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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>
6.0 KiB
6.0 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 | 2023-11-06 06:30:00+00:00 | 19 | GBP_USD | SHORT | 1.23823 | 1.2387592366207023 | 1.237270269613313 | 1.237270269613313 | 1.237270269613313 | 1889513.99 | 2 | ASIAN | 1.5 | 0.000496322335796418 | 23.767266113211143 | 69.23042377128269 | 1.2362411418136792 | 1.2276844361172852 | 55.29477918618131 | False | 5.578892332675861e-05 | 77.00501307381907 | 22.38858186320858 | 0.6296296296296601 | 6 | 0 | vwap_deviation_mr_short | 1.2387592366207023 | SL | 2023-11-06 06:45:00+00:00 | -5.292366207023668 | -999.9999988374458 | 15 | False |
| 3 | 2023-11-29 09:15:00+00:00 | 19 | GBP_USD | LONG | 1.26865 | 1.2683422658025048 | 1.270967497463305 | 1.270967497463305 | 1.270967497463305 | 3217062.02 | 4 | LONDON | 1.5 | 0.0008750772202667116 | 22.964090578073233 | 33.73365565699591 | 1.2700742683441462 | 1.2658558571347693 | -14.159800396749134 | False | -0.00023151281941296095 | 12.408124494495567 | -16.142683441462413 | 0.5887096774194949 | 9 | 2 | vwap_deviation_mr_long | 1.2683422658025048 | SL | 2023-11-29 09:30:00+00:00 | -3.0773419749530184 | -989.9999990173147 | 15 | False |
| 4 | 2024-02-14 06:00:00+00:00 | 19 | GBP_USD | SHORT | 1.2605 | 1.2611012254667833 | 1.2596785301202578 | 1.2596785301202578 | 1.2596785301202578 | 1630170.47 | 4 | ASIAN | 1.5 | 0.00047423178217513736 | 23.97037650400305 | 64.62298476643613 | 1.2599301711492354 | 1.2612968281694552 | -1.806111205280292 | False | 8.342533364435182e-05 | 72.15243412426504 | 8.198288507645923 | 0.7968750000000487 | 6 | 2 | vwap_deviation_mr_short | 1.2596785301202578 | TP3 | 2024-02-14 07:00:00+00:00 | 8.214698847813526 | 1339.1359481648633 | 60 | True |
| 5 | 2024-05-23 11:45:00+00:00 | 19 | GBP_USD | SHORT | 1.27382 | 1.274492891937487 | 1.272431548026255 | 1.272431548026255 | 1.272431548026255 | 1476450.09 | 3 | LONDON | 1.5 | 0.0006871146370773615 | 18.644181713984295 | 64.23109066171126 | 1.2724894414860672 | 1.2719274571959214 | 15.492368795553269 | False | 0.0001648524898402379 | 87.77118038802678 | 15.20558513932846 | 0.8315789473686819 | 11 | 3 | vwap_deviation_mr_short | 1.274492891937487 | SL | 2024-05-23 13:15:00+00:00 | -6.728919374869857 | -993.4913616629345 | 90 | False |
| 6 | 2024-07-03 05:15:00+00:00 | 19 | GBP_USD | LONG | 1.26817 | 1.2677245592339923 | 1.2685858686903566 | 1.2685858686903566 | 1.2685858686903566 | 2208052.16 | 3 | ASIAN | 1.5 | 0.000287103152121445 | 23.99141217317982 | 35.89519207406347 | 1.2681394742900158 | 1.2663615184101156 | 11.52418598651117 | False | -8.3634389486624e-05 | 17.82731861255577 | -2.1947429001589747 | 0.6666666666671153 | 5 | 2 | vwap_deviation_mr_long | 1.2685858686903566 | TP3 | 2024-07-03 06:45:00+00:00 | 4.158686922400099 | 918.2597641769293 | 90 | True |
| 7 | 2024-07-16 12:15:00+00:00 | 19 | GBP_USD | SHORT | 1.29764 | 1.2979632543880697 | 1.2963592049162613 | 1.2963592049162613 | 1.2963592049162613 | 3071076.77 | 3 | LONDON | 1.5 | 0.0005346831572694376 | 21.16434313116729 | 68.43863208502307 | 1.2965393567870915 | 1.2957659403053823 | 12.687983034460615 | False | 0.00011135296120615619 | 92.36171236170897 | 12.906432129085044 | 0.8314606741574155 | 12 | 1 | vwap_deviation_mr_short | 1.2963592049162613 | TP3 | 2024-07-16 12:30:00+00:00 | 12.80795087909081 | 3933.420041607687 | 15 | True |
