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https://github.com/BrentNeale1/fx-quant.git
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Brent Neale
4f911b2072
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>
15 KiB
15 KiB
| 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 07:00:00+00:00 | 9 | GBP_USD | SHORT | 1.20583 | 1.21004 | 1.2021300000000001 | 1.1981800000000002 | 1.1981800000000002 | 245894.71 | 4 | ASIAN | 1.5 | 0.0022516956789624 | 17.30012940083251 | 48.035270766389885 | 1.2060250968929525 | 1.2078220651009952 | -4.595646444374157 | False | -0.00021624331742888534 | 23.738768887535382 | 0.5490310704758805 | 0.5359477124183177 | 7 | 0 | london_breakout_short | 1.1981800000000002 | TP3 | 2023-01-03 08:00:00+00:00 | 56.750003111085306 | 1395.452555749942 | 1500 | True |
| 3 | 2023-01-03 09:00:00+00:00 | 9 | GBP_USD | SHORT | 1.1921199999999998 | 1.1987216715579256 | 1.1872800000000001 | 1.1822500000000002 | 1.1822500000000002 | 158925.09 | 5 | LONDON | 1.5 | 0.0026993351500866204 | 46.79512132057151 | 22.317276497929413 | 1.2045432777692575 | 1.2069657969752963 | -15.5293966688963 | False | -0.0013971843116156945 | 7.972714686368043 | -122.33277769257533 | 0.25393258426968884 | 9 | 1 | london_breakout_short | 1.1987216715579256 | SL | 2023-01-03 13:00:00+00:00 | -66.01671557925793 | -1049.1712464937968 | 240 | False |
| 4 | 2023-01-04 07:00:00+00:00 | 9 | GBP_USD | LONG | 1.20286 | 1.1966407515170976 | 1.20616 | 1.2097099999999998 | 1.2097099999999998 | 167010.46 | 4 | ASIAN | 1.5 | 0.0026207208650780526 | 23.545048144704204 | 58.70591432577793 | 1.200822057029971 | 1.2051869501548287 | 54.033747090536096 | False | 0.0006409198502410833 | 51.6924485991051 | 17.87942970028933 | 0.7150442477876269 | 7 | 2 | london_breakout_long | 1.20286 | TP1+SL | 2023-01-04 15:00:00+00:00 | 16.49999999999929 | 275.56725899998816 | 480 | True |
| 5 | 2023-01-05 08:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2018199999999999 | 1.2077000766019939 | 1.1965100000000002 | 1.1910100000000003 | 1.1910100000000003 | 177112.52 | 5 | LONDON | 1.5 | 0.0023084570235976927 | 22.862418232930438 | 43.79220503488299 | 1.2032890091460506 | 1.205136423929077 | 4.433333333333511 | False | -0.0006922384390747375 | 18.75816993464041 | -12.790091460506137 | 0.45054945054949075 | 8 | 3 | london_breakout_short | 1.1910100000000003 | TP3 | 2023-01-05 14:00:00+00:00 | 80.60000610346086 | 1427.5270192999333 | 360 | True |
| 6 | 2023-01-10 07:00:00+00:00 | 9 | GBP_USD | SHORT | 1.21467 | 1.21978 | 1.2107999999999999 | 1.2066799999999998 | 1.2066799999999998 | 206596.96 | 4 | ASIAN | 1.5 | 0.0024801776224282557 | 23.574555097259477 | 48.79530707853021 | 1.2116610396070497 | 1.2060411261022443 | -21.10569577292498 | False | -0.000871851159008361 | 44.72187294173879 | 32.58960392950261 | 0.5740740740740915 | 7 | 1 | london_breakout_short | 1.21467 | TP1+SL | 2023-01-11 14:00:00+00:00 | 19.3500000000002 | 399.76511760000415 | 1860 | True |
| 7 | 2023-01-24 09:00:00+00:00 | 9 | GBP_USD | SHORT | 1.23287 | 1.2377230847860827 | 1.2296 | 1.22614 | 1.22614 | 218357.64 | 4 | LONDON | 1.5 | 0.0023827172062592774 | 26.567515734710838 | 32.289341306633276 | 1.2377145493454422 | 1.2299822126858417 | -36.14955917731199 | False | -0.00014395800367428713 | 48.54411637986249 | -46.54549345442182 | 0.6739846322722357 | 9 | 1 | london_breakout_short | 1.23287 | TP1+SL | 2023-01-24 16:00:00+00:00 | 16.349999999999422 | 357.0147413999874 | 420 | True |
