Brent Neale a4ec5fb0a5 Add M5 data pipeline and test S12/S15/S16 on 5-minute data ...

Downloaded M5 data via Dukascopy for GBP_JPY, GBP_USD, EUR_USD, USD_JPY
(~200k bars each, 2021-2024). Added M5 to validate_and_split pipeline.
Tested S12 (Asian Range Sweep), S15 (Momentum Continuation), S16 (London
ORB) with M5-scaled parameters. No viable edge found — best result was
S16_GBP_JPY OOS PF=1.03 but IS was negative (PF=0.71).

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>

2026-02-21 11:34:12 +10:00

..

backtest_report.json

Update S8_OB to best sweep params (DISP=2.5, TP1=2.0, Window=40)

2026-02-20 23:12:43 +10:00

correlation_analysis.json

Update correlation analysis for 4-strategy portfolio

2026-02-20 23:28:17 +10:00

kelly_sizing.json

Update Kelly sizing for 4-strategy portfolio

2026-02-20 23:40:11 +10:00

param_sweep.json

Update param sweep results with S8_OB grid (27 combos)

2026-02-20 23:02:12 +10:00

regime_analysis.json

Update regime analysis for 4-strategy portfolio

2026-02-21 00:38:30 +10:00

s8_param_sweep.json

Add S8 Order Block (GBP_USD/M15) to Phase 2 portfolio

2026-02-20 21:00:30 +10:00

test_all_strategies.json

Add S8 Order Block (GBP_USD/M15) to Phase 2 portfolio

2026-02-20 21:00:30 +10:00

test_m5_strategies.json

Add M5 data pipeline and test S12/S15/S16 on 5-minute data

2026-02-21 11:34:12 +10:00

test_new_strategies.json

Add 5 new strategies (S12-S16) — all tested, none show edge on M15

2026-02-21 06:57:29 +10:00

trades_S3_IS.csv

Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

2026-02-20 10:25:09 +10:00

trades_S3_OOS.csv

Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

2026-02-20 10:25:09 +10:00

trades_S4F_IS.csv

Add Phase 2 backtesting pipeline: IS/OOS split, param sweep, generalization scoring

2026-02-20 10:25:08 +10:00

trades_S4F_OOS.csv

Add Phase 2 backtesting pipeline: IS/OOS split, param sweep, generalization scoring

2026-02-20 10:25:08 +10:00

trades_S7_Tight_IS.csv

Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

2026-02-20 10:25:09 +10:00

trades_S7_Tight_OOS.csv

Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

2026-02-20 10:25:09 +10:00

trades_S8_OB_IS.csv

Update S8_OB to best sweep params (DISP=2.5, TP1=2.0, Window=40)

2026-02-20 23:12:43 +10:00

trades_S8_OB_OOS.csv

Update S8_OB to best sweep params (DISP=2.5, TP1=2.0, Window=40)

2026-02-20 23:12:43 +10:00

trades_S9_Filtered_IS.csv

Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

2026-02-20 10:25:09 +10:00

trades_S9_Filtered_OOS.csv

Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

2026-02-20 10:25:09 +10:00

trades_S9_IS.csv

Add Phase 2 backtesting pipeline: IS/OOS split, param sweep, generalization scoring

2026-02-20 10:25:08 +10:00

trades_S9_OOS.csv

Add Phase 2 backtesting pipeline: IS/OOS split, param sweep, generalization scoring

2026-02-20 10:25:08 +10:00