fx-quant/results/test_set_validation/trades_S7_Tight_test.csv at main

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Brent Neale 935e02bdc6 Add held-out test set validation and S3 multi-pair expansion

Test set (Sep 2023 - Dec 2024): only S9_Filtered passes (PF=1.13),
portfolio PF=0.91 FAIL. S3 expansion to GBP_USD, EUR_USD, GBP_AUD
shows no generalization — GBP_JPY remains the only viable pair.
No strategy is consistently profitable across all 4 validation periods.

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

2026-02-21 12:41:44 +10:00

8.1 KiB

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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	2023-09-14 08:00:00+00:00	7	GBP_JPY	SHORT	183.881	184.27114199097255	183.6037870135412	183.2975740270824	183.2975740270824	2537.54	3	LONDON	2.5	0.2041419909725317	26.20884903127468	50.46869243677844	183.84393196273547	184.0412930095047	-2.766666666667561	False	-0.026061013947830346	51.6959032202919	6.606803726452881	0.10389610389611029	8	3	liquidity_sweep_bearish	183.881	TP1+SL	2023-09-14 12:00:00+00:00	13.860649322940333	351.7195208293401	240	True
3	2023-09-19 12:00:00+00:00	7	GBP_JPY	SHORT	183.286	183.66990931489948	183.04063602765078	182.76627205530156	182.76627205530156	2587.9	5	LONDON	2.5	0.18290931489948176	23.599703183635604	65.24161659783817	183.03124913740024	183.50963292482783	22.1151253851815	False	0.058461483682155195	86.62534126598877	28.375086259976	0.06796116504859594	12	1	liquidity_sweep_bearish	183.286	TP1+SL	2023-09-19 18:00:00+00:00	12.268198617461223	317.488712021279	360	True
4	2023-10-16 08:00:00+00:00	7	GBP_JPY	SHORT	181.745	182.37043616712455	181.42834574931314	181.0826914986263	181.0826914986263	1593.6	3	LONDON	2.5	0.23043616712456602	34.09046977386149	44.9368820991252	182.17777632318314	182.16603789106424	-8.666666666667311	False	0.07912300143134929	67.01741123833112	-40.37763231831377	0.6864406779661568	8	0	liquidity_sweep_bearish	182.37043616712455	SL	2023-10-16 14:00:00+00:00	-62.543616712454764	-996.6950759296791	360	False
5	2023-11-03 09:00:00+00:00	7	GBP_JPY	LONG	183.613	183.10521927211659	183.87767109182514	184.17134218365024	184.17134218365024	1943.21	3	LONDON	2.5	0.1957807278834151	18.202420758533762	57.70852852323714	183.31506679514288	182.73873631455072	15.38496648754517	False	0.0024699309405176936	62.26795137894215	26.893320485712024	0.6577181208053583	9	4	liquidity_sweep_bullish	184.17134218365024	TP3	2023-11-03 13:00:00+00:00	41.150951103590884	799.6493969400885	240	True
6	2023-11-07 12:00:00+00:00	7	GBP_JPY	LONG	185.133	184.59797316378604	185.41754025432095	185.7310805086419	185.7310805086419	1859.2	4	LONDON	2.5	0.20902683621395934	27.86909335385638	48.66723056543609	184.91970505329547	183.67218575359686	4.894695276027505	False	-0.05677853772070395	30.265346918319903	18.429494670454005	0.8821656050955299	12	1	liquidity_sweep_bullish	184.59797316378604	SL	2023-11-08 09:00:00+00:00	-53.502683621397296	-994.7218938890186	1260	False
7	2023-11-10 10:00:00+00:00	7	GBP_JPY	LONG	185.16899999999998	184.74371646736935	185.40742529894595	185.67485059789195	185.67485059789195	2315.57	3	LONDON	2.5	0.1782835326306506	23.825508179744553	51.804139532819086	185.12891216380854	184.41446418246403	10.482483588322111	False	0.019124581710743993	52.86669851887302	1.108783619145015	0.5570776255707259	10	4	liquidity_sweep_bullish	184.74371646736935	SL	2023-11-10 15:00:00+00:00	-42.52835326306297	-984.7737896535073	300	False
8	2023-11-22 08:00:00+00:00	7	GBP_JPY	LONG	186.869	186.26661396659793	187.24407905010312	187.64815810020625	187.64815810020625	1618.44	4	LONDON	2.5	0.2693860334020854	41.889324060826794	75.92013373819556	185.7961537262761	185.91505338740143	8.733333333333348	False	0.10013143175323916	94.0683853043588	104.38462737239149	0.7167630057803117	8	2	liquidity_sweep_bullish	186.26661396659793	SL	2023-11-22 13:00:00+00:00	-60.238603340206964	-974.9256518992456	300	False
9	2024-01-08 10:00:00+00:00	7	GBP_JPY	LONG	183.49	182.7712897954502	183.91356530682472	184.36613061364946	184.36613061364946	1342.93	3	LONDON	2.5	0.3017102045498133	27.404835310642603	47.23394716967616	183.2810319437179	181.87065313855277	10.720235574009962	False	-0.0849572091570127	40.12388841078771	17.996805628212087	0.7602591792656772	10	0	liquidity_sweep_bullish	183.49	TP1+SL	2024-01-08 13:00:00+00:00	21.178265341235655	284.409278747056	180	True
