mirror of
https://github.com/BrentNeale1/fx-quant.git
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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>
24 lines
2.3 KiB
CSV
24 lines
2.3 KiB
CSV
time,strategy,instrument,granularity,side,price,position_size,equity,drawdown,pnl
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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