| 8 | 2023-01-26 09:00:00+00:00 | 9 | GBP_USD | SHORT | 1.23823 | 1.24168 | 1.23561 | 1.2328000000000001 | 1.2328000000000001 | 308196.6 | 4 | LONDON | 1.5 | 0.002060377286123754 | 21.52073848926391 | 52.16583239010612 | 1.2369047656027774 | 1.2320413751810513 | -11.055544985079102 | False | -0.0002648871905359025 | 42.306659977186065 | 15.152343972226756 | 0.36796536796537005 | 9 | 3 | london_breakout_short | 1.24168 | SL | 2023-01-26 14:00:00+00:00 | -34.49999999999953 | -1063.2782699999855 | 300 | False |
| 9 | 2023-01-31 08:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2307199999999998 | 1.2349420191781226 | 1.22689 | 1.2228700000000001 | 1.2228700000000001 | 249322.76 | 4 | LONDON | 1.5 | 0.0018311785518741637 | 28.674016347417002 | 30.119610751400245 | 1.2366629525442592 | 1.2348398981480648 | -14.63333333333372 | False | -0.00025506673645145177 | 34.14154806298439 | -57.529525442592266 | 0.8501070663811309 | 8 | 1 | london_breakout_short | 1.2349420191781226 | SL | 2023-02-01 19:00:00+00:00 | -42.22019178122815 | -1052.645474262512 | 2100 | False |
| 10 | 2023-02-02 09:00:00+00:00 | 9 | GBP_USD | SHORT | 1.23423 | 1.2395462694338484 | 1.23144 | 1.22846 | 1.22846 | 196024.5 | 4 | LONDON | 1.5 | 0.002214042932572254 | 35.172313347869995 | 44.12953715146384 | 1.2351622055352367 | 1.2344928875937131 | -17.113614020367596 | False | -0.0002993360182412645 | 17.96133810604763 | -7.422055352366286 | 0.6059907834101161 | 9 | 3 | london_breakout_short | 1.23423 | TP1+SL | 2023-02-02 12:00:00+00:00 | 13.94999999999924 | 273.4541774999851 | 180 | True |
| 11 | 2023-02-03 07:00:00+00:00 | 9 | GBP_USD | SHORT | 1.21956 | 1.22234 | 1.21763 | 1.21545 | 1.21545 | 375846.61 | 5 | ASIAN | 1.5 | 0.00228176287263417 | 50.82056603739847 | 30.653248981944316 | 1.2284162901037403 | 1.2324715107992805 | -77.99986872369712 | False | 4.217754937129196e-05 | 62.63082717875358 | -86.06290103740254 | 0.6124661246612321 | 7 | 4 | london_breakout_short | 1.22234 | SL | 2023-02-03 09:00:00+00:00 | -27.800000000000047 | -1044.8535758000016 | 120 | False |
| 12 | 2023-02-07 07:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2019799999999998 | 1.2057 | 1.19892 | 1.19561 | 1.19561 | 278065.87 | 5 | ASIAN | 1.5 | 0.0018628163204582027 | 22.350528338537803 | 40.07500918044257 | 1.2083556696943891 | 1.2224750365588686 | -12.5925655358472 | False | 0.0004539648292422591 | 36.734597578350886 | -61.25669694389213 | 0.7903225806452234 | 7 | 1 | london_breakout_short | 1.2019799999999998 | TP1+SL | 2023-02-07 09:00:00+00:00 | 15.299999999999201 | 425.4407810999778 | 120 | True |
| 13 | 2023-02-07 09:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2003199999999998 | 1.2055951093153494 | 1.1972 | 1.1938900000000001 | 1.1938900000000001 | 196898.19 | 5 | LONDON | 1.5 | 0.002139469174272638 | 26.179685966209334 | 34.911601986922236 | 1.2078141802907454 | 1.222056252141476 | -8.86093294650614 | False | 0.00012727001955980199 | 28.729696327683314 | -73.04180290745421 | 0.46723646723647516 | 9 | 1 | london_breakout_short | 1.2003199999999998 | TP1+SL | 2023-02-07 15:00:00+00:00 | 15.599999999998948 | 307.1611763999793 | 360 | True |
| 14 | 2023-02-10 07:00:00+00:00 | 9 | GBP_USD | LONG | 1.21224 | 1.20891 | 1.2147299999999999 | 1.2174699999999998 | 1.2174699999999998 | 312832.15 | 4 | ASIAN | 1.5 | 0.0017235930726268965 | 30.982451261999742 | 53.745829115057575 | 1.2103741470144804 | 1.2154724064103541 | -9.239046318605393 | False | -0.00036337421449205527 | 69.63165121031379 | 16.158529855194725 | 0.46407185628742137 | 7 | 4 | london_breakout_long | 1.20891 | SL | 2023-02-10 10:00:00+00:00 | -33.30000000000055 | -1041.7310595000174 | 180 | False |
