fx-quant/results/phase2/trades_S3_OOS.csv at main

mirror of https://github.com/BrentNeale1/fx-quant.git synced 2026-08-07 07:37:44 +00:00

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T

Brent Neale 9c5d55ec46 Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

S7: add RSI floor (RSI<40 = 0% WR) and ATR percentile cap (high-vol
regime = worse RR). IS flips from PF 0.68 to 1.52, OOS holds at 1.80.

S3: add confluence gate (C>=4) and skip hours 09-10 (0% WR). IS PF
1.06 -> 1.22, OOS PF 1.07 -> 1.23.

S9_Filtered: add skip_monday (unreliable Asian ranges after weekend
gaps). IS PF 1.10 -> 1.31, OOS holds strong at 2.26.

Drop S9/GBP_USD (negative PF across all param combos) and S4F/EUR_AUD
(overfit: IS 1.43 collapses to OOS 0.48). 3-strategy portfolio: all
PASS generalization, IS PF 1.29, OOS PF 1.55, Gen 1.46.

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

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

15 KiB

Raw Permalink Blame History

1	timestamp	strategy_id	pair	signal_direction	entry_price	sl_price	tp1_price	tp2_price	tp3_price	lot_size	confluence_score	session	spread_at_entry	atr_at_entry	adx_at_entry	rsi_at_entry	ema_50_value	ema_200_value	vwap_deviation	news_within_60min	macd_hist_at_entry	stoch_k_at_entry	distance_from_ema50_pips	candle_body_ratio	hour_of_day	day_of_week	entry_pattern	exit_price	exit_reason	exit_time	pnl_pips	pnl_dollars	hold_time_minutes	win
2	2023-01-18 13:00:00+00:00	3	GBP_JPY	SHORT	158.769	159.7924457384362	157.84566278469148	157.21077130781913	156.25843409251058	975.37	5	OVERLAP	2.5	0.6348914768723538	31.028818590136186	48.79583993290895	158.33655899528796	158.4892669333457	-83.41717014276355	False	-0.135721811083088	14.604048175781484	46.1441004712043	0.8890041493775939	13	2	key_level_break	158.769	TP1+SL	2023-01-19 11:00:00+00:00	36.93348861234086	360.238167878189	1320	True
3	2023-01-20 12:00:00+00:00	3	GBP_JPY	LONG	160.756	160.227975049639	161.26057485108294	161.61629141847155	162.14986626955445	1897.33	4	LONDON	2.5	0.35571656738861346	43.704727305466214	73.4312405867372	159.11305665678734	158.69757427547813	63.957882315116876	False	0.11035947786598327	93.36850310655659	161.3943343212668	0.6084905660377494	12	4	key_level_break	160.756	TP1+SL	2023-01-20 15:00:00+00:00	20.182994043317425	382.93800088207445	180	True
4	2023-01-26 14:00:00+00:00	3	GBP_JPY	LONG	161.279	160.75645304535948	161.78230753058816	162.13717921764695	162.6694867482351	1924.55	5	OVERLAP	2.5	0.35487168705877403	39.06878538891501	67.31254903784541	160.58057197409366	159.95146215321753	29.085192896459944	False	0.07338034306497547	54.753125032774335	66.94280259063419	0.545608108108135	14	3	key_level_break	160.75645304535948	SL	2023-01-27 00:00:00+00:00	-52.25469546405179	-1005.6677415534087	600	False
5	2023-02-07 08:00:00+00:00	3	GBP_JPY	SHORT	158.514	158.99395348729553	158.09576453811346	157.79760756352243	157.35037210163588	2074.39	5	LONDON	2.5	0.29815697459102736	33.86494333414314	35.008196213806244	158.9704970298257	159.35304100713813	-8.500000000000796	False	-0.12859831779421368	12.796365888385523	-42.74970298257017	0.5626016260162577	8	1	key_level_break	158.06179219514215	TP1+TP2+SL	2023-02-08 01:00:00+00:00	54.42927203172246	1129.0753760988475	1020	True
