fx-quant/results/phase1/S19_GBP_AUD_training_trades.csv at main

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Brent NealeandClaude Opus 4.6 17b80b7d17 Add 5 new ranging strategies (S17-S21) — all tested, none show edge

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>

2026-02-21 20:48:03 +10:00

11 KiB

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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	2021-05-20 04:30:00+00:00	19	GBP_AUD	LONG	1.8216999999999999	1.8209469624168462	1.824471855384275	1.824471855384275	1.824471855384275	1327954.97	4	ASIAN	2.0	0.0011749643224762513	18.78611634541083	27.045296060532266	1.8251731714037234	1.8234673114312987	-56.17007233230442	False	-0.00016390492940454604	27.13182925752908	-37.73171403723463	0.9090909090910271	4	3	vwap_deviation_mr_long	1.8209469624168462	SL	2021-05-20 12:00:00+00:00	-7.530375831537039	-1000.0000011457494	450	False
3	2021-06-02 04:15:00+00:00	19	GBP_AUD	SHORT	1.82565	1.8266530672558787	1.8236318244655747	1.8236318244655747	1.8236318244655747	986972.7	3	ASIAN	2.0	0.0010070809301013363	23.117533899833887	61.69578493867829	1.8252936688612607	1.83004890673387	-23.986508751867586	False	0.0002779636789010065	79.20009238396977	6.563311387393078	0.6991869918698952	4	2	vwap_deviation_mr_short	1.8266530672558787	SL	2021-06-02 05:30:00+00:00	-10.03067255878731	-989.9999978162222	75	False
4	2021-10-05 10:45:00+00:00	19	GBP_AUD	SHORT	1.87438	1.8747743955555565	1.8711063166063127	1.8711063166063127	1.8711063166063127	2485068.57	3	LONDON	2.0	0.001222692983081257	23.724939927970446	68.36842659396514	1.8706259918293255	1.868059588364349	31.274400140650638	False	0.00010029789808533457	86.8875543669371	39.940081706744124	0.9000000000000257	10	1	vwap_deviation_mr_short	1.8747743955555565	SL	2021-10-05 11:00:00+00:00	-3.94395555556537	-980.099999261239	15	False
5	2021-11-08 04:30:00+00:00	19	GBP_AUD	LONG	1.82149	1.8203971377297068	1.823100430478103	1.823100430478103	1.823100430478103	887851.13	3	ASIAN	2.0	0.0009010975827987823	21.89507348296225	35.20950594561748	1.822866505211818	1.825409493922419	-15.526729979735698	False	-0.0002134972235173618	7.685659232777685	-16.76505211817947	0.34210526315775636	4	0	vwap_deviation_mr_long	1.8203971377297068	SL	2021-11-08 07:30:00+00:00	-10.928622702932598	-970.2990016142363	180	False
6	2021-11-23 10:15:00+00:00	19	GBP_AUD	LONG	1.84977	1.8496093615677325	1.8535293696861177	1.8535293696861177	1.8535293696861177	5979864.2	4	LONDON	2.0	0.0013066693727950688	24.845003422264853	29.54694803246221	1.8532472978005727	1.853202516492912	-34.24365305918941	False	-0.0004794383496089439	13.68474023015431	-37.17297800572838	0.7005988023952534	10	1	vwap_deviation_mr_long	1.8496093615677325	SL	2021-11-23 10:30:00+00:00	-1.606384322674348	-960.5960102601582	15	False
7	2021-12-02 04:15:00+00:00	19	GBP_AUD	SHORT	1.87177	1.8731256901438222	1.8689943000945999	1.8689943000945999	1.8689943000945999	701480.39	2	ASIAN	2.0	0.0013771300164074477	15.524962591244439	65.58587589010443	1.8676581209756795	1.8656202101565236	74.0125086644161	False	0.00013640698497286482	73.83566119415103	44.11879024320386	0.8269896193771084	4	3	vwap_deviation_mr_short	1.8689943000945999	TP3	2021-12-02 07:00:00+00:00	27.75699944969226	1947.0990799199915	165	True
8	2021-12-23 05:30:00+00:00	19	GBP_AUD	LONG	1.8503	1.8491740410426472	1.8520903092846244	1.8520903092846244	1.8520903092846244	861897.35	2	ASIAN	2.0	0.0009720894139924211	23.24644415213509	36.811135695491345	1.851986568542086	1.8543324132971015	-36.537092354824715	False	-0.0002985599218380909	12.016176976751717	-19.86568542085898	0.7790697674419265	5	3	vwap_deviation_mr_long	1.8491740410426472	SL	2021-12-23 07:15:00+00:00	-11.259589573529016	-970.461041551229	105	False