| 15 | 2023-02-15 07:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2080099999999998 | 1.213776173537248 | 1.2035399999999998 | 1.1988199999999998 | 1.1988199999999998 | 178855.83 | 5 | ASIAN | 1.5 | 0.002456007313835084 | 32.43164731719447 | 27.105601006295586 | 1.2142259944139064 | 1.2140340496558895 | -89.21795632804485 | False | -0.0009712674879884347 | 9.321420548805639 | -59.6599441390655 | 0.9807017543859944 | 7 | 2 | london_breakout_short | 1.1988199999999998 | TP3 | 2023-02-16 13:00:00+00:00 | 68.30000513821665 | 1221.5854108000003 | 1800 | True |
| 16 | 2023-02-17 08:00:00+00:00 | 9 | GBP_USD | SHORT | 1.19291 | 1.19765 | 1.18868 | 1.1842599999999999 | 1.1842599999999999 | 220153.93 | 5 | LONDON | 1.5 | 0.002021947065289124 | 51.149202130574466 | 24.714334614302217 | 1.2015914601280178 | 1.2089505674283823 | 3.233333333332311 | False | -0.00027428448492229944 | 30.910202660692857 | -84.91460128017714 | 0.28326180257503697 | 8 | 4 | london_breakout_short | 1.19765 | SL | 2023-02-17 14:00:00+00:00 | -47.40000000000189 | -1043.5296282000415 | 360 | False |
| 17 | 2023-02-21 09:00:00+00:00 | 9 | GBP_USD | LONG | 1.2092800000000001 | 1.2052286371383196 | 1.2116799999999999 | 1.2142699999999997 | 1.2142699999999997 | 254999.21 | 4 | LONDON | 1.5 | 0.002347791920052745 | 29.806266987367003 | 70.10164412745638 | 1.2026447878246336 | 1.2063766776633478 | 44.99901252152494 | False | 0.0001548198738852716 | 53.30119363693666 | 64.45212175366422 | 0.6692728694292297 | 9 | 1 | london_breakout_long | 1.2092800000000001 | TP1+SL | 2023-02-21 14:00:00+00:00 | 11.999999999998678 | 305.9990519999663 | 300 | True |
| 18 | 2023-02-23 08:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2033999999999998 | 1.20744 | 1.2006899999999998 | 1.1977899999999997 | 1.1977899999999997 | 256473.84 | 4 | LONDON | 1.5 | 0.0017560572901764784 | 18.10200272695338 | 36.544136839673094 | 1.2067256377173627 | 1.207111144392567 | -8.566666666667277 | False | 1.1935572440487834e-06 | 34.413555671829286 | -31.356377173628047 | 0.9207547169811169 | 8 | 3 | london_breakout_short | 1.2033999999999998 | TP1+SL | 2023-02-24 08:00:00+00:00 | 13.549999999999951 | 347.52205319999877 | 1440 | True |
| 19 | 2023-03-01 07:00:00+00:00 | 9 | GBP_USD | LONG | 1.2080300000000002 | 1.2026686958519672 | 1.2125000000000001 | 1.2172200000000002 | 1.2172200000000002 | 193913.55 | 5 | ASIAN | 1.5 | 0.0021813415406979004 | 29.01945952241298 | 58.28556659787511 | 1.2043422390101968 | 1.2043329649044319 | 15.065453348168667 | False | 4.761469936465001e-05 | 82.52843011739058 | 34.377609898033064 | 0.6540404040404334 | 7 | 2 | london_breakout_long | 1.2026686958519672 | SL | 2023-03-01 10:00:00+00:00 | -53.6130414803293 | -1039.629519974791 | 180 | False |
| 20 | 2023-03-15 09:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2112299999999998 | 1.2162376293673336 | 1.20786 | 1.2043 | 1.2043 | 205533.03 | 4 | LONDON | 1.5 | 0.0021558337650096344 | 23.531044908300004 | 35.07140561479845 | 1.2136135322061594 | 1.2044593719819887 | -24.54998439780809 | False | -0.000461902297069673 | 36.32926137257282 | -21.935322061594764 | 0.879142300194959 | 9 | 2 | london_breakout_short | 1.2112299999999998 | TP1+SL | 2023-03-15 12:00:00+00:00 | 16.849999999999365 | 346.32315554998695 | 180 | True |
