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fx-quant/results/phase2/trades_S9_OOS.csv
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Brent NealeandClaude Opus 4.6 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

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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
2023-01-02 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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