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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

16 KiB

1timestampstrategy_idpairsignal_directionentry_pricesl_pricetp1_pricetp2_pricetp3_pricelot_sizeconfluence_scoresessionspread_at_entryatr_at_entryadx_at_entryrsi_at_entryema_50_valueema_200_valuevwap_deviationnews_within_60minmacd_hist_at_entrystoch_k_at_entrydistance_from_ema50_pipscandle_body_ratiohour_of_dayday_of_weekentry_patternexit_priceexit_reasonexit_timepnl_pipspnl_dollarshold_time_minuteswin
22023-09-13 14:15:00+00:008GBP_USDSHORT1.24843999999999981.24989406074931321.24553626167124621.24398939250686921.2439893925068692680851.885OVERLAP1.50.00154686916437686217.11593337435726554.723918993696591.24784139161805241.24869644629245978.940748705617008False0.0002317186344334425350.9364675501353267.8860838194749760.6125000000001943142order_block_retest_short1.2498940607493132SL2023-09-13 14:30:00+00:00-14.540607493134239-989.999994804253315False
32023-09-13 14:45:00+00:008GBP_USDSHORT1.24888999999999981.24990173605425461.24593509297163571.24436263945745381.2443626394574538968730.925OVERLAP1.50.001572453514182074416.52202725958469655.7158588833118961.247966021251421.248711725195606612.360720150876858False0.0001901347436250946748.0230524965509511.1397874857988020.5602836879433462142order_block_retest_short1.2499017360542546SL2023-09-13 15:15:00+00:00-10.117360542547527-980.099998635376630False
42023-09-13 15:30:00+00:008GBP_USDSHORT1.24834999999999981.2498695262795911.24560982480272741.2441447372040911.244144737204091638553.625OVERLAP1.50.001465087598636311915.49582584180414851.4188432712040751.24809470621562111.24872352542684636.145744333041492False4.954072423843007e-0546.562776304154064.4529378437885290.787878787878742152order_block_retest_short1.249869526279591SL2023-09-13 16:30:00+00:00-15.195262795910658-970.299006518007260False
52023-09-22 14:30:00+00:008GBP_USDSHORT1.227421.22849289830978431.22552401126810541.22448101690215781.2244810169021578895328.15OVERLAP1.50.00104299436594738533.6140036103332960.513905585304291.2266049198438531.230075200408849319.52405198722973False0.0003522820054739629675.5693581780569710.0508015614719780.07999999999992895144order_block_retest_short1.2244810169021578TP32023-09-22 17:45:00+00:0024.174859476941112164.4431003256677195True
62023-10-13 09:00:00+00:008GBP_USDSHORT1.219591.22079020341688761.21791197722074871.2169779658311231.216977965831123818394.974LONDON1.50.000934011389625641938.3785529164757545.892289425009551.22035586298997021.2238173530964238-13.244039322721779False-1.0637396353468628e-0518.554389347431478-5.758629899701440.928571428571485294order_block_retest_short1.216977965831123TP32023-10-13 10:45:00+00:0021.4502850598060631755.480539801143105True
72023-10-16 12:15:00+00:008GBP_USDSHORT1.216941.2177761819827091.21522212011527221.2142681801729081.2142681801729081195667.055LONDON1.50.00095393994236396338.0156947716160757.639740456248861.21597504712141521.21838023542481710.267454210508564False0.000222362870767745978.7069410986275511.5495287858480290.21621621621614323120order_block_retest_short1.217776181982709SL2023-10-16 12:45:00+00:00-8.361819827091832-999.795244529040130False
82023-10-20 12:15:00+00:008GBP_USDSHORT1.21251.21386029061031841.21062139593121021.20958709389681521.2095870938968152727636.645LONDON1.50.001034302034394938723.47481231436812349.576649652386731.21281406554985981.21410024877528631.8903395715419435False0.0001762116936968758661.72859637741274-1.24065549859775360.7016806722689185124order_block_retest_short1.2138602906103184SL2023-10-20 12:30:00+00:00-13.602906103185042-989.797289115705815False
92023-12-22 10:00:00+00:008GBP_USDLONG1.27043000000000021.26801255220521351.272156318631911.2731144779478651.273114477947865405344.564LONDON1.50.000958159315954969149.5813609195620559.124051202945581.26874710345598651.26749787062703925.810637927503581False-6.707125066424233e-0735.7923497267828914.9289654401352220.8140703517587974104order_block_retest_long1.273114477947865TP32023-12-22 11:00:00+00:0022.05398356114368893.946226283901960True
