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fx-quant/results/phase2/trades_S7_Tight_IS.csv
T
Brent NealeandClaude Opus 4.6 9c5d55ec46 Refine Phase 2 portfolio: data-driven filters, drop S4F and S9 
S7: add RSI floor (RSI<40 = 0% WR) and ATR percentile cap (high-vol
regime = worse RR). IS flips from PF 0.68 to 1.52, OOS holds at 1.80.

S3: add confluence gate (C>=4) and skip hours 09-10 (0% WR). IS PF
1.06 -> 1.22, OOS PF 1.07 -> 1.23.

S9_Filtered: add skip_monday (unreliable Asian ranges after weekend
gaps). IS PF 1.10 -> 1.31, OOS holds strong at 2.26.

Drop S9/GBP_USD (negative PF across all param combos) and S4F/EUR_AUD
(overfit: IS 1.43 collapses to OOS 0.48). 3-strategy portfolio: all
PASS generalization, IS PF 1.29, OOS PF 1.55, Gen 1.46.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
2026-02-20 10:25:09 +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
2021-01-19 09:00:00+00:00,7,GBP_JPY,LONG,141.56,141.2521264151365,141.7663103772952,142.00162075459045,142.00162075459045,3248.09,3,LONDON,2.5,0.15687358486347797,48.80213452530581,68.66737170477022,141.1757334553746,141.17515028198045,5.591737610288305,False,0.061769183574347686,60.199476567766396,35.52665446254082,0.2349397590362436,9,1,liquidity_sweep_bullish,142.00162075459045,TP3,2021-01-20 09:00:00+00:00,32.396692557496436,1052.2737312907861,1440,True
2021-02-03 13:00:00+00:00,7,GBP_JPY,LONG,143.38,142.98100883435788,143.58198674846315,143.81297349692633,143.81297349692633,2532.69,4,OVERLAP,2.5,0.15399116564210769,21.19125925463239,46.771428044045194,143.4376216374294,142.89903350963797,1.9550885825168507,False,-0.02122762299110889,23.32069110572441,-8.662163742940265,0.7763713080167911,13,2,liquidity_sweep_bullish,142.98100883435788,SL,2021-02-04 07:00:00+00:00,-39.89911656421157,-1010.52093531013,1080,False
2021-04-13 10:00:00+00:00,7,GBP_JPY,SHORT,150.213,150.71331798824258,149.93402301763615,149.62604603527228,149.62604603527228,1999.56,3,LONDON,2.5,0.2053179882425695,28.59269653051172,43.78288547843401,150.43765868033003,151.06143682161715,-13.406886587759459,False,-0.027369285861298248,21.467421310283054,-19.565868033004108,0.7345679012345386,10,1,liquidity_sweep_bearish,150.213,TP1+SL,2021-04-13 12:00:00+00:00,13.948849118192186,278.91560742772367,120,True
2021-05-31 15:00:00+00:00,7,GBP_JPY,LONG,155.623,155.28565511043521,155.8210173343472,156.0480346686944,156.0480346686944,2973.83,4,OVERLAP,2.5,0.15134488956480616,49.654076816262176,49.52039425705005,155.4898975578868,154.70481868697738,12.271567464063082,False,-0.017999866233808857,61.17340008839269,10.410244211320219,0.6586826347304442,15,0,liquidity_sweep_bullish,155.623,TP1+SL,2021-06-01 06:00:00+00:00,9.900866717360657,294.43494470088643,900,True
2021-08-03 08:00:00+00:00,7,GBP_JPY,SHORT,151.824,152.23044597313304,151.57933104030045,151.30566208060085,151.30566208060085,2475.49,3,LONDON,2.5,0.18244597313304692,33.17111708131859,45.683075608404145,152.16133874825707,152.20288283213353,-4.566666666664787,False,0.03722803957820611,64.9472313596493,-30.83387482570572,0.36758893280626104,8,1,liquidity_sweep_bearish,151.30566208060085,TP3,2021-08-03 13:00:00+00:00,38.15055334294405,944.4131329492457,300,True
2021-08-25 08:00:00+00:00,7,GBP_JPY,SHORT,150.64000000000001,151.1143351528358,150.39999727074635,150.13099454149267,150.13099454149267,2141.09,4,LONDON,2.5,0.17933515283577778,17.795316685023398,56.211904198229135,150.4649640402053,150.79013373274236,-4.599999999999227,False,-0.004467363944246086,37.20413010474014,20.40359597947088,0.28426395939091786,8,2,liquidity_sweep_bearish,151.1143351528358,SL,2021-08-25 14:00:00+00:00,-47.433515283577776,-1015.5942523851555,360,False
