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Brent NealeandClaude Opus 4.6
dce54845c2
- Built event-driven backtesting engine with spread/slippage modeling, 3-TP partial closes, trailing stops, and rich trade logging (20+ features) - Implemented 5 strategy signal generators (MA Breakout, VWAP Reversal, Key Level Breakout, EMA Ribbon Scalp, Momentum Exhaustion) - Full indicator library (EMA, SMA, RSI, ATR, MACD, ADX, Stochastic, Session VWAP bands, swing points, key levels, RSI divergence) - Data pipeline: Dukascopy download, validation, 70/30 train/test split - Baseline results: all 5 strategies generate 200+ trades on training data (Jan 2021 - Aug 2023), best profit factors 0.82-0.96 on select pairs - Trade logs and reports saved for Phase 3 ML feature engineering Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
2.3 KiB
2.3 KiB
| 1 | time | strategy | instrument | granularity | side | price | position_size | equity | drawdown | pnl |
|---|---|---|---|---|---|---|---|---|---|---|
| 2 | 2023-10-24 08:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SELL_SHORT | 0.86843 | 2000.0 | 100000.0 | 0.0 | 0.0 |
| 3 | 2023-10-24 10:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SL_EXIT_SHORT | 0.8697024206349205 | 0.0 | 99997.07 | 0.0 | -2.93 |
| 4 | 2023-10-30 14:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SELL_SHORT | 0.87351 | 1499.96 | 99997.07 | 0.0 | 0.0 |
| 5 | 2023-10-31 09:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SL_EXIT_SHORT | 0.8748990476190476 | 0.0 | 99994.68 | 0.0 | -2.39 |
| 6 | 2023-11-03 14:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SELL_SHORT | 0.86858 | 1999.89 | 99994.68 | 0.0 | 0.0 |
| 7 | 2023-11-07 15:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | TIME_EXIT | 0.86882 | 0.0 | 99994.13 | 0.0 | -0.55 |
| 8 | 2023-11-13 01:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SELL_SHORT | 0.87343 | 1499.91 | 99994.13 | 0.0 | 0.0 |
| 9 | 2023-11-15 01:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | TIME_EXIT | 0.87082 | 0.0 | 99998.61 | 0.0 | 4.48 |
| 10 | 2023-11-15 18:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SELL_SHORT | 0.87356 | 1499.98 | 99998.61 | 0.0 | 0.0 |
| 11 | 2023-11-16 07:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SL_EXIT_SHORT | 0.8751208333333332 | 0.0 | 99995.93 | 0.0 | -2.68 |
| 12 | 2023-11-16 16:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SELL_SHORT | 0.87355 | 1499.94 | 99995.93 | 0.0 | 0.0 |
| 13 | 2023-11-17 07:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SL_EXIT_SHORT | 0.8749611904761905 | 0.0 | 99993.51 | 0.0 | -2.42 |
| 14 | 2023-11-21 08:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SELL_SHORT | 0.87354 | 1999.87 | 99993.51 | 0.0 | 0.0 |
| 15 | 2023-11-23 08:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | TIME_EXIT | 0.8722 | 0.0 | 99996.58 | 0.0 | 3.07 |
| 16 | 2023-11-24 10:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SELL_SHORT | 0.86836 | 1499.95 | 99996.58 | 0.0 | 0.0 |
| 17 | 2023-11-28 10:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | TIME_EXIT | 0.86678 | 0.0 | 99999.31 | 0.0 | 2.73 |
| 18 | 2023-11-30 07:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SELL_SHORT | 0.86276 | 1999.99 | 99999.31 | 0.0 | 0.0 |
| 19 | 2023-11-30 13:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SL_EXIT_SHORT | 0.8643420238095237 | 0.0 | 99995.64 | 0.0 | -3.67 |
| 20 | 2023-11-30 15:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SELL_SHORT | 0.86202 | 1999.91 | 99995.64 | 0.0 | 0.0 |
| 21 | 2023-12-04 15:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | TIME_EXIT | 0.85761 | 0.0 | 100005.87 | 0.0 | 10.23 |
| 22 | 2023-12-18 16:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | BUY | 0.86446 | 1500.09 | 100005.87 | 0.0 | 0.0 |
| 23 | 2023-12-19 09:00:00+00:00 | S3_Key_Level_Breakout | EUR_GBP | H1 | SL_EXIT_LONG | 0.8621659523809523 | 0.0 | 100001.89 | 0.0 | -3.98 |