102024-02-08 15:00:00+00:008GBP_USDSHORT1.25914999999999981.26036618053338231.25736546311078381.25637819466617581.2563781946661758813069.085OVERLAP1.50.000987268444608022239.4349350137546443.124317010710151.26124723688541.261362137817366-11.994779500772434False0.0001009156175406342278.26518535076112-19.0723688540006540.8186813186812443153order_block_retest_short1.2603661805333823SL2024-02-08 15:30:00+00:00-12.161805333825715-988.838787391276630False
112024-02-08 15:30:00+00:008GBP_USDSHORT1.25936999999999991.26037602811296751.25751981258021671.2564997188703251.256499718870325973084.535OVERLAP1.50.001020093709891610331.72564776785987644.7850575752013851.26112541167314341.2613285215639594-9.030811982744247False0.0001457927704540103346.09545771675234-15.654116731433910.16788321167881318153order_block_retest_short1.2603760281129675SL2024-02-08 15:45:00+00:00-10.060281129675717-978.950393473836615False
122024-04-19 11:00:00+00:008GBP_USDSHORT1.24282999999999991.24375485943871421.24145427040857161.24067140561285741.24067140561285741047900.745LONDON1.50.000782864795714203524.35920645262077545.4804730910238461.24331170449049471.2443104284519229-11.129973676125005False-0.000171862360258773173.4700287040686457-2.91704490494648640.8644067796609022114order_block_retest_short1.2437548594387142SL2024-04-19 11:15:00+00:00-9.248594387143427-969.160890224744415False
132024-05-03 15:30:00+00:008GBP_USDLONG1.25593000000000021.25494349328808231.25885004474611821.2604050671191771.260405067119177972592.765OVERLAP1.50.001555022373059005724.19294299962871349.1184951857553861.25557451155631621.2535088799474368-12.132706779552915False-0.0002910540304129497367.427226027398391.65488443683914350.6055045871560399154order_block_retest_long1.2549434932880823SL2024-05-03 15:45:00+00:00-9.865067119179116-959.469285702766615False
142024-05-09 13:00:00+00:008GBP_USDSHORT1.24887999999999981.25011287191212421.2463175205858391.24494128087875851.2449412808787585770456.835OVERLAP1.50.001376239707080449132.2168677800862353.362829161503091.24848092698066431.249950607202803512.358090808068933False0.0002905897959300512678.69478402260575.8907301933563970.8759689922481114133order_block_retest_short1.2501128719121242SL2024-05-09 13:15:00+00:00-12.328719121244003-949.87458521140415False
152024-05-10 15:30:00+00:008GBP_USDLONG1.25210000000000021.25143188113852971.25356412574313541.2543911886147031.2543911886147031407497.825OVERLAP1.50.000827062871567650930.5600892257512147.911060068325011.25225899574068111.251443669125959-4.379911567347072False-0.0001058230917776715260.93373269946161-3.4899574068103510.6144578313252336154order_block_retest_long1.2521000000000002TP1+SL2024-05-12 21:00:00+00:007.32062871567573751030.37689583433210True
162024-05-22 12:00:00+00:008GBP_USDLONG1.27176000000000021.27077153314899681.27315977900668731.2739546685100311.273954668510031961771.875LONDON1.50.000794889503343575332.8715198470011845.155788840356361.2721467079265271.271080881381681-8.55809534163754False-0.000262575541445774830.666666666667826-5.7670792652686490.7831325301206367122order_block_retest_long1.273954668510031TP32024-05-22 13:15:00+00:0017.9722378117790351728.51927683194375True
172024-06-11 11:00:00+00:008GBP_USDSHORT1.273281.2738730502039151.27204966530723241.27133949796084861.27133949796084861632180.215LONDON1.50.000710167346383820741.786388332630353.071992299103031.27301398568761171.27349546106293591.0452605068844711False0.0001644093138209626751.667160976161514.5601431238839750.7731958762885276111order_block_retest_short1.273873050203915SL2024-06-11 11:15:00+00:00-5.930502039150909-967.964806366675815False