2021-08-30 11:00:00+00:00,7,GBP_JPY,LONG,151.209,150.86378738668466,151.40531891997304,151.63063783994605,151.63063783994605,2912.52,3,LONDON,2.5,0.15021261331534858,15.189330052530499,54.705688561359246,151.04245608816143,150.9321682690765,6.492283032335422,False,-0.009988877438677997,38.113207547171434,13.754391183857706,0.6758241758243243,11,0,liquidity_sweep_bullish,151.209,TP1+SL,2021-08-31 12:00:00+00:00,9.815945998651898,285.89139039993626,1500,True
2021-09-23 08:00:00+00:00,7,GBP_JPY,SHORT,150.088,150.47218151232715,149.82572773150926,149.5344554630185,149.5344554630185,2624.54,4,LONDON,2.5,0.19418151232715875,63.18580853627071,68.69619970958104,149.68521903350933,150.50964258294968,-2.6666666666642413,False,0.057819192820166745,83.72489633181637,43.17809664906633,0.09917355371901602,8,3,liquidity_sweep_bearish,150.47218151232715,SL,2021-09-23 11:00:00+00:00,-38.41815123271601,-1008.2997463631249,180,False
2021-10-07 14:00:00+00:00,7,GBP_JPY,LONG,151.944,151.3881015502808,152.2508476745788,152.58669534915762,152.58669534915762,1795.68,4,OVERLAP,2.5,0.22389844971921458,22.241675414438475,66.41797593643571,151.3989704432982,151.07462874092823,37.27070275714084,False,0.05642049316525995,81.1050953113204,51.60295567017954,0.7073170731707205,14,3,liquidity_sweep_bullish,152.58669534915762,TP3,2021-10-08 14:00:00+00:00,47.47750909878311,852.5441353850285,1440,True
2021-11-10 08:00:00+00:00,7,GBP_JPY,SHORT,153.114,153.57571037474384,152.83443443788425,152.52586887576848,152.52586887576848,2180.46,4,LONDON,2.5,0.20571037474383683,27.303339362982037,51.70142632925221,153.2037801251759,154.30654252539233,-2.1666666666675383,False,0.03060645825659345,76.81042808310049,-6.078012517590992,0.3598971722364595,8,2,liquidity_sweep_bearish,153.114,TP1+SL,2021-11-10 13:00:00+00:00,13.978278105787467,304.7907627854534,300,True
2021-11-15 15:00:00+00:00,7,GBP_JPY,SHORT,153.043,153.46258659358037,152.79512010962947,152.5182402192589,152.5182402192589,2406.63,4,OVERLAP,2.5,0.1845865935803661,26.95881459341725,59.84293364942911,152.85382660290435,153.49139058517304,12.504539957382121,False,0.011224768330126852,77.48812924177535,21.81733970956543,0.1333333333333036,15,0,liquidity_sweep_bearish,153.46258659358037,SL,2021-11-16 02:00:00+00:00,-41.95865935803624,-1009.7896837083077,660,False
2021-12-07 08:00:00+00:00,7,GBP_JPY,SHORT,150.749,151.30533092471234,150.4520036129315,150.12600722586296,150.12600722586296,1796.94,4,LONDON,2.5,0.217330924712339,44.12173023803036,60.80343102295601,150.34598174091798,151.0283122465493,-10.333333333335304,False,0.024496240409433073,46.77540019266636,43.201825908201386,0.5161290322580497,8,1,liquidity_sweep_bearish,150.12600722586296,TP3,2021-12-07 18:00:00+00:00,45.99980475675753,826.5888915960787,600,True
2022-01-19 11:00:00+00:00,7,GBP_JPY,SHORT,156.041,156.43849237103325,155.75576144345013,155.44152288690026,155.44152288690026,2535.79,3,LONDON,2.5,0.20949237103324464,34.725238074197144,57.08044012005093,156.01329311136905,156.2987137665252,24.32564558679644,False,0.060260987417893694,88.356117273556,5.670688863094142,0.08085106382980577,11,2,liquidity_sweep_bearish,155.44152288690026,TP3,2022-01-20 01:00:00+00:00,44.23601988893092,1121.7325687415214,840,True
2022-03-10 14:00:00+00:00,7,GBP_JPY,SHORT,152.542,153.23728211357013,152.15507682964483,151.73915365928966,151.73915365928966,1465.84,4,OVERLAP,2.5,0.27728211357011456,34.44392797220163,48.96824245640294,152.4310556085491,153.02428985117828,-10.608162200864513,False,-0.04738485743499771,62.879779989522056,13.994439145091064,0.7665995975854918,14,3,liquidity_sweep_bearish,152.542,TP1+SL,2022-03-11 04:00:00+00:00,19.346158517758738,283.5837300167147,840,True
2022-03-21 12:00:00+00:00,7,GBP_JPY,LONG,156.834,156.3809811067696,157.1095283398456,157.4140566796912,157.4140566796912,2256.0,4,LONDON,2.5,0.2030188932304031,21.160816361235394,53.91313960830786,156.46535250114061,154.9640839596091,9.23077418468381,False,-0.05407336536104143,36.58735387355584,33.96474988593923,0.7545787545788286,12,0,liquidity_sweep_bullish,157.4140566796912,TP3,2022-03-21 16:00:00+00:00,42.77950809416346,965.1057026043276,240,True
