fx-quant/results/phase1/S19_GBP_JPY_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

6.3 KiB

Raw Permalink Blame History

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	2021-07-07 10:15:00+00:00	19	GBP_JPY	SHORT	153.127	153.03755877962152	152.6463198182232	152.6463198182232	152.6463198182232	11180.53	4	LONDON	2.5	0.13041298713277177	24.292490410305643	68.94915229717456	152.74443135053406	153.06638746984797	33.075477597174086	False	0.03534342437297841	96.39175872378257	41.15686494659485	0.9756097560976159	10	2	vwap_deviation_mr_short	153.03755877962152	SL	2021-07-07 10:30:00+00:00	8.944122037848956	1000.0002476783139	15	True
3	2021-07-21 12:30:00+00:00	19	GBP_JPY	SHORT	150.221	150.26684619457382	149.81249265208254	149.81249265208254	149.81249265208254	22030.18	4	LONDON	2.5	0.15145118083042292	23.313051798748006	66.8604798207605	149.8294728005477	149.95558736739278	26.836626806215236	False	0.014904723457836333	94.75870582598377	42.052719945229455	0.8432835820894573	12	2	vwap_deviation_mr_short	150.26684619457382	SL	2021-07-21 13:00:00+00:00	-4.584619457381223	-1009.9999187761067	30	False
4	2021-08-18 03:30:00+00:00	19	GBP_JPY	SHORT	150.73	150.8355731770416	150.5910924934697	150.5910924934697	150.5910924934697	9471.16	3	ASIAN	2.5	0.0814935611906394	21.786660669110848	67.66130150742057	150.61901807853843	151.04755607406062	9.87427759401669	False	0.021133160302179186	88.60278385586874	14.598192146155498	0.5624999999997039	3	2	vwap_deviation_mr_short	150.8355731770416	SL	2021-08-18 04:00:00+00:00	-10.557317704160596	-999.9004514693767	30	False
5	2021-08-24 04:30:00+00:00	19	GBP_JPY	SHORT	150.603	150.68849499668406	150.52032209871396	150.52032209871396	150.52032209871396	11578.47	4	ASIAN	2.5	0.05605763265669377	20.982608819491915	64.04522811612802	150.51154269740232	150.25036351126357	16.072826193968126	False	0.012509949633684597	86.88344067470325	12.645730259768584	0.7500000000002368	4	1	vwap_deviation_mr_short	150.68849499668406	SL	2021-08-24 05:00:00+00:00	-8.549499668404792	-989.9012542563482	30	False
6	2021-09-23 01:45:00+00:00	19	GBP_JPY	SHORT	149.727	149.83442701813428	149.60880441694442	149.60880441694442	149.60880441694442	9122.49	3	ASIAN	2.5	0.07520753372994757	17.740652194968412	67.6547377923886	149.5588866418638	149.62124821713113	21.752065487677896	False	0.01933303045851743	86.49184149183456	20.31133581361928	0.8869565217390939	1	3	vwap_deviation_mr_short	149.83442701813428	SL	2021-09-23 03:45:00+00:00	-10.7427018134274	-980.0018986597333	120	False
7	2021-12-27 03:45:00+00:00	19	GBP_JPY	SHORT	153.45000000000002	153.57074199703902	153.3088816149624	153.3088816149624	153.3088816149624	8035.33	3	ASIAN	2.5	0.08728679402554518	19.50928985208128	65.4307279850243	153.28034780425088	153.0327649444928	21.04349008104407	False	0.01470730718649528	62.41081560123521	20.465219574913363	0.8507462686568684	3	0	vwap_deviation_mr_short	153.3088816149624	TP3	2021-12-27 07:30:00+00:00	14.111856066001788	1133.9342040282615	225	True