182024-06-11 13:15:00+00:008GBP_USDSHORT1.272941.27390948927023471.27146673819843461.27063510729765181.2706351072976518988443.285OVERLAP1.50.000831630900782735228.66727468677069645.958157330478051.27330897432366271.2735381027553043-5.00293719290168False-2.1958292594242653e-0558.41086714983371-1.78974323662650650.8170731707316017131order_block_retest_short1.2706351072976518TP32024-06-11 14:00:00+00:0018.8907727527516121867.245738146443545True
192024-08-05 08:15:00+00:008GBP_USDSHORT1.27911999999999981.28082558568760521.27547276208263251.27355414312394881.2735541431239488572798.914LONDON1.50.00191861895868369231.1470585934589353.515633377221391.2784481546185021.2784566464943503-8.189484116609691False0.000470573501757026172.472978238245098.6184538149791660.826815642458099980order_block_retest_short1.2808255856876052SL2024-08-05 08:30:00+00:00-17.05585687605371-976.957622771957115False
202024-08-05 08:30:00+00:008GBP_USDSHORT1.27952999999999981.28082090099563351.27591399336244461.2740109900436671.274010990043667749234.874LONDON1.50.001903003318777716630.17021643758730354.767180496351321.27849803090797281.2784692171759986-3.451307666642034False0.0004725757993409679661.92100813877582512.2196909202720860.2411764705882429980order_block_retest_short1.274010990043667TP32024-08-05 10:00:00+00:0045.675083706060243422.13654027491790True
212024-08-22 12:30:00+00:008GBP_USDLONG1.31155000000000021.3094180107800541.31323992813297431.31417989219946141.3141798921994614469706.65LONDON1.50.000939964066487131827.1683103772993454.840738730516021.3100068083364911.30585372116104771.8317249275945358False-0.0001948069305948114544.1808307030143513.5319166350900130.6368421052632354123order_block_retest_long1.309418010780054SL2024-08-22 14:00:00+00:00-21.319892199462842-1001.409407737621390False
222024-08-22 14:45:00+00:008GBP_USDLONG1.31043000000000021.30933242705213451.31269048631910471.31391572947865681.3139157294786568903261.435OVERLAP1.50.001225243159552264223.8635990347337148.433074282679841.31013806573240351.306254841441342-5.605161518216217False-0.000288297214302611533.136858966166561.01934267596526240.5696202531645854143order_block_retest_long1.3093324270521345SL2024-08-22 15:00:00+00:00-10.975729478657213-991.39531041850715False
232024-08-22 16:15:00+00:008GBP_USDLONG1.31030000000000021.30937029380974961.31230804126833721.31340706190250581.31340706190250581055689.825OVERLAP1.50.00109902063416856916.94289270481394350.200831359645961.30994731207711261.306427795000149-5.168777259598745False-0.0001032092920405518965.089717696300541.62687922887538860.9876543209878472163order_block_retest_long1.3093702938097496SL2024-08-22 16:45:00+00:00-9.297061902506787-981.481360638624830False
242024-08-27 08:00:00+00:008GBP_USDLONG1.320921.31913069881004661.3221920079330231.32292301189953431.3229230118995343543042.475LONDON1.50.000731003966511467132.49018745436253460.9617789212375741.31941172147245861.31759125218388732.2333333333324212False7.100868302589497e-0541.15965300487419413.1827852754140550.654867256637220381order_block_retest_long1.3229230118995343TP32024-08-27 09:00:00+00:0016.3750995316353889.237449615507660True
252024-09-12 10:45:00+00:008GBP_USDSHORT1.30487999999999981.30563770738016641.30381861746555821.3031929261983371.3031929261983371294112.934LONDON1.50.000625691267220943115.55343206845585352.5926196633502341.30474440198254561.30625163534434830.976727027408586False3.186497891587541e-0543.986695177002163.2559801745435380.666666666666774103order_block_retest_short1.3048799999999998TP1+SL2024-09-12 12:15:00+00:005.306912672208286686.774430748559490True
262024-09-12 12:45:00+00:008GBP_USDSHORT1.30517999999999981.30568429470790371.30380803528064161.30302705292096241.30302705292096241958034.954LONDON1.50.000780982359679150123.8608848169428256.157186602904971.30475050644059641.30613605456305234.429449842884292False4.758012836492012e-0680.227460449083756.1949355940349450.05468750000001355123order_block_retest_short1.3056842947079037SL2024-09-12 13:00:00+00:00-5.042947079039184-987.426663175913415False
