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fx-quant/results/phase2/trades_S3_OOS.csv
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Brent NealeandClaude Opus 4.6 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

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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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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