6	2023-02-13 14:00:00+00:00	3	GBP_JPY	LONG	160.633	160.32846818979323	161.06609543062032	161.37415905103387	161.83625448165418	3306.4	4	OVERLAP	2.5	0.30806362041354046	67.46101581692983	81.9500163452077	159.09799266559432	159.00855279850487	57.5847527790188	False	0.1706563534143381	89.08812020478241	150.60073344056946	0.5845697329376632	14	0	key_level_break	160.633	TP1+SL	2023-02-13 20:00:00+00:00	17.3238172248125	572.7946927212006	360	True
7	2023-02-14 11:00:00+00:00	3	GBP_JPY	LONG	161.367	161.04480957856993	161.78657126429025	162.0856187738171	162.5341900381073	3142.96	4	LONDON	2.5	0.2990475095268327	36.4633976360608	70.66595053719567	159.99328799046145	159.3241683304111	37.87226397314214	False	0.027902287410751514	91.47825082852263	134.471200953854	0.5161290322580908	11	1	key_level_break	161.04480957856993	SL	2023-02-14 13:00:00+00:00	-32.219042143006504	-1012.6316069378372	120	False
8	2023-03-08 13:00:00+00:00	3	GBP_JPY	SHORT	162.019	162.48950358266836	161.62548925199494	161.34381541999156	160.92130467198646	2130.7	4	OVERLAP	2.5	0.28167383200338253	29.70216485837463	35.02996627331983	162.87293800473702	163.0619289375677	-50.37279029973263	False	-0.008868897318817154	9.838769298933856	-82.4938004737021	0.931313131313091	13	2	key_level_break	162.48950358266836	SL	2023-03-08 19:00:00+00:00	-47.0503582668357	-1002.5019835914682	360	False
9	2023-03-10 15:00:00+00:00	3	GBP_JPY	SHORT	162.441	162.9840509544699	161.73334713659025	161.24224522765041	160.50559236424067	1827.6	5	OVERLAP	2.5	0.4911019089398321	38.353205888410784	42.58194566839862	162.77656439505847	162.87367816325352	-84.7592107635478	False	-0.04749520240996957	26.568477669723894	-30.65643950584729	0.6263736263736274	15	4	key_level_break	162.9840509544699	SL	2023-03-10 16:00:00+00:00	-54.30509544698907	-992.4799243891722	60	False
10	2023-03-13 08:00:00+00:00	3	GBP_JPY	SHORT	161.868	163.006652863007	161.092541410979	160.556235684965	159.75177709594402	862.91	4	LONDON	2.5	0.5363057260139953	28.227643827932535	40.446696035544285	162.60735414576448	162.80145582560525	-33.36666666666872	False	-0.015045453207035486	53.84505738903883	-71.03541457644837	0.7770925110132265	8	0	key_level_break	161.32275025201403	TP1+TP2+SL	2023-03-13 14:00:00+00:00	94.39391112195837	814.5344984624909	360	True
11	2023-03-17 11:00:00+00:00	3	GBP_JPY	SHORT	160.874	161.61937116562103	160.20824364599392	159.7450727433232	159.05031638931712	1329.14	4	LONDON	2.5	0.46317090267072086	25.86121284794328	41.51603471405291	161.4164229833367	162.08256832922902	-58.15027763444789	False	-0.06937417422435388	23.67473618870262	-51.34229833367101	0.62439024390245	11	4	key_level_break	160.874	TP1+SL	2023-03-17 13:00:00+00:00	26.630254160243112	353.95336014545535	120	True
12	2023-03-24 08:00:00+00:00	3	GBP_JPY	SHORT	159.173	159.89493086396422	158.5730645509645	158.1537742516075	157.524838802572	1377.19	4	LONDON	2.5	0.41929029935700335	63.41568606213751	23.063921148684955	160.87546421873836	161.4548882070445	-16.7333333333346	False	-0.08635834635177103	22.70599275080079	-167.346421873836	0.7524038461538577	8	4	key_level_break	159.173	TP1+SL	2023-03-24 13:00:00+00:00	23.997417961420528	330.4900404228874	300	True
