mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-05 14:47:44 +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
2.3 KiB
JSON
118 lines
2.3 KiB
JSON
{
|
|
"EUR_USD": {
|
|
"training": {
|
|
"trades": 551,
|
|
"wr": 44.6,
|
|
"pf": 0.69,
|
|
"sharpe": -2.42,
|
|
"pnl_pips": -1338.7,
|
|
"max_dd_pips": -1454.8,
|
|
"expectancy": -2.43
|
|
},
|
|
"test_set": {
|
|
"trades": 233,
|
|
"wr": 42.5,
|
|
"pf": 0.65,
|
|
"sharpe": -2.85,
|
|
"pnl_pips": -486.9,
|
|
"max_dd_pips": -598.2,
|
|
"expectancy": -2.09
|
|
},
|
|
"2025": {
|
|
"trades": 252,
|
|
"wr": 43.7,
|
|
"pf": 0.64,
|
|
"sharpe": -2.89,
|
|
"pnl_pips": -726.5,
|
|
"max_dd_pips": -757.2,
|
|
"expectancy": -2.88
|
|
}
|
|
},
|
|
"GBP_USD": {
|
|
"training": {
|
|
"trades": 667,
|
|
"wr": 45.7,
|
|
"pf": 0.75,
|
|
"sharpe": -1.89,
|
|
"pnl_pips": -1635.0,
|
|
"max_dd_pips": -1778.5,
|
|
"expectancy": -2.45
|
|
},
|
|
"test_set": {
|
|
"trades": 281,
|
|
"wr": 38.8,
|
|
"pf": 0.62,
|
|
"sharpe": -3.24,
|
|
"pnl_pips": -804.6,
|
|
"max_dd_pips": -891.7,
|
|
"expectancy": -2.86
|
|
},
|
|
"2025": {
|
|
"trades": 249,
|
|
"wr": 50.2,
|
|
"pf": 0.89,
|
|
"sharpe": -0.81,
|
|
"pnl_pips": -213.7,
|
|
"max_dd_pips": -303.6,
|
|
"expectancy": -0.86
|
|
}
|
|
},
|
|
"GBP_JPY": {
|
|
"training": {
|
|
"trades": 693,
|
|
"wr": 42.4,
|
|
"pf": 0.66,
|
|
"sharpe": -2.76,
|
|
"pnl_pips": -3316.1,
|
|
"max_dd_pips": -3372.9,
|
|
"expectancy": -4.79
|
|
},
|
|
"test_set": {
|
|
"trades": 343,
|
|
"wr": 45.8,
|
|
"pf": 0.72,
|
|
"sharpe": -2.16,
|
|
"pnl_pips": -1522.5,
|
|
"max_dd_pips": -1760.6,
|
|
"expectancy": -4.44
|
|
},
|
|
"2025": {
|
|
"trades": 292,
|
|
"wr": 41.8,
|
|
"pf": 0.65,
|
|
"sharpe": -2.91,
|
|
"pnl_pips": -1851.5,
|
|
"max_dd_pips": -1857.7,
|
|
"expectancy": -6.34
|
|
}
|
|
},
|
|
"GBP_AUD": {
|
|
"training": {
|
|
"trades": 764,
|
|
"wr": 48.2,
|
|
"pf": 0.83,
|
|
"sharpe": -1.29,
|
|
"pnl_pips": -1783.8,
|
|
"max_dd_pips": -1985.8,
|
|
"expectancy": -2.33
|
|
},
|
|
"test_set": {
|
|
"trades": 368,
|
|
"wr": 48.1,
|
|
"pf": 0.79,
|
|
"sharpe": -1.67,
|
|
"pnl_pips": -922.9,
|
|
"max_dd_pips": -1222.2,
|
|
"expectancy": -2.51
|
|
},
|
|
"2025": {
|
|
"trades": 295,
|
|
"wr": 50.8,
|
|
"pf": 0.85,
|
|
"sharpe": -1.05,
|
|
"pnl_pips": -565.9,
|
|
"max_dd_pips": -688.6,
|
|
"expectancy": -1.92
|
|
}
|
|
}
|
|
} |