fx-quant/results/phase1/S19_GBP_JPY_test_set_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

10 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	2023-09-08 03:00:00+00:00	19	GBP_JPY	SHORT	184.019	184.0514616401314	183.6414838635137	183.6414838635137	183.6414838635137	30805.59	5	ASIAN	2.5	0.13665925887256855	22.729091497814068	67.21720907578467	183.73055780389078	184.17966032533445	42.258818653724006	False	0.04169701601215964	91.9318226837607	32.344219610922664	0.5102040816327004	3	4	vwap_deviation_mr_short	184.0514616401314	SL	2023-09-08 03:15:00+00:00	-3.2461640131401737	-999.999976615508	15	False
3	2023-09-19 11:15:00+00:00	19	GBP_JPY	SHORT	183.108	183.2248840881738	182.91134942602108	182.91134942602108	182.91134942602108	8469.93	3	LONDON	2.5	0.10451155405091359	19.92631934086761	66.7319208700437	182.91944791122165	183.01659702751468	21.779074912601004	False	0.026374302941556495	91.26790453064841	21.755208877834775	0.23300970873785337	11	1	vwap_deviation_mr_short	183.2248840881738	SL	2023-09-19 11:45:00+00:00	-11.68840881738049	-990.0000449459554	30	False
4	2023-12-08 10:45:00+00:00	19	GBP_JPY	SHORT	181.689	181.71996385599093	180.90414688790176	180.90414688790176	180.90414688790176	31653.03	4	LONDON	2.5	0.27193898936305533	19.276613224128273	64.5846951207685	181.19632273927544	182.57578926278703	54.22153551525355	False	0.048344115099842086	91.88952956917085	52.16772607245446	0.6058091286306863	10	4	vwap_deviation_mr_short	181.71996385599093	SL	2023-12-08 11:00:00+00:00	-3.09638559909331	-980.099862596685	15	False
5	2023-12-08 11:00:00+00:00	19	GBP_JPY	SHORT	181.88	181.7320139026144	180.91832671796018	180.91832671796018	180.91832671796018	6556.69	4	LONDON	2.5	0.2712290615514086	23.820971085559364	68.03576694347589	181.224270867147	182.5691545437543	69.83651360143313	False	0.06909161153771869	93.27706046727712	68.47291328529934	0.7251908396946466	11	4	vwap_deviation_mr_short	181.7320139026144	SL	2023-12-08 11:15:00+00:00	14.798609738559774	970.298964867175	15	True
6	2024-01-15 12:00:00+00:00	19	GBP_JPY	SHORT	185.613	185.58724568698946	185.21115245478484	185.21115245478484	185.21115245478484	38051.96	3	LONDON	2.5	0.12536441073487725	24.799375667381618	69.18956828259672	185.21615171635557	185.07245024722215	25.564904469570138	False	0.006783760589241142	72.19140448592468	42.58482836444273	0.803347280334744	12	0	vwap_deviation_mr_short	185.58724568698946	SL	2024-01-15 12:15:00+00:00	2.575431301053754	980.0020885044542	15	True
7	2024-02-23 04:30:00+00:00	19	GBP_JPY	SHORT	190.594	190.6805531870887	190.4988190007982	190.4988190007982	190.4988190007982	11435.77	3	ASIAN	2.5	0.06057806209683732	24.189453301812406	63.83596684133294	190.48113545445182	190.08883123375574	25.991694841411572	False	0.01097315577597159	96.87728937729736	14.786454554817396	0.924999999999627	4	4	vwap_deviation_mr_short	190.6805531870887	SL	2024-02-23 05:15:00+00:00	-8.655318708869686	-989.8023403133069	45	False
8	2024-03-13 11:00:00+00:00	19	GBP_JPY	SHORT	189.294	189.26403223506458	188.85615996279554	188.85615996279554	188.85615996279554	32698.6	4	LONDON	2.5	0.13595742408968156	22.723196581864034	69.34574735463355	188.89155415422132	188.77026898890355	21.86205459769326	False	0.01803782140728688	78.97965773328366	43.14458457786827	0.811320754716998	11	2	vwap_deviation_mr_short	189.26403223506458	SL	2024-03-13 11:15:00+00:00	2.996776493543507	979.9039585178172	15	True