8	2022-02-14 06:30:00+00:00	19	GBP_JPY	LONG	156.197	156.1398167993275	156.45338670093554	156.45338670093554	156.45338670093554	17164.85	3	ASIAN	2.5	0.10452330053601343	22.661403879512502	34.017752096218985	156.53799573790386	156.8261766109392	-70.40630696998846	False	-0.008334938492095115	17.97564519900199	-37.599573790384966	0.9586206896551657	6	0	vwap_deviation_mr_long	156.1398167993275	SL	2022-02-14 06:45:00+00:00	-5.71832006725117	-981.5410620635624	15	False
9	2022-05-04 05:00:00+00:00	19	GBP_JPY	LONG	162.399	162.3109308136645	162.53756580458906	162.53756580458906	162.53756580458906	11033.66	2	ASIAN	2.5	0.0755449969748577	23.65221495120416	33.67312592965334	162.5737832179623	162.76692577394456	-38.706524200114245	False	-0.010949117081969863	35.556226617682256	-20.978321796229693	0.8019801980196989	5	2	vwap_deviation_mr_long	162.3109308136645	SL	2022-05-04 05:15:00+00:00	-8.806918633550254	-971.7254585025809	15	False
10	2022-05-30 09:30:00+00:00	19	GBP_JPY	SHORT	160.911	161.04513823436562	160.64806492640994	160.64806492640994	160.64806492640994	7171.77	2	LONDON	2.5	0.13235776931856266	19.36656063260964	67.01231149985844	160.63309512051072	160.32922734993633	14.10123823801257	False	0.023669027710099558	84.17254198916073	30.69048794892808	0.4387755102042148	9	0	vwap_deviation_mr_short	161.04513823436562	SL	2022-05-30 10:30:00+00:00	-13.413823436562211	-962.0085650763377	60	False
11	2022-07-07 05:00:00+00:00	19	GBP_JPY	SHORT	162.429	162.5015732452915	161.96722713292527	161.96722713292527	161.96722713292527	13123.14	4	ASIAN	2.5	0.17811537078874268	20.973130988681167	66.36058192980627	161.97066894580865	162.32431525357188	84.00033076225668	False	0.023906561383500266	56.692199983524226	49.33310541913443	0.9628647214853856	5	3	vwap_deviation_mr_short	162.5015732452915	SL	2022-07-07 06:30:00+00:00	-7.2573245291493995	-952.3888582146166	90	False
12	2023-03-01 05:00:00+00:00	19	GBP_JPY	SHORT	164.202	164.33346788621878	163.9887197172402	163.9887197172402	163.9887197172402	7171.82	2	ASIAN	2.5	0.11491605632619685	21.55123800606861	61.76212455626233	164.1626727934212	164.00641919326722	-54.95321449259336	False	0.033618800832898865	75.9319177620476	7.432720657880054	0.3793103448274848	5	2	vwap_deviation_mr_short	164.33346788621878	SL	2023-03-01 07:15:00+00:00	-13.146788621878613	-942.8640157416147	135	False
13	2023-03-29 11:15:00+00:00	19	GBP_JPY	SHORT	162.927	162.9467275912905	162.4241893103544	162.4241893103544	162.4241893103544	47316.27	3	LONDON	2.5	0.1741794269787023	24.543349463038098	67.53063893844055	162.33992784826088	161.5968392236137	33.74955561553179	False	0.020877429151110904	93.57833640649092	61.60721517391039	0.41379310344826237	11	2	vwap_deviation_mr_short	162.9467275912905	SL	2023-03-29 11:30:00+00:00	-1.9727591290518376	-933.4360359518158	15	False
14	2023-05-17 11:30:00+00:00	19	GBP_JPY	SHORT	170.67000000000002	170.80676394585083	170.38650538626686	170.38650538626686	170.38650538626686	6756.91	2	LONDON	2.5	0.14008618652798865	24.13672863778925	65.11971345362483	170.39775302400886	170.1744241009044	29.884250072808527	False	0.039470237189441766	96.98267089038609	30.124697599114825	0.30973451327455886	11	2	vwap_deviation_mr_short	170.80676394585083	SL	2023-05-17 11:45:00+00:00	-13.67639458508165	-924.1016733588407	15	False

6.3 KiB Raw Permalink Blame History

6.3 KiB

Raw Permalink Blame History