fx-quant/results/phase2/trades_S4F_OOS.csv at main

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Brent Neale 4f911b2072 Add Phase 2 backtesting pipeline: IS/OOS split, param sweep, generalization scoring

Externalize hardcoded params in S4F (5 params) and S3 (9 params) as class
attributes for sweep compatibility. Add unified backtest runner with IS/OOS
validation and generalization scores, plus parameter grid sweep (90 combos)
with OOS validation. S7/S9/S9_Filtered pass generalization; S4F/S3 confirm
defaults are near-optimal.

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

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

9.6 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	2023-01-02 08:30:00+00:00	4	EUR_AUD	SHORT	1.5697699999999999	1.5736828470881548	1.5645007293677677	1.5645007293677677	1.5645007293677677	263981.36	3	LONDON	2.0	0.001836423544077396	35.781241076904934	54.695139571700246	1.5696264186746782	1.572423193275539	15.114063290690982	False	3.6439637981815686e-06	66.88096362226902	3.835813253216802	0.8338278931750994	8	0	ribbon_trend_context	1.5645007293677677	TP3	2023-01-02 15:45:00+00:00	52.69270831839825	1390.9892803974085	435	True
3	2023-01-03 08:00:00+00:00	4	EUR_AUD	SHORT	1.56707	1.570892155138621	1.5619367672920683	1.5619367672920683	1.5619367672920683	273884.38	3	LONDON	2.0	0.0017910775693105378	20.003856873605592	53.17094703105022	1.566657492393529	1.5690275786667105	6.8333333333314705	False	4.461575988483346e-05	47.28649683321621	6.525076064709534	0.9113924050632721	8	1	ribbon_trend_context	1.570892155138621	SL	2023-01-03 08:15:00+00:00	-38.22155138621053	-1046.828590405041	15	False
4	2023-01-05 13:30:00+00:00	4	EUR_AUD	SHORT	1.55546	1.5594550524401896	1.5500674213397159	1.5500674213397159	1.5500674213397159	259410.94	3	OVERLAP	2.0	0.0018775262200947523	28.893610323356626	55.39182156815032	1.554299833021747	1.5564982799145521	6.605641962451614	False	6.1502697073818e-05	62.697400893585545	14.001669782530701	0.6657458563536056	13	3	ribbon_trend_context	1.5594550524401896	SL	2023-01-05 14:15:00+00:00	-39.950524401894945	-1036.3603088588507	45	False
5	2023-01-06 15:15:00+00:00	4	EUR_AUD	SHORT	1.55424	1.5589315934055061	1.547802609891741	1.547802609891741	1.547802609891741	218688.32	3	OVERLAP	2.0	0.0022257967027530484	31.718154248201472	40.69218749765394	1.5568382516652874	1.5568991034047415	-22.96382790728302	False	-0.00037282154951769184	57.530890084886245	-23.582516652873586	0.08029197080287298	15	4	ribbon_trend_context	1.547802609891741	TP3	2023-01-06 16:30:00+00:00	64.37390402622746	1407.7820923336922	75	True
6	2023-02-13 09:45:00+00:00	4	EUR_AUD	SHORT	1.54258	1.545312688276376	1.5390809675854364	1.5390809675854364	1.5390809675854364	380604.89	3	LONDON	2.0	0.0012463441381879155	38.3275766281744	50.28819332693939	1.5431824485052712	1.544264225824123	10.733430042237924	False	-7.908871387097844e-05	63.84192629226148	-3.6244850527111794	0.48792270531409154	9	0	ribbon_trend_context	1.5390809675854364	TP3	2023-02-13 12:45:00+00:00	34.990325064970776	1331.7488822417447	180	True
7	2023-02-14 13:00:00+00:00	4	EUR_AUD	SHORT	1.54076	1.5433671579693502	1.5374492630459746	1.5374492630459746	1.5374492630459746	404038.43	3	OVERLAP	2.0	0.0011835789846751344	41.15667199778184	42.031942259917486	1.5418929340569167	1.542138670666426	-16.52739820042326	False	-0.0004892965060187746	14.01749367823414	-8.929340569168165	0.7483870967741113	13	1	ribbon_trend_context	1.5433671579693502	SL	2023-02-14 13:30:00+00:00	-26.071579693502933	-1053.3920126982807	30	False
