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": 396,
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"wr": 44.4,
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"pf": 0.69,
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"sharpe": -2.62,
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"pnl_pips": -744.0,
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"max_dd_pips": -825.4,
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"expectancy": -1.88
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},
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"test_set": {
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"trades": 148,
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"wr": 38.5,
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"pf": 0.53,
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"sharpe": -4.62,
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"pnl_pips": -394.3,
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"max_dd_pips": -395.7,
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"expectancy": -2.66
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},
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"2025": {
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"trades": 149,
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"wr": 40.9,
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"pf": 0.59,
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"sharpe": -3.75,
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"pnl_pips": -409.8,
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"max_dd_pips": -521.6,
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"expectancy": -2.75
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}
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},
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"GBP_USD": {
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"training": {
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"trades": 460,
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"wr": 45.4,
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"pf": 0.67,
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"sharpe": -2.79,
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"pnl_pips": -1178.9,
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"max_dd_pips": -1220.4,
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"expectancy": -2.56
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},
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"test_set": {
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"trades": 196,
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"wr": 46.9,
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"pf": 0.72,
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"sharpe": -2.4,
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"pnl_pips": -335.5,
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"max_dd_pips": -374.5,
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"expectancy": -1.71
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},
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"2025": {
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"trades": 207,
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"wr": 42.5,
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"pf": 0.63,
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"sharpe": -3.26,
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"pnl_pips": -550.8,
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"max_dd_pips": -601.6,
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"expectancy": -2.66
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}
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},
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"GBP_JPY": {
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"training": {
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"trades": 496,
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"wr": 45.4,
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"pf": 0.68,
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"sharpe": -2.82,
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"pnl_pips": -1820.3,
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"max_dd_pips": -1848.2,
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"expectancy": -3.67
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},
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"test_set": {
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"trades": 256,
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"wr": 44.5,
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"pf": 0.64,
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"sharpe": -3.2,
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"pnl_pips": -1114.9,
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"max_dd_pips": -1210.8,
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"expectancy": -4.36
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},
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"2025": {
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"trades": 198,
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"wr": 49.0,
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"pf": 0.84,
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"sharpe": -1.33,
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"pnl_pips": -381.3,
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"max_dd_pips": -652.7,
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"expectancy": -1.93
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}
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},
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"GBP_AUD": {
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"training": {
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"trades": 636,
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"wr": 46.7,
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"pf": 0.76,
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"sharpe": -2.08,
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"pnl_pips": -1732.2,
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"max_dd_pips": -1728.2,
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"expectancy": -2.72
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},
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"test_set": {
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"trades": 321,
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"wr": 47.0,
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"pf": 0.69,
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"sharpe": -2.75,
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"pnl_pips": -979.7,
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"max_dd_pips": -1008.3,
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"expectancy": -3.05
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},
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"2025": {
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"trades": 193,
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"wr": 44.0,
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"pf": 0.73,
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"sharpe": -2.21,
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"pnl_pips": -563.3,
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"max_dd_pips": -582.1,
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"expectancy": -2.92
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}
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}
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} |