272024-09-20 08:15:00+00:008GBP_USDLONG1.329971.32897131434600021.33183790435999841.33286685653999771.3328668565399977978838.934LONDON1.50.001028952179999245241.92015541632746.440249747195031.32939080642142351.3252141136986377-3.2659497947484795False-0.0001922583045781366411.4646733841765123.8919357857647440.1964285714286670184order_block_retest_long1.3289713143460002SL2024-09-20 09:45:00+00:00-9.986856539998533-977.552396967566890False
282024-09-20 09:45:00+00:008GBP_USDLONG1.32954000000000021.3289930064662821.33126329022478671.33221993533718021.33221993533718021769265.654LONDON1.50.000956645112393376230.1692610964208343.878891107734051.32946522915659631.3254784041413623-5.097549075692154False-0.000338011167070488938.41744306418216-1.15229156596230450.1842105263158407394order_block_retest_long1.328993006466282SL2024-09-20 10:15:00+00:00-5.469935337181208-967.77686997958830False
292024-09-20 11:45:00+00:008GBP_USDLONG1.330131.32901873753231171.33168174978458941.33255262467688421.3325526246768842862171.755LONDON1.50.000870874892294754930.8413130432401853.047136663042381.3293279717329141.32574455705243135.507707831291508False-7.033641068532738e-0595.300783382145446.1202826708584010.5733333333332189114order_block_retest_long1.33013TP1+SL2024-09-20 13:15:00+00:007.758748922946924668.937413670776490True
302024-09-20 15:30:00+00:008GBP_USDLONG1.33036000000000021.32891329535247941.33261469765013761.33383704647520631.3338370464752063666886.975OVERLAP1.50.001222348825068732128.971833399638354.4521058257661.3292650559166071.3262459052731077.903049964741449False-9.73143750413885e-0539.811787580982269.0494408339303330.9174041297935588154order_block_retest_long1.33137TP1+TIME2024-09-23 01:30:00+00:0016.3234882506857451088.59216193304183480True
312024-09-27 16:15:00+00:008GBP_USDLONG1.339051.33779944024700731.34093039835328451.3419655975299271.341965597529927780190.155OVERLAP1.50.001035199176642318521.13895814174485843.645587920598991.33944128626745831.3382079470085404-9.640405901780724False-0.0003124481133563480713.314107248493267-5.8128626745834740.6119402985075418164order_block_retest_long1.3377994402470073SL2024-09-27 17:00:00+00:00-12.505597529928192-975.674401271430645False
322024-11-26 09:15:00+00:008GBP_USDSHORT1.25572999999999981.25738009408988941.25385270606740341.2528190591011051.252819059101105585371.264LONDON1.50.001033646966298309627.06088306192292255.4220653378923841.2550906751237381.2566244729505745.745443404232553False0.0001670303609784372877.285201573896438.293248762618610.973856209150442591order_block_retest_short1.2573800940898894SL2024-11-26 10:00:00+00:00-16.500940898895866-965.917656517220645False
332024-12-11 15:45:00+00:008GBP_USDLONG1.274511.27365293658452421.27690042276983931.27819063415475891.27819063415475891115738.35OVERLAP1.50.001290211384919688728.3010779397750745.3384609304003451.2751467463130431.2753596838461745-5.196573242189917False-2.491596767837794e-0525.39688678658941-8.2674631304313630.13740458015273257152order_block_retest_long1.2736529365845242SL2024-12-11 18:45:00+00:00-8.570634154758672-956.2584781752378180False
342024-12-13 13:00:00+00:008GBP_USDSHORT1.26610999999999981.26662845457996241.26457696946691731.2637154542003761.2637154542003761825995.815OVERLAP1.50.000861515266541335528.93822030822432762.140029236947211.26548470724952541.269897245324531420.99739261357536False0.0003425010518802588785.355097024834428.1529275047453890.12727272727274194134order_block_retest_short1.2666284545799624SL2024-12-13 13:30:00+00:00-5.184545799625795-946.695890686980130False
352024-12-13 14:00:00+00:008GBP_USDSHORT1.26548999999999981.26663348745986841.26392341693421021.26304512540131551.2630451254013155819623.275OVERLAP1.50.000878291532894818122.203538961410953.848726198677521.26558880000709121.269752016571116710.568508168422586False0.0002035618766368940468.157235783607930.91199992908741480.8681318681317636144order_block_retest_short1.2630451254013155TP32024-12-13 15:00:00+00:0020.0572886206617871643.942048660060260True