8	2023-02-14 15:15:00+00:00	4	EUR_AUD	SHORT	1.54012	1.5454795423567793	1.532680686464831	1.532680686464831	1.532680686464831	194579.69	3	OVERLAP	2.0	0.0025597711783896474	32.5177194791291	45.005720966173904	1.5418387097934059	1.5420978254757558	-16.623861326243716	False	-6.376968418346247e-05	35.59942829389414	-14.78709793405919	0.08510638297880047	15	1	ribbon_trend_context	1.5454795423567793	SL	2023-02-15 04:15:00+00:00	-53.59542356779378	-1042.8580903240008	780	False
9	2023-03-01 08:15:00+00:00	4	EUR_AUD	LONG	1.57376	1.5704815223752735	1.5780777164370896	1.5780777164370896	1.5780777164370896	314911.25	3	LONDON	2.0	0.001519238812363214	37.96013115861789	62.46869801126962	1.5710319101933785	1.5713582764201306	13.530274386825969	False	0.0006252398516449233	81.27978673111528	24.880898066215185	0.9409448818898137	8	2	ribbon_trend_context	1.5780777164370896	TP3	2023-03-01 13:15:00+00:00	43.177165741985505	1359.6975235265834	300	True
10	2023-03-14 12:00:00+00:00	4	EUR_AUD	LONG	1.60844	1.6049033099501062	1.6131450350748409	1.6131450350748409	1.6131450350748409	295764.25	3	LONDON	2.0	0.0016483450249469506	23.699020258338944	48.73315713509658	1.608622614906031	1.6082391297929308	2.1630808365458165	False	2.0288956657681058e-05	20.40811617135474	-4.226149060309048	0.1714285714284264	12	1	ribbon_trend_context	1.6049033099501062	SL	2023-03-14 12:30:00+00:00	-35.366900498938755	-1046.0264800893247	30	False
11	2023-03-27 13:45:00+00:00	4	EUR_AUD	LONG	1.62133	1.6177565264875535	1.6260902102686696	1.6260902102686696	1.6260902102686696	289792.61	3	OVERLAP	2.0	0.0016667367562232375	45.75346613860482	51.204707377262885	1.6200658737451743	1.6189510789234196	2.5538828703131067	False	0.00013301717256054184	45.91085611504133	10.241262548256191	0.7666666666667448	13	0	ribbon_trend_context	1.6177565264875535	SL	2023-03-28 02:30:00+00:00	-35.734735124464116	-1035.5662159377132	765	False
12	2023-03-28 13:15:00+00:00	4	EUR_AUD	LONG	1.62142	1.6189647118539197	1.624502932219121	1.624502932219121	1.624502932219121	417552.03	3	OVERLAP	2.0	0.001107644073040246	45.063682828741705	52.77656085684117	1.6204061940003618	1.6200348542976424	-1.8364641917090196	False	-2.0337950989537815e-05	53.74697876228233	7.738059996382773	0.58115183246068	13	1	ribbon_trend_context	1.6189647118539197	SL	2023-03-28 14:15:00+00:00	-24.55288146080425	-1025.2105496308182	60	False
13	2023-04-17 08:45:00+00:00	4	EUR_AUD	LONG	1.63711	1.634556844414887	1.6403397333776697	1.6403397333776697	1.6403397333776697	397530.98	3	LONDON	2.0	0.0011565777925565436	35.10156295904992	45.6234272306319	1.637380617139588	1.6359327063969196	-17.297423309041715	False	0.00010871804595716253	43.666671122360896	-5.106171395878878	0.8472222222221579	8	0	ribbon_trend_context	1.634556844414887	SL	2023-04-17 13:15:00+00:00	-25.531555851130427	-1014.9584418424613	270	False
14	2023-05-10 14:00:00+00:00	4	EUR_AUD	SHORT	1.62075	1.6243579216811006	1.6159381174783491	1.6159381174783491	1.6159381174783491	278500.74	3	OVERLAP	2.0	0.001683960840550293	31.771332311939865	52.77041295728149	1.6207803259118256	1.6236331014154408	14.678864054764595	False	2.917236519656163e-05	84.34360260671876	2.0967408817429423	0.3174603174602727	14	2	ribbon_trend_context	1.6243579216811006	SL	2023-05-10 14:45:00+00:00	-36.0792168110069	-1004.8088580485861	45	False
