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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>
2.7 KiB
2.7 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 | 2023-11-15 06:15:00+00:00 | 19 | GBP_AUD | LONG | 1.91987 | 1.9187445313812246 | 1.922036513261092 | 1.922036513261092 | 1.922036513261092 | 888518.78 | 3 | ASIAN | 2.0 | 0.0010973272932891236 | 23.164623412819257 | 35.657227445537984 | 1.921970592076906 | 1.9227656840876561 | -44.64570064615758 | False | -0.00018228228748286938 | 9.963741771616574 | -24.005920769059053 | 0.8695652173912456 | 6 | 2 | vwap_deviation_mr_long | 1.9187445313812246 | SL | 2023-11-15 07:00:00+00:00 | -11.254686187753824 | -1000.0000040825881 | 45 | False |
| 3 | 2023-12-18 06:15:00+00:00 | 19 | GBP_AUD | LONG | 1.88755 | 1.8870461976451596 | 1.8910645560580754 | 1.8910645560580754 | 1.8910645560580754 | 1965056.32 | 3 | ASIAN | 2.0 | 0.0013394528043052599 | 20.275600085622315 | 32.318676700780586 | 1.8918428653674315 | 1.8964028409028326 | -86.14230763492213 | False | -0.00023990928291724894 | 9.252105663466802 | -45.9286536743142 | 0.8960396039602714 | 6 | 0 | vwap_deviation_mr_long | 1.8870461976451596 | SL | 2023-12-18 06:30:00+00:00 | -5.038023548404879 | -990.0000014101835 | 15 | False |
| 4 | 2024-05-31 10:30:00+00:00 | 19 | GBP_AUD | LONG | 1.91272 | 1.9130805939943216 | 1.916322283294241 | 1.916322283294241 | 1.916322283294241 | 2718015.32 | 3 | LONDON | 2.0 | 0.0010805630999731637 | 23.629628027959868 | 30.244790793600444 | 1.916317421536002 | 1.9184336114387854 | -20.209404846525114 | False | -0.00010694413286750724 | 14.94362974607838 | -38.374215360019726 | 0.9395973154362927 | 10 | 4 | vwap_deviation_mr_long | 1.9130805939943216 | SL | 2024-05-31 10:45:00+00:00 | 3.605939943216452 | 980.1000008662246 | 15 | True |
| 5 | 2024-09-19 10:45:00+00:00 | 19 | GBP_AUD | LONG | 1.94021 | 1.94071765518894 | 1.945098898291527 | 1.945098898291527 | 1.945098898291527 | 1949947.57 | 3 | LONDON | 2.0 | 0.001460414367529004 | 21.78446988643704 | 32.21216355344036 | 1.9450256132655677 | 1.9489840411215884 | -22.657314463900846 | False | 3.0140575527615046e-05 | 7.496192229876795 | -50.55613265567693 | 0.8579881656804601 | 10 | 3 | vwap_deviation_mr_long | 1.94071765518894 | SL | 2024-09-19 11:00:00+00:00 | 5.0765518894002595 | 989.9010020714946 | 15 | True |
| 6 | 2024-10-25 04:15:00+00:00 | 19 | GBP_AUD | SHORT | 1.9570100000000001 | 1.958238772396505 | 1.955272696538569 | 1.955272696538569 | 1.955272696538569 | 813657.61 | 2 | ASIAN | 2.0 | 0.0009886919526452885 | 24.680814990247928 | 66.2411738168899 | 1.9542730899673117 | 1.9503355677982053 | 48.03501019955636 | False | 0.00022411859297467992 | 93.08251449168705 | 30.369100326883558 | 0.0 | 4 | 4 | vwap_deviation_mr_short | 1.958238772396505 | SL | 2024-10-25 04:30:00+00:00 | -12.287723965047626 | -999.8000113740375 | 15 | False |