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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>
5.1 KiB
5.1 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 | 2021-08-20 00:00:00+00:00 | 20 | EUR_USD | LONG | 1.16822 | 1.1673627324636653 | 1.1687902313043312 | 1.1687902313043312 | 1.1687902313043312 | 1166496.99 | 5 | ASIAN | 1.5 | 0.00027341043477712617 | 23.583568639053965 | 52.665897430319006 | 1.1681493614280063 | 1.1699919017296279 | -9.796431443958031 | False | 5.86913246034441e-05 | 42.43066596007235 | -1.7936142800634158 | 0.897435897435766 | 0 | 4 | range_compression_long | 1.1687902313043312 | TP3 | 2021-08-20 05:45:00+00:00 | 5.702313092196114 | 665.1731058084359 | 345 | True |
| 3 | 2022-03-01 00:45:00+00:00 | 20 | EUR_USD | SHORT | 1.12029 | 1.12257349335582 | 1.1187511540800068 | 1.1187511540800068 | 1.1187511540800068 | 440838.48 | 5 | ASIAN | 1.5 | 0.0005962819733310987 | 31.11027434269583 | 41.42075338595161 | 1.1210337162514274 | 1.1210269957024999 | 0.4196541723788805 | False | -0.00014978924542549056 | 17.739018087855964 | -4.937162514273563 | 0.4044943820223514 | 0 | 1 | range_compression_short | 1.12257349335582 | SL | 2022-03-01 07:45:00+00:00 | -22.834933558200095 | -1006.6517400697923 | 420 | False |
| 4 | 2022-04-14 23:15:00+00:00 | 20 | EUR_USD | SHORT | 1.0813599999999999 | 1.0838396064601319 | 1.0795440149366329 | 1.0795440149366329 | 1.0795440149366329 | 401912.65 | 5 | NY | 1.5 | 0.000688661687789028 | 13.440102601337813 | 38.69050750163959 | 1.0834993623527376 | 1.0857081140386131 | -23.275068450221426 | False | -4.609285603387182e-05 | 11.94332662643433 | -18.893623527376224 | 0.89873417721535 | 23 | 3 | range_compression_short | 1.08069 | TIME | 2022-04-15 11:15:00+00:00 | 6.699999999999485 | 269.2814754999793 | 720 | True |
| 5 | 2022-07-13 23:15:00+00:00 | 20 | EUR_USD | SHORT | 1.00416 | 1.007224109141699 | 1.0021236974741012 | 1.0021236974741012 | 1.0021236974741012 | 326123.51 | 5 | NY | 1.5 | 0.0007621008419662684 | 38.02615542999577 | 36.22573951715699 | 1.005757654425725 | 1.0058609419280913 | -11.741999708176909 | False | -0.0001475004564876973 | 13.888485552497515 | -13.476544257249312 | 0.6078431372549532 | 23 | 2 | range_compression_short | 1.0021236974741012 | TP3 | 2022-07-14 00:45:00+00:00 | 20.363025883383145 | 664.0861475309763 | 90 | True |
| 6 | 2022-07-19 19:45:00+00:00 | 20 | EUR_USD | SHORT | 1.02189 | 1.025125451226684 | 1.0192867528235905 | 1.0192867528235905 | 1.0192867528235905 | 310905.29 | 3 | NY | 1.5 | 0.0009510823921364941 | 34.95629548985701 | 40.133633085939564 | 1.0224971420600342 | 1.0164223116263713 | -21.18009887499106 | False | -0.00018342440084019324 | 31.500000000011244 | -3.571420600341213 | 0.7019230769230256 | 19 | 1 | range_compression_short | 1.025125451226684 | SL | 2022-07-20 07:00:00+00:00 | -32.35451226684116 | -1005.9189019130808 | 675 | False |
| 7 | 2022-11-03 01:00:00+00:00 | 20 | EUR_USD | LONG | 0.9829 | 0.9803038388084646 | 0.9857211696215131 | 0.9857211696215131 | 0.9857211696215131 | 383589.32 | 5 | ASIAN | 1.5 | 0.001023723207171024 | 19.726557302535177 | 47.54864621606331 | 0.9845360020317981 | 0.9882152878090221 | -56.2761414096713 | False | 0.00033460850500361197 | 73.09684781637505 | -18.860020317981174 | 0.7945205479452305 | 1 | 3 | range_compression_long | 0.9803038388084646 | SL | 2022-11-03 07:00:00+00:00 | -25.961611915353842 | -995.8597060714478 | 360 | False |
| 8 | 2023-06-14 00:00:00+00:00 | 20 | EUR_USD | SHORT | 1.07839 | 1.0795673391584095 | 1.0776339736876628 | 1.0776339736876628 | 1.0776339736876628 | 837397.7 | 4 | ASIAN | 1.5 | 0.0003353421041124327 | 20.567632324315944 | 41.525603986787885 | 1.079102804176917 | 1.077720911929801 | -11.843185396720468 | False | -1.6477328505374174e-05 | 17.05331705331273 | -4.628041769170199 | 0.7111111111107383 | 0 | 2 | range_compression_short | 1.0795673391584095 | SL | 2023-06-14 02:30:00+00:00 | -11.773391584095627 | -985.9011033721034 | 150 | False |
| 9 | 2023-07-07 00:30:00+00:00 | 20 | EUR_USD | SHORT | 1.0881999999999998 | 1.0895736207580287 | 1.0872601999470517 | 1.0872601999470517 | 1.0872601999470517 | 710561.55 | 5 | ASIAN | 1.5 | 0.0003966000176494413 | 29.904598362074896 | 46.93573585383308 | 1.0881660839708118 | 1.0876233976494782 | 11.466431997286808 | False | -0.00012305502906238104 | 7.603090664744795 | 2.8391602918809156 | 0.3061224489797213 | 0 | 4 | range_compression_short | 1.0895736207580287 | SL | 2023-07-07 05:00:00+00:00 | -13.736207580288262 | -976.0420949371378 | 270 | False |
| 10 | 2023-07-20 00:00:00+00:00 | 20 | EUR_USD | LONG | 1.12098 | 1.1195432057435684 | 1.1217686238323406 | 1.1217686238323406 | 1.1217686238323406 | 672526.12 | 5 | ASIAN | 1.5 | 0.00034620794411354034 | 22.46347975197847 | 61.28909215709043 | 1.1204155975606718 | 1.1217093741386877 | -1.2429048294726464 | False | 8.214967660142779e-05 | 96.85534591195615 | 3.1440243932823186 | 0.6410256410260352 | 0 | 3 | range_compression_long | 1.1217686238323406 | TP3 | 2023-07-20 00:45:00+00:00 | 7.886238440667556 | 530.3701339897002 | 45 | True |
| 11 | 2023-08-11 00:30:00+00:00 | 20 | EUR_USD | LONG | 1.0989900000000001 | 1.0975370693229385 | 1.1000470420964896 | 1.1000470420964896 | 1.1000470420964896 | 668707.32 | 3 | ASIAN | 1.5 | 0.00043568069882988245 | 20.841309890107787 | 50.78617397770434 | 1.099196800691233 | 1.0988962484916949 | -27.581618557435128 | False | 0.00015421160267479572 | 66.9471234344812 | -4.568006912328837 | 0.6578947368422436 | 0 | 4 | range_compression_long | 1.1000470420964896 | TP3 | 2023-08-11 06:15:00+00:00 | 10.570421122967367 | 706.8517980410899 | 345 | True |