mirror of
https://github.com/BrentNeale1/fx-quant.git
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Brent Neale
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>
118 lines
2.2 KiB
JSON
118 lines
2.2 KiB
JSON
{
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"EUR_USD": {
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"training": {
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"trades": 233,
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"wr": 45.5,
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"pf": 0.68,
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"sharpe": -2.79,
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"pnl_pips": -512.2,
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"max_dd_pips": -533.1,
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"expectancy": -2.2
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},
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"test_set": {
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"trades": 92,
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"wr": 47.8,
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"pf": 0.6,
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"sharpe": -3.8,
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"pnl_pips": -221.2,
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"max_dd_pips": -228.3,
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"expectancy": -2.4
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},
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"2025": {
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"trades": 91,
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"wr": 45.1,
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"pf": 0.63,
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"sharpe": -3.36,
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"pnl_pips": -261.3,
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"max_dd_pips": -355.4,
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"expectancy": -2.87
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}
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},
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"GBP_USD": {
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"training": {
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"trades": 205,
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"wr": 47.3,
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"pf": 0.77,
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"sharpe": -1.86,
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"pnl_pips": -456.6,
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"max_dd_pips": -699.4,
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"expectancy": -2.23
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},
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"test_set": {
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"trades": 98,
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"wr": 53.1,
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"pf": 0.92,
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"sharpe": -0.61,
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"pnl_pips": -48.7,
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"max_dd_pips": -126.6,
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"expectancy": -0.5
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},
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"2025": {
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"trades": 81,
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"wr": 44.4,
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"pf": 0.55,
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"sharpe": -4.17,
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"pnl_pips": -363.9,
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"max_dd_pips": -373.7,
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"expectancy": -4.49
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}
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},
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"GBP_JPY": {
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"training": {
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"trades": 231,
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"wr": 46.8,
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"pf": 0.67,
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"sharpe": -2.82,
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"pnl_pips": -1115.2,
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"max_dd_pips": -1274.8,
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"expectancy": -4.83
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},
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"test_set": {
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"trades": 126,
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"wr": 43.7,
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"pf": 0.67,
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"sharpe": -2.9,
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"pnl_pips": -661.8,
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"max_dd_pips": -918.0,
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"expectancy": -5.25
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},
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"2025": {
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"trades": 91,
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"wr": 42.9,
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"pf": 0.69,
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"sharpe": -2.78,
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"pnl_pips": -506.0,
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"max_dd_pips": -838.9,
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"expectancy": -5.56
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}
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},
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"GBP_AUD": {
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"training": {
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"trades": 240,
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"wr": 49.6,
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"pf": 0.84,
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"sharpe": -1.28,
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"pnl_pips": -528.7,
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"max_dd_pips": -702.0,
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"expectancy": -2.2
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},
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"test_set": {
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"trades": 126,
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"wr": 46.0,
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"pf": 0.74,
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"sharpe": -2.24,
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"pnl_pips": -384.6,
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"max_dd_pips": -410.5,
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"expectancy": -3.05
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},
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"2025": {
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"trades": 84,
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"wr": 48.8,
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"pf": 0.92,
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"sharpe": -0.56,
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"pnl_pips": -76.3,
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"max_dd_pips": -216.1,
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"expectancy": -0.91
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}
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}
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} |