mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-05 22:57:45 +00:00
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
2.1 KiB
JSON
118 lines
2.1 KiB
JSON
{
|
|
"EUR_USD": {
|
|
"training": {
|
|
"trades": 10,
|
|
"wr": 50.0,
|
|
"pf": 0.48,
|
|
"sharpe": -4.88,
|
|
"pnl_pips": -55.4,
|
|
"max_dd_pips": -83.8,
|
|
"expectancy": -5.54
|
|
},
|
|
"test_set": {
|
|
"trades": 7,
|
|
"wr": 57.1,
|
|
"pf": 0.65,
|
|
"sharpe": -2.97,
|
|
"pnl_pips": -14.6,
|
|
"max_dd_pips": -29.4,
|
|
"expectancy": -2.08
|
|
},
|
|
"2025": {
|
|
"trades": 3,
|
|
"wr": 66.7,
|
|
"pf": 5.26,
|
|
"sharpe": 9.57,
|
|
"pnl_pips": 51.9,
|
|
"max_dd_pips": 0.0,
|
|
"expectancy": 17.31
|
|
}
|
|
},
|
|
"GBP_USD": {
|
|
"training": {
|
|
"trades": 5,
|
|
"wr": 40.0,
|
|
"pf": 1.73,
|
|
"sharpe": 3.24,
|
|
"pnl_pips": 31.7,
|
|
"max_dd_pips": -19.3,
|
|
"expectancy": 6.34
|
|
},
|
|
"test_set": {
|
|
"trades": 6,
|
|
"wr": 50.0,
|
|
"pf": 1.2,
|
|
"sharpe": 1.28,
|
|
"pnl_pips": 8.4,
|
|
"max_dd_pips": -24.3,
|
|
"expectancy": 1.41
|
|
},
|
|
"2025": {
|
|
"trades": 2,
|
|
"wr": 50.0,
|
|
"pf": 0.91,
|
|
"sharpe": -0.55,
|
|
"pnl_pips": -2.1,
|
|
"max_dd_pips": 0.0,
|
|
"expectancy": -1.06
|
|
}
|
|
},
|
|
"GBP_JPY": {
|
|
"training": {
|
|
"trades": 3,
|
|
"wr": 33.3,
|
|
"pf": 0.4,
|
|
"sharpe": -5.03,
|
|
"pnl_pips": -107.6,
|
|
"max_dd_pips": -154.7,
|
|
"expectancy": -35.87
|
|
},
|
|
"test_set": {
|
|
"trades": 0,
|
|
"wr": 0,
|
|
"pf": 0,
|
|
"sharpe": 0,
|
|
"pnl_pips": 0,
|
|
"max_dd_pips": 0,
|
|
"expectancy": 0
|
|
},
|
|
"2025": {
|
|
"trades": 0,
|
|
"wr": 0,
|
|
"pf": 0,
|
|
"sharpe": 0,
|
|
"pnl_pips": 0,
|
|
"max_dd_pips": 0,
|
|
"expectancy": 0
|
|
}
|
|
},
|
|
"GBP_AUD": {
|
|
"training": {
|
|
"trades": 0,
|
|
"wr": 0,
|
|
"pf": 0,
|
|
"sharpe": 0,
|
|
"pnl_pips": 0,
|
|
"max_dd_pips": 0,
|
|
"expectancy": 0
|
|
},
|
|
"test_set": {
|
|
"trades": 0,
|
|
"wr": 0,
|
|
"pf": 0,
|
|
"sharpe": 0,
|
|
"pnl_pips": 0,
|
|
"max_dd_pips": 0,
|
|
"expectancy": 0
|
|
},
|
|
"2025": {
|
|
"trades": 0,
|
|
"wr": 0,
|
|
"pf": 0,
|
|
"sharpe": 0,
|
|
"pnl_pips": 0,
|
|
"max_dd_pips": 0,
|
|
"expectancy": 0
|
|
}
|
|
}
|
|
} |