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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>
1.8 KiB
1.8 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 | 2021-08-03 20:45:00+00:00 | 20 | GBP_JPY | SHORT | 151.649 | 151.88672855692215 | 151.4747776272534 | 151.4747776272534 | 151.4747776272534 | 4206.48 | 5 | NY | 2.5 | 0.06974079091553359 | 19.61394167982298 | 44.288354057264414 | 151.75228023907394 | 152.00946861386032 | -1.1743360168395611 | False | -0.009361515423956293 | 18.26887332206508 | -6.828023907394254 | 0.4235294117646823 | 20 | 1 | range_compression_short | 151.88672855692215 | SL | 2021-08-04 02:00:00+00:00 | -23.77285569221499 | -1000.000420121885 | 315 | False |
| 3 | 2022-09-28 22:15:00+00:00 | 20 | GBP_JPY | SHORT | 156.57 | 157.08522042558536 | 155.86116940807088 | 155.86116940807088 | 155.86116940807088 | 1921.51 | 5 | NY | 2.5 | 0.24794353064304048 | 26.113946481110467 | 54.693613968684026 | 155.96921753537532 | 155.4706856229532 | 158.26137664909652 | False | -0.10467480298180765 | 23.022792406670618 | 63.578246462466836 | 0.8181818181819978 | 22 | 2 | range_compression_short | 155.86116940807088 | TP3 | 2022-09-29 01:00:00+00:00 | 70.88342808539284 | 1362.032159003632 | 165 | True |
| 4 | 2022-10-24 06:00:00+00:00 | 20 | GBP_JPY | LONG | 169.427 | 167.8797830749211 | 170.49128169425438 | 170.49128169425438 | 170.49128169425438 | 648.66 | 4 | ASIAN | 2.5 | 0.366427231418133 | 30.983046237517588 | 65.8085928315528 | 168.26822944845225 | 168.1164356201881 | 170.58818636314754 | False | 0.04547442809444466 | 78.81774680361089 | 112.37705515477501 | 0.6820175438596813 | 6 | 0 | range_compression_long | 167.8797830749211 | SL | 2022-10-24 11:45:00+00:00 | -154.7216925078885 | -1003.6177306216696 | 345 | False |