9	2024-03-15 04:30:00+00:00	19	GBP_JPY	LONG	188.891	188.7899007582993	189.05775660759346	189.05775660759346	189.05775660759346	9789.42	3	ASIAN	2.5	0.08928528309805948	24.750389039057062	34.471836054503356	189.0426869818751	189.0260413020489	-21.00210341562274	False	-0.021401063522931054	28.304991995809228	-18.668698187511268	0.6962025316458383	4	4	vwap_deviation_mr_long	188.7899007582993	SL	2024-03-15 06:45:00+00:00	-10.109924170069462	-989.7029386896139	135	False
10	2024-03-26 06:00:00+00:00	19	GBP_JPY	SHORT	191.45000000000002	191.52810346588643	191.31712955929703	191.31712955929703	191.31712955929703	12544.97	2	ASIAN	2.5	0.07032463552980478	19.21955287972343	69.03339920616793	191.31487343565192	191.25373799308474	27.248747311281818	False	0.015093463105090299	83.29680628650245	17.012656434809514	0.7692307692309374	6	1	vwap_deviation_mr_short	191.52810346588643	SL	2024-03-26 06:30:00+00:00	-7.810346588641437	-979.8056364410916	30	False
11	2024-04-10 06:15:00+00:00	19	GBP_JPY	SHORT	192.457	192.53108266353775	192.35200771862566	192.35200771862566	192.35200771862566	13093.59	2	ASIAN	2.5	0.05969164830402858	22.31445200635778	67.29461038090629	192.35792373986305	192.14993899386337	10.954310437472259	False	0.009091968644867776	59.27602721390958	13.40762601369363	0.761061946902519	6	2	vwap_deviation_mr_short	192.53108266353775	SL	2024-04-10 07:30:00+00:00	-7.408266353775161	-970.0080224712692	75	False
12	2024-04-19 07:45:00+00:00	19	GBP_JPY	SHORT	192.273	192.18722021232537	191.4951524858959	191.4951524858959	191.4951524858959	11195.04	3	ASIAN	2.5	0.23068924214315914	23.495781464081496	64.616324829686	191.88586905192676	192.13817931574673	35.12968595989605	False	0.09295456165661162	92.80737494678903	42.21309480732316	0.7513227513227577	7	4	vwap_deviation_mr_short	192.18722021232537	SL	2024-04-19 08:00:00+00:00	8.577978767462469	960.3081542089304	15	True
13	2024-04-26 15:45:00+00:00	19	GBP_JPY	SHORT	196.543	196.35947080746652	195.69308773220732	195.69308773220732	195.69308773220732	5284.78	3	OVERLAP	2.5	0.2221276917530655	22.221131573731416	67.48855670424071	195.82797438030312	194.6446978075589	51.59806954183637	False	0.0010720544739439702	87.91536036275112	74.40256196968846	0.8438538205979305	15	4	vwap_deviation_mr_short	196.35947080746652	SL	2024-04-26 16:00:00+00:00	18.352919253348432	969.9114061171072	15	True
14	2024-05-09 09:30:00+00:00	19	GBP_JPY	SHORT	194.642	194.66424051834719	194.36060949298945	194.36060949298945	194.36060949298945	44046.19	3	LONDON	2.5	0.10121034178591272	20.951596721258873	70.23294211136377	194.3694234449031	194.04493590751377	23.439341011700776	False	0.020223839309068837	82.78679769279945	30.157655509688652	0.9890710382513135	9	3	vwap_deviation_mr_short	194.66424051834719	SL	2024-05-09 09:45:00+00:00	-2.224051834718921	-979.6100968187819	15	False
15	2024-05-24 10:00:00+00:00	19	GBP_JPY	SHORT	199.566	199.64121532440046	199.35068506324217	199.35068506324217	199.35068506324217	12893.83	3	LONDON	2.5	0.09684342038610078	23.508989121556308	70.64029535643044	199.3750403542578	199.23517367912862	13.015535354176677	False	0.017754813698967864	79.80277640803926	21.99596457421933	0.5897435897435399	10	4	vwap_deviation_mr_short	199.64121532440046	SL	2024-05-24 10:30:00+00:00	-7.52153244004603	-969.813606214387	30	False
16	2024-06-14 05:15:00+00:00	19	GBP_JPY	SHORT	201.385	201.43976414479795	200.90324737876927	200.90324737876927	200.90324737876927	17531.83	3	ASIAN	2.5	0.17883892200956114	22.53147282019572	73.88276393606904	200.7272876269428	200.50954978214045	75.5682345432291	False	0.049216170313992585	86.04410703781498	69.27123730571907	0.3157894736842893	5	4	vwap_deviation_mr_short	201.43976414479795	SL	2024-06-14 05:30:00+00:00	-5.4764144797957215	-960.1156766931704	15	False
