mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-06 07:07:45 +00:00
Brent Neale
edbe359d1b
- S3 Key Level Breakout: best performer (52-53% WR, PF ~1.0 on JPY crosses) - S4 EMA Ribbon: tested 7 variants (D/E/F/F-v2/G/G-Minimal), exhausted - Only EUR_AUD S4-F marginally profitable (PF 1.06) - Detailed filter funnel analysis revealed contradictory filter stacking - S5 Momentum Exhaustion: extended to 5 pairs, PF 0.43-0.77 - S6 EMA Bounce: 59-60% WR but PF 0.83-0.84, needs SL/TP restructuring - Added STRATEGY_LEARNINGS.md with design principles and next steps - Added M5 data downloader for 3-timeframe strategies - Updated README with full strategy scorecard Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
141 lines
3.5 KiB
JSON
141 lines
3.5 KiB
JSON
{
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"S4_GBP_AUD": {
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"pair": "GBP_AUD",
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"strategy_id": 4,
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"strategy_name": "S4_EMA_Ribbon_Scalp",
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"total_trades": 571,
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"win_rate_pct": 38.0,
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"avg_rr": 1.13,
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"expectancy_pips": -4.75,
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"sharpe_ratio": -3.25,
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"max_drawdown_pct": -70.26,
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"profit_factor": 0.63,
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"total_pnl_pips": -2713.91,
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"total_pnl_dollars": -70126.02,
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"avg_win_pips": 28.22,
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"avg_loss_pips": 24.97,
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"max_consecutive_wins": 6,
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"max_consecutive_losses": 12,
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"avg_hold_time_minutes": 265.5,
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"best_trade_pips": 97.29,
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"worst_trade_pips": -83.64,
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"best_trade_dollars": 2227.85,
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"worst_trade_dollars": -1000.0,
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"final_equity": 29873.98,
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"starting_equity": 100000.0,
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"session_breakdown": {
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"LONDON": {
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"trades": 388,
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"win_rate": 37.88659793814433,
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"total_pnl_pips": -1695.5452153584915
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},
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"OVERLAP": {
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"trades": 183,
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"win_rate": 38.25136612021858,
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"total_pnl_pips": -1018.3638497348865
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}
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},
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"exit_reasons": {
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"SL": 353,
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"TP1+TP2+SL": 64,
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"TP1+SL": 84,
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"TP3": 51,
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"TP1+TIME": 5,
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"TIME": 7,
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"TP1+TP2+TIME": 7
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}
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},
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"S4_EUR_AUD": {
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"pair": "EUR_AUD",
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"strategy_id": 4,
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"strategy_name": "S4_EMA_Ribbon_Scalp",
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"total_trades": 531,
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"win_rate_pct": 39.74,
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"avg_rr": 1.14,
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"expectancy_pips": -3.24,
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"sharpe_ratio": -2.21,
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"max_drawdown_pct": -60.51,
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"profit_factor": 0.74,
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"total_pnl_pips": -1721.5,
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"total_pnl_dollars": -57192.16,
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"avg_win_pips": 24.67,
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"avg_loss_pips": 21.65,
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"max_consecutive_wins": 5,
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"max_consecutive_losses": 13,
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"avg_hold_time_minutes": 276.4,
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"best_trade_pips": 86.03,
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"worst_trade_pips": -44.06,
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"best_trade_dollars": 1812.98,
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"worst_trade_dollars": -1062.74,
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"final_equity": 42807.84,
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"starting_equity": 100000.0,
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"session_breakdown": {
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"LONDON": {
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"trades": 329,
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"win_rate": 41.03343465045592,
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"total_pnl_pips": -1070.278089009583
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},
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"OVERLAP": {
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"trades": 202,
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"win_rate": 37.62376237623762,
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"total_pnl_pips": -651.2189908399273
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}
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},
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"exit_reasons": {
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"TP1+TP2+SL": 80,
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"TP1+TP2+TIME": 9,
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"SL": 319,
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"TP1+SL": 67,
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"TP3": 50,
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"TP1+TIME": 3,
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"TIME": 2,
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"TP1+TP2+END": 1
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}
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},
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"S4_GBP_JPY": {
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"pair": "GBP_JPY",
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"strategy_id": 4,
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"strategy_name": "S4_EMA_Ribbon_Scalp",
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"total_trades": 500,
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"win_rate_pct": 42.4,
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"avg_rr": 1.18,
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"expectancy_pips": -1.9,
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"sharpe_ratio": -1.69,
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"max_drawdown_pct": -47.49,
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"profit_factor": 0.79,
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"total_pnl_pips": -949.03,
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"total_pnl_dollars": -41679.0,
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"avg_win_pips": 29.68,
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"avg_loss_pips": 25.14,
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"max_consecutive_wins": 9,
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"max_consecutive_losses": 10,
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"avg_hold_time_minutes": 298.9,
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"best_trade_pips": 153.57,
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"worst_trade_pips": -102.66,
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"best_trade_dollars": 2100.21,
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"worst_trade_dollars": -1010.43,
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"final_equity": 58321.0,
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"starting_equity": 100000.0,
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"session_breakdown": {
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"LONDON": {
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"trades": 335,
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"win_rate": 40.8955223880597,
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"total_pnl_pips": -865.0529088630541
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},
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"OVERLAP": {
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"trades": 165,
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"win_rate": 45.45454545454545,
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"total_pnl_pips": -83.98119338088975
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}
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},
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"exit_reasons": {
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"SL": 281,
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"TP1+SL": 75,
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"TP1+TP2+SL": 66,
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"TP1+TIME": 4,
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"TP3": 55,
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"TP1+TP2+TIME": 9,
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"TIME": 10
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}
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}
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} |