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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>
3.2 KiB
3.2 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 | 2023-10-05 23:45:00+00:00 | 20 | GBP_USD | SHORT | 1.21843 | 1.2196273030491802 | 1.2173721657636491 | 1.2173721657636491 | 1.2173721657636491 | 835210.43 | 4 | NY | 1.5 | 0.00043594474545026967 | 14.270460878472878 | 53.098572878860644 | 1.2176344311915404 | 1.214615384534863 | 33.639824919280414 | False | -0.00017486077949895745 | 19.85301520186501 | 10.455688084596293 | 0.7307692307690994 | 23 | 3 | range_compression_short | 1.2173721657636491 | TP3 | 2023-10-06 05:30:00+00:00 | 10.578342490162335 | 883.5141979895756 | 345 | True |
| 3 | 2023-10-20 00:00:00+00:00 | 20 | GBP_USD | SHORT | 1.21251 | 1.2154200577516179 | 1.2104018684908309 | 1.2104018684908309 | 1.2104018684908309 | 346671.86 | 5 | ASIAN | 1.5 | 0.0007860438363897247 | 33.42410259805817 | 37.364504219750415 | 1.2142072291213288 | 1.2150806871967565 | -18.5280395730425 | False | -0.00011764694675848021 | 27.662282640736418 | -14.472291213287747 | 0.7075471698113069 | 0 | 4 | range_compression_short | 1.2104018684908309 | TP3 | 2023-10-20 06:15:00+00:00 | 21.081315699796836 | 730.8298924895771 | 375 | True |
| 4 | 2024-02-22 23:30:00+00:00 | 20 | GBP_USD | LONG | 1.2666600000000001 | 1.265291889835697 | 1.2678633421086158 | 1.2678633421086158 | 1.2678633421086158 | 742735.1 | 5 | NY | 1.5 | 0.0004844473695385972 | 13.819616774869656 | 60.23511417521121 | 1.2655252571041689 | 1.2640694097953353 | 6.937012750294347 | False | 1.741414089419027e-05 | 94.54929887443177 | 8.84742895831181 | 0.33333333333382675 | 23 | 3 | range_compression_long | 1.265291889835697 | SL | 2024-02-23 00:30:00+00:00 | -13.68110164303049 | -1016.1434396946415 | 60 | False |
| 5 | 2024-05-14 23:30:00+00:00 | 20 | GBP_USD | SHORT | 1.2583099999999998 | 1.2593714539372058 | 1.257581807775503 | 1.257581807775503 | 1.257581807775503 | 947739.67 | 3 | NY | 1.5 | 0.00032606407483232674 | 19.167308303094032 | 48.537353999859114 | 1.2580573455946173 | 1.2557118378821621 | 22.399781389406126 | False | -0.00010907090026531858 | 6.641549664782397 | 5.026544053825521 | 0.8400000000006395 | 23 | 1 | range_compression_short | 1.2593714539372058 | SL | 2024-05-15 02:00:00+00:00 | -10.61453937206025 | -1005.9820041678389 | 150 | False |
| 6 | 2024-11-08 01:00:00+00:00 | 20 | GBP_USD | SHORT | 1.2969499999999998 | 1.2992893487664683 | 1.2950607238869785 | 1.2950607238869785 | 1.2950607238869785 | 425726.25 | 4 | ASIAN | 1.5 | 0.0007130920376738181 | 26.410129318641253 | 41.590932420953806 | 1.2971459390625015 | 1.294450113115549 | 11.447456762871955 | False | -0.00016697696440401118 | 14.130419686487203 | 0.5406093749837915 | 0.6923076923076704 | 1 | 4 | range_compression_short | 1.2950607238869785 | TP3 | 2024-11-08 08:00:00+00:00 | 18.89276157399087 | 804.3144537039232 | 420 | True |
| 7 | 2024-12-05 00:15:00+00:00 | 20 | GBP_USD | SHORT | 1.26911 | 1.2708919044940223 | 1.2674807246947204 | 1.2674807246947204 | 1.2674807246947204 | 563422.64 | 3 | ASIAN | 1.5 | 0.0006264251017598804 | 21.29880330243999 | 42.915340620886234 | 1.2695886043801186 | 1.2681314482555255 | 7.085589861672847 | False | -0.00011678779770838751 | 9.660374260895937 | -2.2860438011851336 | 0.44897959183661446 | 0 | 3 | range_compression_short | 1.2708919044940223 | SL | 2024-12-05 02:30:00+00:00 | -17.81904494022379 | -1003.9653342499532 | 135 | False |