17	2024-07-05 10:45:00+00:00	19	GBP_JPY	SHORT	205.598	205.73429160309018	205.3711561313793	205.3711561313793	205.3711561313793	6974.12	2	LONDON	2.5	0.12104515723695673	21.86033272896286	65.83627894990468	205.42525042500097	205.4279394183325	20.913670874404033	False	0.02929116508320337	87.8491500036157	20.174957499904167	0.7344632768361636	10	4	vwap_deviation_mr_short	205.73429160309018	SL	2024-07-05 12:00:00+00:00	-13.62916030901715	-950.513994943227	75	False
18	2024-11-07 09:45:00+00:00	19	GBP_JPY	LONG	198.726	198.56728064290954	199.11242642746214	199.11242642746214	199.11242642746214	5928.76	3	LONDON	2.5	0.18171526151753656	22.796290289859193	32.96486530858003	199.05900641118276	198.5158589736297	-29.784785421367133	False	-0.04245580165595213	10.664984623806326	-36.20064111827617	0.3046357615893317	9	3	vwap_deviation_mr_long	199.11242642746214	TP3	2024-11-07 12:00:00+00:00	38.64270792450217	2291.033410344715	135	True
19	2024-11-27 03:00:00+00:00	19	GBP_JPY	LONG	191.753	191.54431242125432	192.07118441892374	192.07118441892374	192.07118441892374	4618.96	2	ASIAN	2.5	0.17562399922314245	22.584083943055386	32.02201094882044	192.34632230183428	193.14151276104363	-100.96500996384066	False	-0.03142545397697857	45.18026083538399	-62.832230183428806	0.9718309859156246	3	2	vwap_deviation_mr_long	191.54431242125432	SL	2024-11-27 04:00:00+00:00	-20.868757874566768	-963.9195787230892	60	False
20	2024-11-29 11:00:00+00:00	19	GBP_JPY	LONG	190.23499999999999	190.12875521922834	190.78178708689717	190.78178708689717	190.78178708689717	8981.91	3	LONDON	2.5	0.21767728922293925	23.26069360464827	32.23691172233997	190.92778047111742	191.62410141661465	-42.617492638194676	False	-0.028983537078681704	12.462790069742503	-72.17804711174267	0.7511312217195588	11	4	vwap_deviation_mr_long	190.78178708689717	TP3	2024-11-29 15:45:00+00:00	54.678769566200785	4911.197871543545	285	True
21	2024-12-11 12:00:00+00:00	19	GBP_JPY	SHORT	194.434	194.43365799457334	193.75449946038856	193.75449946038856	193.75449946038856	2933850.06	3	LONDON	2.5	0.22638617806159061	17.137651510385986	69.26867440379974	193.81924712206438	193.2039574224043	53.33427124998309	False	0.05419890738476507	80.45420638598871	64.37528779356114	0.8363636363636293	12	2	vwap_deviation_mr_short	194.43365799457334	SL	2024-12-11 12:15:00+00:00	0.03420054266598527	1003.3926415263344	15	True
22	2024-12-11 12:30:00+00:00	19	GBP_JPY	SHORT	194.469	194.43025709270498	193.79330407088239	193.79330407088239	193.79330407088239	26157.73	3	LONDON	2.5	0.21231767394086096	21.576571002983236	69.69457862838176	193.86955491736893	193.22908883157928	51.43942552987255	False	0.047311938190995856	82.49505894585727	62.844508263106036	0.4237288135591955	12	2	vwap_deviation_mr_short	194.43025709270498	SL	2024-12-11 12:45:00+00:00	3.8742907295016953	1013.4265084380837	15	True
23	2024-12-11 13:00:00+00:00	19	GBP_JPY	SHORT	194.437	194.43078468789267	193.82201907213746	193.82201907213746	193.82201907213746	164683.74	3	OVERLAP	2.5	0.20292187191839656	22.831046786529225	67.88897810488075	193.91598283606416	193.2537292844081	44.59602140993297	False	0.030875455099209276	75.92287601162843	55.00171639358484	0.11194029850734873	13	2	vwap_deviation_mr_short	194.43078468789267	SL	2024-12-11 13:15:00+00:00	0.6215312107343607	1023.5608431046265	15	True

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10 KiB

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