15	2023-06-08 13:00:00+00:00	4	EUR_AUD	SHORT	1.60509	1.6077683663836513	1.6016724504245228	1.6016724504245228	1.6016724504245228	371405.79	3	OVERLAP	2.0	0.0012191831918257148	25.650641128691916	47.99790474791225	1.6057824074041245	1.6068188048476442	2.4536576548972455	False	1.3650195885799897e-05	51.99323421007665	-4.524074041245552	0.47967479674783536	13	3	ribbon_trend_context	1.6077683663836513	SL	2023-06-09 01:15:00+00:00	-26.783663836513757	-994.7607826294824	735	False
16	2023-06-13 13:45:00+00:00	4	EUR_AUD	SHORT	1.59265	1.5962680228502868	1.5878229657245697	1.5878229657245697	1.5878229657245697	272196.5	3	OVERLAP	2.0	0.001689011425143391	23.494168955476358	50.39491356636164	1.5932827222082657	1.5952614740818203	3.7125139748694913	False	2.041218658729567e-05	64.78486141407399	-3.927222082658055	0.12804878048770663	13	1	ribbon_trend_context	1.59356	TIME	2023-06-14 04:45:00+00:00	-9.100000000001884	-247.6988150000513	900	False
17	2023-06-16 15:00:00+00:00	4	EUR_AUD	SHORT	1.5902	1.593648063467064	1.5856279047994042	1.5856279047994042	1.5856279047994042	284895.04	3	OVERLAP	2.0	0.001604031733531945	30.963906962021834	38.67135438330791	1.592050213413766	1.5917767575739807	-23.44751181402982	False	-0.0004802774209314131	17.44284619782568	-16.10213413765882	0.30555555555557695	15	4	ribbon_trend_context	1.593648063467064	SL	2023-06-19 00:30:00+00:00	-34.48063467063944	-982.3361793717211	3450	False
18	2023-07-12 12:15:00+00:00	4	EUR_AUD	LONG	1.64704	1.6443159743712912	1.6505260384430633	1.6505260384430633	1.6505260384430633	357013.09	3	LONDON	2.0	0.001242012814354433	29.212872908906938	52.30004155672369	1.6458275885271973	1.6455807921842247	-9.068134233549685	False	-0.00025641432355397046	37.18202414752478	9.724114728026922	0.7105263157895044	12	2	ribbon_trend_context	1.6443159743712912	SL	2023-07-12 12:30:00+00:00	-27.240256287088815	-972.5128069445506	15	False
19	2023-07-27 14:00:00+00:00	4	EUR_AUD	SHORT	1.63265	1.6372352578863825	1.6263721131704263	1.6263721131704263	1.6263721131704263	209974.6	3	OVERLAP	2.0	0.0021726289431912072	42.31877729142727	46.35853386831221	1.634490658201653	1.6360712899111252	-4.854571282819631	False	-0.0007482502807438202	47.547704099090275	-16.006582016530047	0.8289473684210238	14	3	ribbon_trend_context	1.6372352578863825	SL	2023-07-27 18:30:00+00:00	-45.85257886382532	-962.7876905900176	270	False
20	2023-08-16 13:30:00+00:00	4	EUR_AUD	LONG	1.69009	1.686754382908228	1.694493425637658	1.694493425637658	1.694493425637658	285752.17	3	OVERLAP	2.0	0.0015478085458859958	31.12707438232183	46.17323827837923	1.6902544958150165	1.687568743765026	-4.5750204700767405	False	0.00015906773057051043	60.10427086029028	-4.044958150164479	0.6056910569105612	13	2	ribbon_trend_context	1.694493425637658	TP3	2023-08-16 23:30:00+00:00	44.034257917574074	1258.2884754286472	600	True
21	2023-08-30 14:00:00+00:00	4	EUR_AUD	SHORT	1.67852	1.68206384190624	1.6738042371406403	1.6738042371406403	1.6738042371406403	272512.92	3	OVERLAP	2.0	0.0016519209531199155	42.40197973826677	42.12602469533324	1.6803942765235456	1.6808206631864726	-16.672692306063386	False	-0.0003504366581886109	67.97097927630999	-16.342765235455303	0.3082191780822772	14	2	ribbon_trend_context	1.68206384190624	SL	2023-08-30 14:15:00+00:00	-35.438419062399085	-965.7427058878036	15	False

9.6 KiB Raw Permalink Blame History

9.6 KiB

Raw Permalink Blame History