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fx-quant/logs/backtest_trades_S3_GBP_JPY_H1.csv
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Brent NealeandClaude Opus 4.6 dce54845c2 Phase 1: Event-driven backtester, 5 strategies, and baseline results 
- 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>
2026-02-18 06:04:40 +10:00

3.9 KiB
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1timestrategyinstrumentgranularitysidepriceposition_sizeequitydrawdownpnl
22024-07-01 11:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1BUY204.2361500.0100000.00.00.0
32024-07-03 11:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1TIME_EXIT205.7430.0100011.070.011.07
42024-07-10 14:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1BUY207.412000.22100011.070.00.0
52024-07-11 12:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SL_EXIT_LONG207.102059523809540.0100008.10.0-2.97
62024-07-17 10:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1BUY204.2841500.12100008.10.00.0
72024-07-17 13:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SL_EXIT_LONG203.645261904761920.0100003.410.0-4.69
82025-10-08 00:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1BUY204.331500.05100003.410.00.0
92025-10-09 13:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SL_EXIT_LONG203.736869047619080.099999.050.0-4.35
102025-11-17 15:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1BUY204.511999.9899999.050.00.0
112025-11-18 04:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SL_EXIT_LONG203.827511904761930.099992.380.0-6.67
122025-11-18 14:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1BUY204.2561499.8999992.380.00.0
132025-11-20 14:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1TIME_EXIT206.6760.0100010.150.017.77
142025-12-08 14:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1BUY207.6592000.2100010.150.00.0
152025-12-10 14:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1TIME_EXIT208.6170.0100019.380.09.23
162025-12-15 05:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SELL_SHORT207.191500.29100019.380.00.0
172025-12-15 15:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SL_EXIT_SHORT207.767523809523820.0100015.20.0-4.18
182025-12-16 00:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SELL_SHORT207.2461500.23100015.20.00.0
192025-12-16 09:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SL_EXIT_SHORT207.72745238095240.0100011.710.0-3.49
202025-12-17 07:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SELL_SHORT207.1731500.18100011.710.00.0
212025-12-17 14:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SL_EXIT_SHORT207.80898809523810.0100007.10.0-4.61
222025-12-19 09:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1BUY210.3621500.11100007.10.00.0
232025-12-22 12:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1TP1_LONG211.57649999999998450.03100013.170.06.06
242025-12-22 12:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1TP2_LONG211.415857142857130.0100015.420.02.25
252025-12-23 04:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SL_EXIT_LONG210.3620.0100015.420.00.0
262025-12-24 14:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SELL_SHORT210.141500.23100015.420.00.0
272025-12-24 17:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SL_EXIT_SHORT210.527000000000040.0100012.660.0-2.76
282026-01-06 11:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SELL_SHORT211.5341500.19100012.660.00.0
292026-01-08 11:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1TIME_EXIT210.7560.0100018.180.05.52
302026-01-16 20:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SELL_SHORT211.5221500.27100018.180.00.0
312026-01-19 08:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SL_EXIT_SHORT211.900607142857130.0100015.490.0-2.69
322026-01-29 10:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SELL_SHORT211.4841500.23100015.490.00.0
332026-01-29 15:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1TP1_SHORT210.17075000000003450.07100022.010.06.52
342026-01-29 21:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SL_EXIT_SHORT211.4840.0100022.010.00.0
352026-02-02 06:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SELL_SHORT211.421500.33100022.010.00.0
362026-02-02 08:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SL_EXIT_SHORT212.160642857142850.0100016.760.0-5.26
372026-02-11 00:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1SELL_SHORT210.1161500.25100016.760.00.0
382026-02-13 00:00:00+00:00S3_Key_Level_BreakoutGBP_JPYH1TIME_EXIT208.0960.0100031.180.014.42
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