9	2021-12-28 12:30:00+00:00	19	GBP_AUD	LONG	1.85346	1.853083280643208	1.8556188027566332	1.8556188027566332	1.8556188027566332	2550324.04	3	LONDON	2.0	0.0008451740378083578	22.21694573952046	35.01232436045609	1.8553950863544961	1.8550879442515678	-19.858406948323193	False	-0.00015282223932353635	9.09956515817869	-21.750863544960364	0.8426966292134215	12	1	vwap_deviation_mr_long	1.853083280643208	SL	2021-12-28 12:45:00+00:00	-3.767193567920657	-960.7564319601424	15	False
10	2022-01-07 04:15:00+00:00	19	GBP_AUD	SHORT	1.89104	1.89222185870913	1.8888563968261203	1.8888563968261203	1.8888563968261203	804790.67	3	ASIAN	2.0	0.001121820627669882	24.12133107371425	65.01646767442742	1.8885855295432756	1.8819736455862797	29.446243045527787	False	0.00021989245902428865	89.11907293930193	27.544704567243894	0.9479166666665606	4	4	vwap_deviation_mr_short	1.89222185870913	SL	2022-01-07 04:30:00+00:00	-11.818587091299014	-951.1488623659886	15	False
11	2022-03-08 04:30:00+00:00	19	GBP_AUD	SHORT	1.7944900000000001	1.794359559002455	1.7895472808234323	1.7895472808234323	1.7895472808234323	7218875.93	4	ASIAN	2.0	0.0016040927263408927	24.45589139326526	65.6183463122337	1.789857029214964	1.7956403115044046	87.48477586061564	False	0.0005780875885651647	97.33585858585995	49.32970785036073	0.7581699346405399	4	1	vwap_deviation_mr_short	1.794359559002455	SL	2022-03-08 04:45:00+00:00	1.3044099754511151	941.6373774635946	15	True
12	2022-04-20 04:45:00+00:00	19	GBP_AUD	LONG	1.75601	1.7552186228753393	1.7596660388570722	1.7596660388570722	1.7596660388570722	1201770.59	3	ASIAN	2.0	0.0014824719939109526	23.033603100238786	33.83540620174129	1.7605508256734246	1.7635709380769493	-71.47358180603635	False	-0.0002301336592123209	2.5572018917695503	-48.40825673424476	0.7130801687763634	4	2	vwap_deviation_mr_long	1.7552186228753393	SL	2022-04-20 05:30:00+00:00	-7.913771246608191	-951.0537540161363	45	False
13	2022-05-12 04:30:00+00:00	19	GBP_AUD	SHORT	1.77084	1.7721164993210985	1.7657577847181216	1.7657577847181216	1.7657577847181216	737597.9	3	ASIAN	2.0	0.00211957153432564	24.808306052553014	67.48278449809416	1.7657751281032161	1.7664782378607893	65.53127397973313	False	0.0005512399171716893	88.45180875284525	53.64871896783807	0.8666666666666281	4	3	vwap_deviation_mr_short	1.7721164993210985	SL	2022-05-12 04:45:00+00:00	-12.764993210985232	-941.5432185936965	15	False
14	2022-06-24 10:45:00+00:00	19	GBP_AUD	SHORT	1.7805	1.7816190890998862	1.776917432880888	1.776917432880888	1.776917432880888	832934.38	2	LONDON	2.0	0.0015672187396660617	23.65126968690618	65.60844787038675	1.7772163459870611	1.773712044545119	25.882315734298	False	0.00029735006789287713	78.2828282828266	35.236540129388594	0.9193548387097448	10	4	vwap_deviation_mr_short	1.776917432880888	TP3	2022-06-24 11:30:00+00:00	35.825671621232644	2984.043357991501	45	True
15	2022-07-29 11:00:00+00:00	19	GBP_AUD	SHORT	1.74293	1.74446831631461	1.7397400645662304	1.7397400645662304	1.7397400645662304	625338.37	2	LONDON	2.0	0.0015760839161265063	21.067686417371586	65.43708242324709	1.7399410257738785	1.7388656160788216	37.055698613994714	False	0.0003833733389891852	89.42135446386591	32.289742261215615	0.5135135135136027	11	4	vwap_deviation_mr_short	1.74446831631461	SL	2022-07-29 13:30:00+00:00	-15.383163146098777	-961.9682167225482	150	False
16	2022-11-24 12:15:00+00:00	19	GBP_AUD	SHORT	1.7962	1.7970870532476209	1.7912605117821505	1.7912605117821505	1.7912605117821505	1073609.21	3	LONDON	2.0	0.0019421804884900906	23.476879744717465	69.14315743928186	1.7919323054778085	1.7901432275627895	31.780888313306388	False	0.00039137445411024517	76.72881144721212	45.07694522191574	0.4396551724137832	12	3	vwap_deviation_mr_short	1.7912605117821505	TP3	2022-11-24 15:00:00+00:00	49.394882638577585	5303.0800927646	165	True