10	2024-01-26 09:00:00+00:00	7	GBP_JPY	LONG	187.984	187.49928031811547	188.34757952282678	188.74015904565357	188.74015904565357	1997.07	3	LONDON	2.5	0.26171968188451794	19.80050199172515	58.00310417214202	187.73429243839942	187.25572707499302	15.199128488197289	False	0.02889326753456662	60.46636246593334	22.07075616005909	0.4890109890110538	9	4	liquidity_sweep_bullish	187.984	TP1+SL	2024-01-28 22:00:00+00:00	18.17897614133841	363.046878825827	3660	True
11	2024-03-14 14:00:00+00:00	7	GBP_JPY	SHORT	188.876	189.38702160625854	188.5239675906122	188.14293518122437	188.14293518122437	1901.39	4	OVERLAP	2.5	0.25402160625853776	33.470331562940814	42.06923499533005	189.02674296401221	189.27097617985748	-20.073403572018833	False	-0.03473563699810095	43.63915195619779	-12.17429640122134	0.4622950819671737	14	3	liquidity_sweep_bearish	189.38702160625854	SL	2024-03-15 08:00:00+00:00	-51.10216062585379	-971.6513719239216	1080	False
12	2024-05-01 14:00:00+00:00	7	GBP_JPY	LONG	196.982	196.27928723990993	197.38156914013507	197.81013828027017	197.81013828027017	1368.89	4	OVERLAP	2.5	0.2857127600900535	24.746472501311878	49.420011057846864	196.78578464728193	194.972179865339	-5.059984861213707	False	-0.041162534015858634	29.08883085881483	16.721535271807397	0.6016597510373287	14	2	liquidity_sweep_bullish	196.27928723990993	SL	2024-05-01 20:00:00+00:00	-70.27127600900654	-961.9364701596899	360	False
13	2024-07-30 13:00:00+00:00	7	GBP_JPY	SHORT	198.121	199.17628726673414	197.53456909989882	196.9191381997976	196.9191381997976	902.42	4	OVERLAP	2.5	0.41028726673413046	37.580795151586806	46.37329407977431	198.2154905618788	199.89569193400138	-58.209213293645234	False	-0.016540505015113727	13.695274667385908	-6.549056187878932	0.9029411764706232	13	1	liquidity_sweep_bearish	196.9191381997976	TP3	2024-07-30 16:00:00+00:00	89.41596683606186	806.9075679219894	180	True
14	2024-08-12 16:00:00+00:00	7	GBP_JPY	SHORT	187.959	188.90590940709825	187.3221358893526	186.6562717787052	186.6562717787052	1014.23	3	OVERLAP	2.5	0.44390940709826926	36.570139657260476	51.39414589917375	187.55897175673573	188.73160619875233	-46.54398366586747	False	0.026416914796091873	37.39594442126003	42.90282432642698	0.9025844930417901	16	0	liquidity_sweep_bearish	188.90590940709825	SL	2024-08-13 06:00:00+00:00	-94.69094070982463	-960.3839279612545	840	False
15	2024-09-10 08:00:00+00:00	7	GBP_JPY	SHORT	187.752	188.4735781779571	187.21013273306434	186.63926546612868	186.63926546612868	1317.64	3	LONDON	2.5	0.380578177957108	25.97304054666003	57.55078247255535	187.60106504146114	189.17408688119278	-6.2999999999959755	False	0.10520043330161027	85.98705133862997	17.993495853886543	0.4275862068965657	8	1	liquidity_sweep_bearish	186.63926546612868	TP3	2024-09-10 13:00:00+00:00	82.73093453090426	1090.095885753007	300	True
16	2024-10-10 10:00:00+00:00	7	GBP_JPY	LONG	194.89	194.23428030806815	195.28507953789776	195.70915907579553	195.70915907579553	1466.61	3	LONDON	2.5	0.28271969193184976	19.734559996780845	50.92720681296909	194.6101871239519	193.47533923358714	3.7809003583845424	False	-0.06274500910325806	23.258173018537914	25.081287604808722	0.48179271708682736	10	3	liquidity_sweep_bullish	194.23428030806815	SL	2024-10-10 12:00:00+00:00	-65.57196919318356	-961.6850573841496	120	False
17	2024-10-11 12:00:00+00:00	7	GBP_JPY	LONG	194.771	194.1596065130191	195.20609023047132	195.67018046094265	195.67018046094265	1557.21	4	LONDON	2.5	0.3093934869808818	34.387544919330594	60.444583402748115	194.38634471021692	193.64760421479457	10.668127383672754	False	0.09251890437990201	76.69973429671829	35.56552897830727	0.2995689655172026	12	4	liquidity_sweep_bullish	194.771	TP1+SL	2024-10-11 16:00:00+00:00	21.754511523566578	338.76342889613113	240	True
18	2024-10-17 10:00:00+00:00	7	GBP_JPY	LONG	194.639	194.0798562058005	195.01821569129928	195.42643138259854	195.42643138259854	1708.78	3	LONDON	2.5	0.27214379419951046	31.49788090960406	56.62922129016336	194.5810277659609	194.3609469372335	12.95290813247334	False	0.05956482455136029	76.08488121539463	2.897223403911653	0.6607142857142911	10	3	liquidity_sweep_bullish	194.639	TP1+SL	2024-10-17 13:00:00+00:00	18.96078456496326	323.9980944891792	180	True

8.1 KiB Raw Permalink Blame History

8.1 KiB

Raw Permalink Blame History