| 8 | 2024-07-24 11:30:00+00:00 | 19 | GBP_USD | SHORT | 1.2909199999999998 | 1.291300800216612 | 1.2894136527367128 | 1.2894136527367128 | 1.2894136527367128 | 2710274.83 | 3 | LONDON | 1.5 | 0.000629049159966362 | 24.451236523260363 | 65.55362315404516 | 1.289790285338261 | 1.291009667066148 | 13.990521987732318 | False | 0.00016955756246682277 | 81.19015322404458 | 13.197146617389688 | 0.6779661016947367 | 11 | 2 | vwap_deviation_mr_short | 1.291300800216612 | SL | 2024-07-24 11:45:00+00:00 | -3.8080021661213155 | -1032.073242342408 | 15 | False |
| 9 | 2024-08-13 03:30:00+00:00 | 19 | GBP_USD | SHORT | 1.27738 | 1.2779089752658788 | 1.2769096000478284 | 1.2769096000478284 | 1.2769096000478284 | 1931569.54 | 2 | ASIAN | 1.5 | 0.0003331250726834552 | 20.818311674209365 | 67.48071305282608 | 1.2768017980710085 | 1.275789290188851 | 8.639808992227938 | False | 7.30643802656501e-05 | 84.12599082187192 | 8.282019289915787 | 0.9090909090909702 | 3 | 1 | vwap_deviation_mr_short | 1.2779089752658788 | SL | 2024-08-13 05:00:00+00:00 | -5.289752658788061 | -1021.7525109849031 | 90 | False |
| 10 | 2024-11-01 09:00:00+00:00 | 19 | GBP_USD | SHORT | 1.2911599999999999 | 1.2919154968083728 | 1.2895374576588243 | 1.2895374576588243 | 1.2895374576588243 | 1338900.41 | 3 | LONDON | 1.5 | 0.000792679716516163 | 13.830734847320041 | 65.35846044552744 | 1.2899901887047038 | 1.293170783071723 | 7.441487915318401 | False | 0.00017020698918981318 | 67.2222222222208 | 13.59811295296165 | 0.8598130841122562 | 9 | 4 | vwap_deviation_mr_short | 1.2919154968083728 | SL | 2024-11-01 11:45:00+00:00 | -7.554968083729463 | -1011.5349864842292 | 165 | False |
| 11 | 2024-12-06 12:00:00+00:00 | 19 | GBP_USD | SHORT | 1.2770099999999998 | 1.277432775169805 | 1.2753001041473415 | 1.2753001041473415 | 1.2753001041473415 | 2368681.29 | 3 | LONDON | 1.5 | 0.0007108903408211119 | 19.679347497269923 | 66.34230884690953 | 1.275514098503998 | 1.2730238314140212 | 9.76398140978496 | False | 9.367269981038986e-05 | 81.73936698091968 | 16.85901496001785 | 0.27419354838681376 | 12 | 4 | vwap_deviation_mr_short | 1.277432775169805 | SL | 2024-12-06 12:15:00+00:00 | -4.227751698051563 | -1001.4196345940467 | 15 | False |
| 12 | 2024-12-10 06:00:00+00:00 | 19 | GBP_USD | SHORT | 1.2755699999999999 | 1.2762079466069918 | 1.2746701794908255 | 1.2746701794908255 | 1.2746701794908255 | 1554057.08 | 2 | ASIAN | 1.5 | 0.0005125890387220557 | 21.4070433967152 | 64.45996128210038 | 1.2751250252674848 | 1.274847198415795 | -6.099157136882916 | False | 0.00015054185195471432 | 83.25695946177537 | 6.94974732515119 | 0.7857142857144274 | 6 | 1 | vwap_deviation_mr_short | 1.2762079466069918 | SL | 2024-12-10 06:15:00+00:00 | -6.379466069919015 | -991.4054412577422 | 15 | False |
| 13 | 2024-12-17 12:45:00+00:00 | 19 | GBP_USD | SHORT | 1.27043 | 1.2713271965085553 | 1.2688991220286974 | 1.2688991220286974 | 1.2688991220286974 | 1093953.64 | 2 | LONDON | 1.5 | 0.0008093581599526369 | 24.707819043726595 | 66.3386976442973 | 1.2688740771575127 | 1.2675876425788444 | 14.274817340009793 | False | 0.00014917528081576152 | 76.64024702079733 | 17.45922842487424 | 0.2037037037038103 | 12 | 1 | vwap_deviation_mr_short | 1.2688991220286974 | TP3 | 2024-12-17 14:30:00+00:00 | 15.308779852965728 | 1674.7095444110523 | 105 | True |