13	2023-03-28 12:00:00+00:00	3	GBP_JPY	SHORT	160.847	161.3541895167908	160.31993144962763	159.9492190827127	159.39315053234031	1966.81	4	LONDON	2.5	0.3707123669149235	25.737177737849542	46.55733042963749	160.90574232533038	161.13681226032887	-21.742221616293023	False	-0.05900631513745194	33.94709164093933	-2.9742325330374797	0.5979166666666568	12	1	key_level_break	161.3541895167908	SL	2023-03-28 14:00:00+00:00	-50.71895167907883	-997.5454135192903	120	False
14	2023-03-29 12:00:00+00:00	3	GBP_JPY	LONG	163.442	162.84834130698187	163.9139760790545	164.24796013175748	164.74893621081196	1663.53	4	LONDON	2.5	0.3339840527029853	53.594250904973244	81.20236308504545	161.7098323991905	161.33868546237952	53.33297184854473	False	0.09728105255058772	88.84690428244512	170.31676008095076	0.7647058823529411	12	2	key_level_break	163.442	TP1+SL	2023-03-30 11:00:00+00:00	18.879043162179414	314.05854671580323	1380	True
15	2023-03-30 12:00:00+00:00	3	GBP_JPY	LONG	164.362	163.5168126335763	164.84356209927105	165.1839368321184	165.69449893138946	1172.18	5	LONDON	2.5	0.34037473284736725	28.740690116134274	74.50627702392578	162.7867230774072	161.78265783539686	52.5028686306257	False	0.02515578526714657	69.05567154818752	154.62769225927957	0.993523316062182	12	3	key_level_break	164.79800826932583	TP1+TP2+SL	2023-03-31 02:00:00+00:00	60.860122642095575	713.3901855861159	840	True
16	2023-04-14 14:00:00+00:00	3	GBP_JPY	LONG	166.088	165.74866876184117	166.46424371447657	166.7344061907943	167.13964990527086	2940.62	4	OVERLAP	2.5	0.27016247631771806	34.98379674604257	52.07167482003992	165.98829428407933	165.13395742291686	19.96630949612097	False	0.0160009813708442	86.31626782394414	7.070571592066699	0.6666666666666666	14	4	key_level_break	166.088	TP1+SL	2023-04-17 08:00:00+00:00	15.049748579062909	442.5559166656397	3960	True
17	2023-04-18 12:00:00+00:00	3	GBP_JPY	LONG	166.80599999999998	166.3861111121701	167.14966666348977	167.39811110581627	167.77077776930605	2386.99	4	LONDON	2.5	0.24844444232651708	26.625287735832572	60.14519239235944	166.3588385845923	165.58028041048428	3.363175519939432	False	0.012045038823326568	44.97810618500205	41.816141540769536	0.6969696969696825	12	1	key_level_break	167.77077776930605	TP3	2023-04-19 07:00:00+00:00	56.72666615836421	1354.0598485335377	1140	True
18	2023-04-21 14:00:00+00:00	3	GBP_JPY	LONG	166.653	166.3527652151419	167.0707043545743	167.36850725762386	167.81521161219817	3383.38	5	OVERLAP	2.5	0.29780290304954526	47.390227006858744	53.585415794455486	166.68889311984282	166.27568878950447	56.38638902681237	False	0.03756094584682862	77.14668528928941	-6.489311984282153	0.7669491525423943	14	4	key_level_break	166.653	TP1+SL	2023-04-24 06:00:00+00:00	16.70817418297247	565.3010236718541	3840	True
19	2023-04-26 08:00:00+00:00	3	GBP_JPY	LONG	166.66299999999998	166.3779588284271	167.09912351471866	167.40920585786446	167.87432937258313	3583.56	4	LONDON	2.5	0.3100823431457875	36.8261911088943	58.022413192199615	166.53177688675538	166.51145666659443	16.933333333332712	False	0.12090699519463988	85.56942028174183	10.22231132446052	0.7181467181466895	8	2	key_level_break	166.3779588284271	SL	2023-04-26 09:00:00+00:00	-28.504117157288533	-1021.462140801729	60	False
