 8 | 2022-06-30 10:15:00+00:00 | 19 | EUR_USD | LONG | 1.0414400000000001 | 1.0413293222534994 | 1.0444792499821507 | 1.0444792499821507 | 1.0444792499821507 | 8996436.69 | 3 | LONDON | 1.5 | 0.001049975909550409 | 23.97183801826465 | 32.07501009515181 | 1.0445702853010983 | 1.0486526711463926 | -23.677482922668247 | False | -0.00032136846657838643 | 11.427666760483246 | -33.20285301098291 | 0.6373626373626883 | 10 | 3 | vwap_deviation_mr_long | 1.0413293222534994 | SL | 2022-06-30 10:30:00+00:00 | -1.1067774650075355 | -995.7053393858985 | 15 | False |
| 9 | 2022-08-01 15:00:00+00:00 | 19 | EUR_USD | SHORT | 1.0269799999999998 | 1.0280946904031225 | 1.0241106316310933 | 1.0241106316310933 | 1.0241106316310933 | 884324.73 | 2 | OVERLAP | 1.5 | 0.0013280195906764365 | 20.266116120376623 | 65.60134051967339 | 1.0243256419353628 | 1.0215941164641391 | 21.344112230359258 | False | 0.0002657010543294652 | 94.34162536191678 | 28.443580646371203 | 0.09302325581403754 | 15 | 0 | vwap_deviation_mr_short | 1.0280946904031225 | SL | 2022-08-02 00:30:00+00:00 | -11.146904031227312 | -985.7482897751004 | 570 | False |
| 10 | 2023-02-17 11:45:00+00:00 | 19 | EUR_USD | LONG | 1.06275 | 1.061996270374309 | 1.0643013885091615 | 1.0643013885091615 | 1.0643013885091615 | 1294749.16 | 2 | LONDON | 1.5 | 0.0007683727116174568 | 20.66263538954885 | 33.51178068406327 | 1.0646467896509295 | 1.0676131268576765 | -13.550478099162433 | False | -8.836613675162965e-05 | 15.726043503820998 | -20.867896509295658 | 0.6543209876545139 | 11 | 4 | vwap_deviation_mr_long | 1.061996270374309 | SL | 2023-02-17 12:00:00+00:00 | -7.537296256909797 | -975.8907997305105 | 15 | False |
| 11 | 2023-03-31 10:45:00+00:00 | 19 | EUR_USD | LONG | 1.0870900000000001 | 1.0869152597243201 | 1.0894248609305015 | 1.0894248609305015 | 1.0894248609305015 | 5528959.43 | 4 | LONDON | 1.5 | 0.0008365337353937613 | 24.1361679103831 | 31.522817276027013 | 1.0893340404273533 | 1.0875485303643109 | -14.09975084674997 | False | -8.699469693044994e-05 | 8.632806870298744 | -24.3404042735329 | 0.8814814814815242 | 10 | 4 | vwap_deviation_mr_long | 1.0869152597243201 | SL | 2023-03-31 11:00:00+00:00 | -1.747402756799854 | -966.1318950216549 | 15 | False |
| 12 | 2023-07-24 04:30:00+00:00 | 19 | EUR_USD | LONG | 1.11203 | 1.1114510347660886 | 1.1125839271885374 | 1.1125839271885374 | 1.1125839271885374 | 1652034.56 | 2 | ASIAN | 1.5 | 0.00037763080748291766 | 24.69997172909215 | 36.514067081462336 | 1.1126073934596117 | 1.1146322094117198 | -6.854594826781746 | False | -9.425342209469454e-05 | 8.102693132048085 | -8.273934596116916 | 0.9599999999997513 | 4 | 0 | vwap_deviation_mr_long | 1.1125839271885374 | TP3 | 2023-07-24 05:00:00+00:00 | 5.539271918903065 | 915.1068647265381 | 30 | True |