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": 11,
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"wr": 27.3,
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"pf": 0.62,
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"sharpe": -3.12,
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"pnl_pips": -13.9,
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"max_dd_pips": -25.3,
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"expectancy": -1.26
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},
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"test_set": {
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"trades": 15,
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"wr": 20.0,
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"pf": 0.19,
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"sharpe": -13.16,
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"pnl_pips": -38.9,
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"max_dd_pips": -43.5,
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"expectancy": -2.59
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},
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"2025": {
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"trades": 7,
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"wr": 14.3,
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"pf": 0.23,
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"sharpe": -11.25,
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"pnl_pips": -26.1,
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"max_dd_pips": -28.8,
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"expectancy": -3.73
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}
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},
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"GBP_USD": {
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"training": {
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"trades": 30,
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"wr": 26.7,
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"pf": 1.37,
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"sharpe": 1.56,
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"pnl_pips": 43.2,
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"max_dd_pips": -50.8,
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"expectancy": 1.44
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},
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"test_set": {
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"trades": 12,
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"wr": 33.3,
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"pf": 0.96,
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"sharpe": -0.3,
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"pnl_pips": -1.9,
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"max_dd_pips": -27.3,
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"expectancy": -0.16
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},
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"2025": {
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"trades": 9,
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"wr": 44.4,
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"pf": 1.65,
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"sharpe": 2.74,
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"pnl_pips": 15.7,
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"max_dd_pips": -17.9,
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"expectancy": 1.74
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}
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},
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"GBP_JPY": {
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"training": {
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"trades": 13,
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"wr": 15.4,
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"pf": 0.23,
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"sharpe": -10.81,
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"pnl_pips": -75.4,
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"max_dd_pips": -84.3,
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"expectancy": -5.8
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},
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"test_set": {
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"trades": 22,
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"wr": 45.5,
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"pf": 1.43,
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"sharpe": 1.82,
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"pnl_pips": 43.4,
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"max_dd_pips": -32.9,
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"expectancy": 1.97
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},
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"2025": {
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"trades": 6,
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"wr": 33.3,
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"pf": 0.4,
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"sharpe": -6.39,
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"pnl_pips": -34.6,
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"max_dd_pips": -25.5,
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"expectancy": -5.76
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}
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},
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"GBP_AUD": {
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"training": {
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"trades": 23,
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"wr": 30.4,
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"pf": 1.34,
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"sharpe": 1.57,
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"pnl_pips": 47.6,
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"max_dd_pips": -46.2,
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"expectancy": 2.07
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},
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"test_set": {
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"trades": 5,
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"wr": 40.0,
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"pf": 0.3,
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"sharpe": -7.8,
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"pnl_pips": -19.9,
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"max_dd_pips": -12.3,
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"expectancy": -3.98
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},
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"2025": {
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"trades": 15,
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"wr": 20.0,
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"pf": 0.6,
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"sharpe": -3.15,
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"pnl_pips": -42.3,
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"max_dd_pips": -81.3,
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"expectancy": -2.82
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}
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}
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} |