20	2023-04-27 14:00:00+00:00	3	GBP_JPY	LONG	167.215	166.80085734958308	167.6534279512508	167.965046585418	168.4324745366688	2441.79	5	OVERLAP	2.5	0.31161863416719515	21.184442594419913	62.99428071076772	166.62840759258165	166.54614245403494	41.10574470523147	False	0.03537391401071513	79.65157742508022	55.75924074183547	0.6639676113361345	14	3	key_level_break	166.80085734958308	SL	2023-04-28 03:00:00+00:00	-41.41426504169203	-1011.2493823615318	780	False
21	2023-05-05 12:00:00+00:00	3	GBP_JPY	LONG	169.648	169.28426614389724	170.1102015683083	170.43766928051386	170.92887084882216	2752.38	4	LONDON	2.5	0.3274677122055384	34.6813188838619	62.755859868118186	169.22702082650534	168.98306271466123	33.55477022283537	False	0.09274438240961541	78.97768788068394	39.19791734946614	0.6661562021439341	12	4	key_level_break	170.92887084882216	TP3	2023-05-08 10:00:00+00:00	75.69225092932982	2083.338376128688	4200	True
22	2023-05-17 12:00:00+00:00	3	GBP_JPY	LONG	171.033	170.74704419666017	171.42206741001954	171.70077901669924	172.1188464267188	3573.87	4	LONDON	2.5	0.2787116066796996	24.87154050736727	67.26088300306282	170.22039289704216	169.7705945924169	46.8190588055478	False	0.04712083404452222	85.57620867526748	78.36071029578306	0.6643835616438463	12	2	key_level_break	171.43835494720074	TP1+TP2+SL	2023-05-18 01:00:00+00:00	50.38095601276723	1800.5498726534843	780	True
23	2023-06-07 11:00:00+00:00	3	GBP_JPY	LONG	173.835	173.54046935757302	174.1774490701382	174.42508178356368	174.7965308537019	3530.95	4	LONDON	2.5	0.2476327134254741	36.832661497450694	63.57060864352053	173.4187369756332	173.28071485976514	35.89950334251455	False	0.07641434846964724	96.28172601678273	38.72630243668027	0.6556886227545522	11	2	key_level_break	173.93280889873208	TP1+TP2+SL	2023-06-08 04:00:00+00:00	39.25741212271646	1386.159593347057	1020	True
24	2023-06-30 12:00:00+00:00	3	GBP_JPY	LONG	183.27	182.7925734906472	183.70667952805837	184.01713254676395	184.48281207482228	2207.33	5	LONDON	2.5	0.3104530187055673	25.50362143622696	60.816761801911326	182.69924092621608	181.85632206987782	32.22648645427739	False	0.05504760769302465	84.2698949716356	54.17590737839362	0.6184615384616272	12	4	key_level_break	183.27	TP1+SL	2023-06-30 18:00:00+00:00	17.467181122334523	385.55832906762663	360	True
25	2023-07-06 12:00:00+00:00	3	GBP_JPY	LONG	183.81799999999998	183.3820715159867	184.29278545204	184.62864242006668	185.13242787210672	2426.3	4	LONDON	2.5	0.3358569680266796	37.81804892031097	58.01673834658227	183.44202027219117	182.8689192295088	30.641766417383565	False	0.07035538048503805	86.74581758036798	34.697972780881514	0.6045977011493688	12	3	key_level_break	183.3820715159867	SL	2023-07-06 14:00:00+00:00	-43.592848401328865	-1057.6932807614423	120	False
26	2023-07-10 13:00:00+00:00	3	GBP_JPY	SHORT	181.211	181.7839739354951	180.65582819351465	180.2663803225244	179.68220851603905	1827.51	4	OVERLAP	2.5	0.38944787099024153	44.52741716423956	28.02556419937602	182.68085683934893	182.81450953629954	-63.86905071050819	False	-0.12843753607757502	7.111483322812018	-144.08568393489247	0.6262135922330155	13	0	key_level_break	181.7839739354951	SL	2023-07-10 16:00:00+00:00	-57.297393549509934	-1047.115596856649	180	False