| 21 | 2023-03-22 07:00:00+00:00 | 9 | GBP_USD | LONG | 1.22615 | 1.2222441350146869 | 1.22905 | 1.2322 | 1.2322 | 264396.35 | 5 | ASIAN | 1.5 | 0.001674321280259187 | 26.9272252566529 | 65.06901292097024 | 1.2222148835931514 | 1.2143664490852961 | 32.25033709433944 | False | 0.00036350683248178683 | 64.0076059703485 | 36.85116406848543 | 0.6907449209932525 | 7 | 2 | london_breakout_long | 1.22615 | TP1+SL | 2023-03-22 12:00:00+00:00 | 14.499999999999513 | 383.3747074999871 | 300 | True |
| 22 | 2023-04-06 07:00:00+00:00 | 9 | GBP_USD | LONG | 1.24709 | 1.24369 | 1.24982 | 1.2528 | 1.2528 | 304861.82 | 5 | ASIAN | 1.5 | 0.0016018912809335406 | 35.21245118925729 | 54.06836056190938 | 1.2455288341315063 | 1.2377730802888394 | 3.664286041404896 | False | 9.517627260932702e-05 | 82.13954345711021 | 13.111658684936689 | 0.21590909090907753 | 7 | 3 | london_breakout_long | 1.24369 | SL | 2023-04-06 12:00:00+00:00 | -34.000000000000696 | -1036.5301880000213 | 300 | False |
| 23 | 2023-04-12 08:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2415999999999998 | 1.24459 | 1.2392999999999998 | 1.2368099999999997 | 1.2368099999999997 | 343198.96 | 4 | LONDON | 1.5 | 0.001394732797481598 | 22.185072235308066 | 45.82388948532094 | 1.2421213418264376 | 1.2404194198132246 | 0.09999999999843467 | False | -0.00016168370054059822 | 30.38940689905175 | -3.3134182643768106 | 0.2713567839195991 | 8 | 2 | london_breakout_short | 1.24459 | SL | 2023-04-12 12:00:00+00:00 | -29.9000000000027 | -1026.1648904000929 | 240 | False |
| 24 | 2023-05-01 07:00:00+00:00 | 9 | GBP_USD | SHORT | 1.25325 | 1.25689 | 1.25067 | 1.2478399999999998 | 1.2478399999999998 | 279094.3 | 4 | ASIAN | 1.5 | 0.0016095036610078634 | 28.14598650734301 | 49.028140572130795 | 1.251732088366665 | 1.2469819216528117 | 1.7906237503884093 | False | -0.00048496700423767986 | 21.96901227999477 | 17.679116333351175 | 0.5695067264573013 | 7 | 0 | london_breakout_short | 1.2478399999999998 | TP3 | 2023-05-02 08:00:00+00:00 | 39.95000193841375 | 1114.9817826000228 | 1500 | True |
| 25 | 2023-05-02 08:00:00+00:00 | 9 | GBP_USD | SHORT | 1.24684 | 1.2506515521577737 | 1.24423 | 1.2414299999999998 | 1.2414299999999998 | 269457.96 | 4 | LONDON | 1.5 | 0.0015408622300302323 | 23.8937285244069 | 33.950383099042725 | 1.2506235636976628 | 1.2477037393712802 | -4.133333333333766 | False | -7.347598144957247e-05 | 35.5862260381387 | -35.93563697662727 | 0.7226277372262395 | 8 | 1 | london_breakout_short | 1.24684 | TP1+SL | 2023-05-02 14:00:00+00:00 | 13.050000000000006 | 351.6426378000002 | 360 | True |
| 26 | 2023-05-23 07:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2406199999999998 | 1.2440862973136733 | 1.23829 | 1.2357099999999999 | 1.2357099999999999 | 297311.34 | 5 | ASIAN | 1.5 | 0.0014331961450786235 | 27.28823300968162 | 36.296330662357725 | 1.2437901798896223 | 1.2474599007965974 | -26.308130134888863 | False | -0.00015323438855791163 | 50.98226029598451 | -29.20179889622343 | 0.750750750750789 | 7 | 1 | london_breakout_short | 1.2406199999999998 | TP1+SL | 2023-05-23 13:00:00+00:00 | 11.649999999999716 | 346.3677110999916 | 360 | True |
| 27 | 2023-06-05 07:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2395699999999998 | 1.2435246204780708 | 1.2363799999999998 | 1.2329399999999997 | 1.2329399999999997 | 261474.69 | 5 | ASIAN | 1.5 | 0.001560287606140605 | 67.71771050638543 | 23.39900090224316 | 1.2460396669378 | 1.2431226116877534 | -73.0129996890061 | False | -0.0003569614399576782 | 20.985351631173675 | -62.19666937800072 | 0.372093023255838 | 7 | 0 | london_breakout_short | 1.2435246204780708 | SL | 2023-06-05 15:00:00+00:00 | -39.54620478070936 | -1034.0331635712498 | 480 | False |