2022-05-11 14:00:00+00:00,7,GBP_JPY,SHORT,160.697,161.69475357350146,160.1383696397478,159.5507392794956,159.5507392794956,1033.98,4,OVERLAP,2.5,0.3917535735014686,33.31560318657865,51.16802955039148,160.74251807937966,161.63910615289808,5.364409921671154,False,0.03874728025098841,84.30833446758261,-1.6518079379665096,0.8672699849170123,14,2,liquidity_sweep_bearish,159.5507392794956,TP3,2022-05-11 17:00:00+00:00,85.24566262863617,881.4231024475723,180,True
2022-05-31 08:00:00+00:00,7,GBP_JPY,LONG,161.343,160.72255655448865,161.713665168267,162.11333033653403,162.11333033653403,1676.99,5,LONDON,2.5,0.2664434455113439,40.97074904939494,52.6601700874127,160.98094345373124,160.25277731803135,9.166666666664014,False,-0.07686240039026376,32.84077334736096,33.305654626875025,0.7466666666666697,8,1,liquidity_sweep_bullish,162.11333033653403,TP3,2022-05-31 14:00:00+00:00,57.05023459302235,956.7267291015255,360,True
2022-10-05 16:00:00+00:00,7,GBP_JPY,LONG,163.444,162.44778143286752,164.24032785069872,165.06565570139745,165.06565570139745,1054.03,3,OVERLAP,2.5,0.5502185671324871,37.260876365610905,40.05966386655959,163.8379885139377,161.34716298486475,-28.55607972133214,False,-0.22060776775003166,33.859759392854045,-42.29885139376961,0.4076433121019019,16,2,liquidity_sweep_bullish,163.444,TP1+SL,2022-10-06 08:00:00+00:00,39.81639253493653,419.6767222359916,960,True
2022-11-10 13:00:00+00:00,7,GBP_JPY,SHORT,166.77100000000002,167.8142816755394,166.2445774866909,165.6891549733818,165.6891549733818,1010.5,4,OVERLAP,2.5,0.37028167553941166,25.598645592616148,51.48614850917761,166.98441038809315,167.72392739986196,9.600177960467704,False,0.07773496305486302,45.926269157594554,-18.441038809314136,0.19135802469136923,13,3,liquidity_sweep_bearish,165.6891549733818,TP3,2022-11-10 14:00:00+00:00,80.41444760005487,812.5879929985546,60,True
2022-11-17 12:00:00+00:00,7,GBP_JPY,SHORT,165.601,166.37750674191966,165.0322398871205,164.43447977424103,164.43447977424103,1368.13,5,LONDON,2.5,0.3985067419196566,22.89072624136199,44.044798449171644,165.73961325783645,166.08930902550796,-23.59962682566845,False,-0.0476639131938002,45.39971771968385,-10.961325783645748,0.19363762102353005,12,3,liquidity_sweep_bearish,166.37750674191966,SL,2022-11-17 22:00:00+00:00,-77.65067419196612,-1062.3621688225462,600,False
2022-12-15 09:00:00+00:00,7,GBP_JPY,LONG,168.53199999999998,167.69108965238104,168.99636552142846,169.48973104285693,169.48973104285693,1250.72,3,LONDON,2.5,0.3289103476189807,30.314590062087298,65.12720658759604,167.8456964107379,167.37028936297304,24.657734193786496,False,0.04320220526790286,73.04986303724594,65.73035892620851,0.8162162162162021,9,3,liquidity_sweep_bullish,167.69108965238104,SL,2022-12-15 19:00:00+00:00,-84.09103476189442,-1051.743389973966,600,False
2022-12-23 15:00:00+00:00,7,GBP_JPY,SHORT,160.13400000000001,160.86604406507368,159.6409339023895,159.11886780477897,159.11886780477897,1422.35,5,OVERLAP,2.5,0.34804406507368146,30.59146890546611,61.980188466308554,159.99876926789878,162.9672235512621,14.144913648058832,False,0.05584734173950451,45.711170935822814,16.423073210123107,0.1756756756756945,15,4,liquidity_sweep_bearish,160.13400000000001,TP1+SL,2022-12-26 08:00:00+00:00,24.65330488052615,350.6562819681637,3900,True
2022-12-27 11:00:00+00:00,7,GBP_JPY,SHORT,160.385,161.07102035672665,159.98946946491003,159.5649389298201,159.5649389298201,1522.89,4,LONDON,2.5,0.2830203567266322,17.79972051831876,48.930149693745925,160.31840309992057,162.01386307840843,-22.18699037434817,False,-0.017701135636989912,38.45033061957478,9.559690007941413,0.6943319838057043,11,1,liquidity_sweep_bearish,161.07102035672665,SL,2022-12-28 02:00:00+00:00,-68.6020356726658,-1044.7335410554604,900,False
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