27	2023-07-18 11:00:00+00:00	3	GBP_JPY	SHORT	181.193	181.60451636798265	180.75305089605206	180.44041816008678	179.97146905613883	2519.08	4	LONDON	2.5	0.31263273596529617	20.073578439969477	48.57990728269839	181.2926650302441	181.5538387925153	16.260113514286445	False	-0.009252063808844128	73.07481682258724	-7.0665030244100535	0.6907514450867104	11	1	key_level_break	181.193	TP1+SL	2023-07-18 13:00:00+00:00	17.597964157918113	443.30679550928363	120	True
28	2023-07-19 14:00:00+00:00	3	GBP_JPY	SHORT	179.881	180.47515608752894	179.31053173741319	178.910886229022	178.3114179664352	1752.19	4	OVERLAP	2.5	0.399645508391205	28.95785682974849	31.287696850038827	181.02106978967802	181.41074837909864	-49.125052249399914	False	-0.11133341658739315	19.306523800969398	-111.10697896780266	0.7196652719665019	14	2	key_level_break	180.47515608752894	SL	2023-07-19 18:00:00+00:00	-59.4156087528944	-1041.0743550073405	240	False
29	2023-08-10 12:00:00+00:00	3	GBP_JPY	LONG	183.843	183.4180447525508	184.2098657423477	184.47377623724614	184.86964197959384	2425.35	4	LONDON	2.5	0.26391049489845814	49.29358636909725	73.66709966724376	182.80880544245574	182.1077440863871	23.753167229986616	False	0.06901933282938255	83.83158275601339	100.51945575442573	0.5	12	3	key_level_break	183.843	TP1+SL	2023-08-10 15:00:00+00:00	14.674629693907946	355.91113128119633	180	True
30	2023-08-11 13:00:00+00:00	3	GBP_JPY	LONG	183.97299999999998	183.69982968488415	184.32936808820475	184.58628014700793	184.9716482352127	3786.01	5	OVERLAP	2.5	0.2569120588031789	28.734339464521348	59.15162733866945	183.35579123878236	182.45167945695812	15.045908123477147	False	0.0058784416912326665	65.42185338865637	58.82087612176292	0.716621253405895	13	4	key_level_break	183.69982968488415	SL	2023-08-11 14:00:00+00:00	-27.31703151158342	-1034.2255447316995	60	False
31	2023-08-14 14:00:00+00:00	3	GBP_JPY	LONG	184.168	183.79363821287615	184.53958536137168	184.8066422689528	185.20722763032447	2735.01	5	OVERLAP	2.5	0.2670569075811147	20.995620299271497	58.68058529115182	183.70319739459165	182.7727932740091	15.002489827512022	False	0.013238039429878765	44.06528043559823	43.580260540835525	0.9652406417112182	14	0	key_level_break	185.20722763032447	TP3	2023-08-15 06:00:00+00:00	61.19365781946783	1673.6526607282271	960	True
32	2023-08-29 14:00:00+00:00	3	GBP_JPY	SHORT	184.166	184.75950930895252	183.77572207314245	183.49620345523743	183.07692552837992	1753.33	4	OVERLAP	2.5	0.27951861790502236	29.031099470379957	36.79736771262289	184.57742866966987	184.60659996384464	-60.67680398131472	False	-0.03710285408760387	48.51370340232472	-38.242866966987776	0.8011695906432915	14	1	key_level_break	184.75950930895252	SL	2023-08-30 06:00:00+00:00	-59.35093089525195	-1040.617676665721	960	False
33	2023-08-30 12:00:00+00:00	3	GBP_JPY	LONG	185.477	185.18291624684088	185.83175125947741	186.08758543246236	186.47133669193977	3503.13	5	LONDON	2.5	0.25583417298494066	47.40563414508409	71.52420325850616	184.68108618817274	184.62173197569112	19.210514467434336	False	0.09211646083610145	83.64638674233258	76.69138118272656	0.5582524271845019	12	2	key_level_break	185.18291624684088	SL	2023-08-30 13:00:00+00:00	-29.408375315912846	-1030.2136182043378	60	False

15 KiB Raw Permalink Blame History

15 KiB

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