| 28 | 2023-07-21 08:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2855999999999999 | 1.2897913558397587 | 1.28203 | 1.27827 | 1.27827 | 244239.07 | 5 | LONDON | 1.5 | 0.0017326464547674724 | 28.056819901180887 | 37.09452662814107 | 1.291169858811311 | 1.2949791503696597 | 0.43333333333395174 | False | 0.0002827559650740853 | 35.614894654758395 | -53.79858811310978 | 0.32753623188408426 | 8 | 4 | london_breakout_short | 1.2855999999999999 | TP1+SL | 2023-07-21 13:00:00+00:00 | 17.849999999999255 | 435.96673994998184 | 300 | True |
| 29 | 2023-07-24 07:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2846199999999999 | 1.28768 | 1.28211 | 1.2793500000000002 | 1.2793500000000002 | 335964.87 | 5 | ASIAN | 1.5 | 0.0015670087422769432 | 20.866442041793498 | 43.01025239844903 | 1.2878102574311745 | 1.293021976549047 | -4.159757289443622 | False | 0.00021256279194816445 | 60.091061667915106 | -29.402574311745422 | 0.5096618357488019 | 7 | 0 | london_breakout_short | 1.2846199999999999 | TP1+SL | 2023-07-24 11:00:00+00:00 | 12.54999999999895 | 421.63591184996477 | 240 | True |
| 30 | 2023-08-10 07:00:00+00:00 | 9 | GBP_USD | LONG | 1.27468 | 1.2713896111335032 | 1.27709 | 1.2797500000000002 | 1.2797500000000002 | 313722.45 | 4 | ASIAN | 1.5 | 0.001332144436127334 | 30.410717189143163 | 60.81493988524677 | 1.2732766967893256 | 1.2762958577778547 | 16.309651709480733 | False | 0.0002951767061432928 | 83.90512513034164 | 11.533032106743057 | 0.4260563380281525 | 7 | 3 | london_breakout_long | 1.2797500000000002 | TP3 | 2023-08-10 12:00:00+00:00 | 37.40000161607892 | 1173.322013700024 | 300 | True |
| 31 | 2023-08-23 07:00:00+00:00 | 9 | GBP_USD | SHORT | 1.27172 | 1.2748836148119613 | 1.26935 | 1.26673 | 1.26673 | 330002.91 | 4 | ASIAN | 1.5 | 0.001499342644442791 | 30.766548721143213 | 37.20261150793753 | 1.2744753283471275 | 1.2737396100951996 | -24.27226446471531 | False | 4.88802178820677e-05 | 63.49884332358271 | -25.053283471274668 | 0.5530821917807889 | 7 | 2 | london_breakout_short | 1.26673 | TP3 | 2023-08-23 09:00:00+00:00 | 36.80000151210805 | 1214.4107587000055 | 120 | True |
| 32 | 2023-08-23 09:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2641399999999998 | 1.2689677597103135 | 1.2617099999999999 | 1.2590899999999998 | 1.2590899999999998 | 218765.28 | 5 | LONDON | 1.5 | 0.0020168821781164693 | 42.186579779794904 | 20.125385411340787 | 1.2738274676514623 | 1.2735878636513949 | -32.662350742391766 | False | -0.000783655790168436 | 11.68340651518941 | -94.9746765146231 | 0.8543689320388476 | 9 | 2 | london_breakout_short | 1.2641399999999998 | TP1+SL | 2023-08-23 13:00:00+00:00 | 12.14999999999966 | 265.79981519999257 | 240 | True |
| 33 | 2023-08-31 09:00:00+00:00 | 9 | GBP_USD | SHORT | 1.2684099999999998 | 1.2722723433905554 | 1.2653499999999998 | 1.2620999999999996 | 1.2620999999999996 | 274135.18 | 4 | LONDON | 1.5 | 0.0015232989736348786 | 36.99517781687099 | 44.7476814301016 | 1.2676696712015272 | 1.2666557925776516 | -7.270478393759383 | False | -0.0006850485229470691 | 19.79660441577761 | 9.303287984727682 | 0.39910313901344713 | 9 | 3 | london_breakout_short | 1.26706 | TP1+END | 2023-08-31 23:00:00+00:00 | 22.049999999999013 | 604.468071899973 | 840 | True |