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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>
3.7 KiB
3.7 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 | 2023-10-06 00:15:00+00:00 | 20 | EUR_USD | SHORT | 1.0540999999999998 | 1.0552846967471246 | 1.0532827777339115 | 1.0532827777339115 | 1.0532827777339115 | 844097.87 | 6 | ASIAN | 1.5 | 0.00035574075536281565 | 28.424434894863147 | 47.67241636990157 | 1.0538905301573296 | 1.0518052904431907 | 19.33139293836872 | False | -0.0001255885826991012 | 30.46681069170694 | 4.5946984267031254 | 0.6470588235297191 | 0 | 4 | range_compression_short | 1.0532827777339115 | TP3 | 2023-10-06 06:30:00+00:00 | 8.172222757698744 | 689.8155822939036 | 375 | True |
| 3 | 2023-10-20 00:15:00+00:00 | 20 | EUR_USD | SHORT | 1.0573199999999998 | 1.0589778099358036 | 1.055849467440569 | 1.055849467440569 | 1.055849467440569 | 607366.46 | 4 | ASIAN | 1.5 | 0.0005735108531436506 | 21.21480321827712 | 43.92278746171626 | 1.057677665275946 | 1.0561685516694062 | 0.2773544683765117 | False | -8.267077693149034e-05 | 38.13826735512583 | -1.0766527594618935 | 0.7500000000005782 | 0 | 4 | range_compression_short | 1.0589778099358036 | SL | 2023-10-20 08:30:00+00:00 | -16.578099358037775 | -1006.8981520619677 | 495 | False |
| 4 | 2023-10-25 00:15:00+00:00 | 20 | EUR_USD | LONG | 1.05997 | 1.0586880515503738 | 1.06070179671725 | 1.06070179671725 | 1.06070179671725 | 777589.13 | 5 | ASIAN | 1.5 | 0.00032726557241669193 | 18.805464596819267 | 56.467231252295704 | 1.0602179800795917 | 1.061618119796917 | -16.149919903727383 | False | 0.00013171906232671758 | 84.1960589501603 | -4.979800795916756 | 0.7307692307690994 | 0 | 2 | range_compression_long | 1.0586880515503738 | SL | 2023-10-25 07:00:00+00:00 | -12.819484496262577 | -996.8291796497307 | 405 | False |
| 5 | 2023-10-31 00:00:00+00:00 | 20 | EUR_USD | SHORT | 1.06079 | 1.0619635103133416 | 1.0600474382254579 | 1.0600474382254579 | 1.0600474382254579 | 840947.77 | 4 | ASIAN | 1.5 | 0.00033085392484736117 | 23.267834659947052 | 45.107120114231414 | 1.060667222992421 | 1.0583472549589021 | 12.756596231973116 | False | -0.00010268429377708281 | 47.13766122623949 | 3.727770075789838 | 0.7142857142857143 | 0 | 1 | range_compression_short | 1.0600474382254579 | TP3 | 2023-10-31 02:00:00+00:00 | 7.425617833720746 | 624.4556758139693 | 120 | True |
| 6 | 2024-04-12 00:15:00+00:00 | 20 | EUR_USD | SHORT | 1.0720399999999999 | 1.0731946620779005 | 1.0713599866158567 | 1.0713599866158567 | 1.0713599866158567 | 860083.19 | 4 | ASIAN | 1.5 | 0.00031000446138105316 | 27.19597177574009 | 41.349523423967184 | 1.0727952215269252 | 1.0761998703382178 | -6.525821487730621 | False | -4.31726597379754e-05 | 32.6198257080431 | -5.052215269252258 | 0.8437500000003035 | 0 | 4 | range_compression_short | 1.0713599866158567 | TP3 | 2024-04-12 04:30:00+00:00 | 6.800133920495086 | 584.868087476662 | 255 | True |
| 7 | 2024-04-26 00:00:00+00:00 | 20 | EUR_USD | SHORT | 1.0722099999999999 | 1.0734203272246279 | 1.0715786328123016 | 1.0715786328123016 | 1.0715786328123016 | 825358.71 | 4 | ASIAN | 1.5 | 0.0002937890625661515 | 20.481146716065297 | 43.37227153675976 | 1.0724165141988842 | 1.070717119499152 | 13.564067667404256 | False | -8.95282530850896e-05 | 11.863247863246178 | 0.43485801115794587 | 0.5250000000001666 | 0 | 4 | range_compression_short | 1.0734203272246279 | SL | 2024-04-26 06:30:00+00:00 | -12.10327224627994 | -998.9541167968413 | 390 | False |
| 8 | 2024-06-19 00:45:00+00:00 | 20 | EUR_USD | SHORT | 1.0734899999999998 | 1.074283321352963 | 1.073037315963764 | 1.073037315963764 | 1.073037315963764 | 1246612.83 | 6 | ASIAN | 1.5 | 0.00023422801207863668 | 35.954173955842705 | 46.10204661012355 | 1.0736614238453628 | 1.0729742599923233 | 5.633326832850116 | False | -5.096064862812106e-05 | 20.670199447791255 | 0.785761546371333 | 0.368421052631825 | 0 | 2 | range_compression_short | 1.073037315963764 | TP3 | 2024-06-19 06:30:00+00:00 | 4.526840398670853 | 564.3217320345401 | 345 | True |