17	2022-12-12 10:30:00+00:00	19	GBP_AUD	SHORT	1.81119	1.8121206253141477	1.8069189514398456	1.8069189514398456	1.8069189514398456	1080326.66	3	LONDON	2.0	0.0017338912914340134	24.300765978795315	67.79030833672043	1.8067332700582521	1.8078028729188769	30.45948079192229	False	0.0002773412661396679	69.12173295241041	46.96729941747968	0.6611295681063742	10	0	vwap_deviation_mr_short	1.8121206253141477	SL	2022-12-12 11:00:00+00:00	-9.306253141476706	-1005.3793373446036	30	False
18	2023-01-03 11:15:00+00:00	19	GBP_AUD	SHORT	1.78294	1.7818770967280637	1.7741586755306877	1.7741586755306877	1.7741586755306877	936421.56	4	LONDON	2.0	0.002572807065791963	24.68888644922022	70.21599095358062	1.7737857563283668	1.7737189608134527	78.05385313427892	False	0.0006576416810916662	91.89790356948015	93.94243671633217	0.9374999999999547	11	1	vwap_deviation_mr_short	1.7818770967280637	SL	2023-01-03 11:30:00+00:00	10.62903271936255	995.3255400356524	15	True
19	2023-01-05 11:15:00+00:00	19	GBP_AUD	LONG	1.7586600000000001	1.7590747518411842	1.7643043174448512	1.7643043174448512	1.7643043174448512	2423807.92	3	LONDON	2.0	0.0017431885345556496	23.669812820486644	31.626016441480758	1.7631747273628078	1.7659930510307238	-37.63358111109838	False	-0.0003805983849775339	13.296033444733377	-47.547273628076866	0.09999999999998292	11	3	vwap_deviation_mr_long	1.7590747518411842	SL	2023-01-05 11:30:00+00:00	4.1475184118411335	1005.2787974966361	15	True
20	2023-01-18 11:30:00+00:00	19	GBP_AUD	SHORT	1.76294	1.7632850076402136	1.7564495383716958	1.7564495383716958	1.7564495383716958	2942924.93	3	LONDON	2.0	0.0022784897561725467	24.376233826389566	67.6628754466051	1.7571584607809045	1.755849774194604	57.28458785023482	False	0.0005329355273192804	76.1252406194177	60.21539219095428	0.8689458689458374	11	2	vwap_deviation_mr_short	1.7632850076402136	SL	2023-01-18 11:45:00+00:00	-3.450076402136126	-1015.3315854251111	15	False
21	2023-03-14 15:30:00+00:00	19	GBP_AUD	LONG	1.81925	1.818594782141298	1.8252836791398876	1.8252836791398876	1.8252836791398876	1534113.05	5	OVERLAP	2.0	0.0022296323328632457	23.028380313315015	32.75177495181266	1.8243804718504142	1.82165775295607	-49.573800414408616	False	-0.0002725951054039918	28.951045620110722	-53.70471850414171	0.8055555555555298	15	1	vwap_deviation_mr_long	1.8252836791398876	TP3	2023-03-14 17:00:00+00:00	60.33679179217698	9256.34596835116	90	True
22	2023-04-12 04:00:00+00:00	19	GBP_AUD	LONG	1.86494	1.8639677085126924	1.8669291931600651	1.8669291931600651	1.8669291931600651	1129025.34	3	ASIAN	2.0	0.000987161549124248	24.43945043133283	34.13052821352848	1.8668289499724555	1.864943945295904	-23.89086145330399	False	-0.00024567426773233384	1.7212954521019126	-21.88949972455445	0.7682926829266774	4	2	vwap_deviation_mr_long	1.8639677085126924	SL	2023-04-12 04:15:00+00:00	-9.72291487307597	-1097.7417270365656	15	False
23	2023-04-24 15:45:00+00:00	19	GBP_AUD	SHORT	1.86464	1.8656963248190996	1.8616642607575682	1.8616642607575682	1.8616642607575682	1028816.41	2	OVERLAP	2.0	0.0013440213538438	17.27750766650442	64.39494067592817	1.8616811866206007	1.8567483088966945	29.560216799913164	False	0.00023851152162604635	95.41381128525903	31.988133793994233	0.6261682242991508	15	0	vwap_deviation_mr_short	1.8656963248190996	SL	2023-04-24 18:00:00+00:00	-10.563248190995633	-1086.7643081799122	135	False
24	2023-07-13 04:30:00+00:00	19	GBP_AUD	LONG	1.9088	1.9076210336492267	1.9119063867302646	1.9119063867302646	1.9119063867302646	912576.23	2	ASIAN	2.0	0.0014284510270126114	21.988517392757124	33.23594113850535	1.9136925434093113	1.921595884919513	-102.25095140878881	False	-0.0002831139613539745	18.70404449351888	-51.925434093111896	0.9929078014183929	4	3	vwap_deviation_mr_long	1.9076210336492267	SL	2023-07-13 05:30:00+00:00	-11.789663507733026	-1075.8966676855582	60	False

11 KiB Raw Permalink Blame History

11 KiB

Raw Permalink Blame History