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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

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time,strategy,instrument,granularity,side,price,position_size,equity,drawdown,pnl
2024-07-01 11:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,BUY,204.236,1500.0,100000.0,0.0,0.0
2024-07-03 11:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,TIME_EXIT,205.743,0.0,100011.07,0.0,11.07
2024-07-10 14:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,BUY,207.41,2000.22,100011.07,0.0,0.0
2024-07-11 12:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SL_EXIT_LONG,207.10205952380954,0.0,100008.1,0.0,-2.97
2024-07-17 10:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,BUY,204.284,1500.12,100008.1,0.0,0.0
2024-07-17 13:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SL_EXIT_LONG,203.64526190476192,0.0,100003.41,0.0,-4.69
2025-10-08 00:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,BUY,204.33,1500.05,100003.41,0.0,0.0
2025-10-09 13:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SL_EXIT_LONG,203.73686904761908,0.0,99999.05,0.0,-4.35
2025-11-17 15:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,BUY,204.51,1999.98,99999.05,0.0,0.0
2025-11-18 04:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SL_EXIT_LONG,203.82751190476193,0.0,99992.38,0.0,-6.67
2025-11-18 14:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,BUY,204.256,1499.89,99992.38,0.0,0.0
2025-11-20 14:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,TIME_EXIT,206.676,0.0,100010.15,0.0,17.77
2025-12-08 14:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,BUY,207.659,2000.2,100010.15,0.0,0.0
2025-12-10 14:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,TIME_EXIT,208.617,0.0,100019.38,0.0,9.23
2025-12-15 05:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SELL_SHORT,207.19,1500.29,100019.38,0.0,0.0
2025-12-15 15:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SL_EXIT_SHORT,207.76752380952382,0.0,100015.2,0.0,-4.18
2025-12-16 00:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SELL_SHORT,207.246,1500.23,100015.2,0.0,0.0
2025-12-16 09:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SL_EXIT_SHORT,207.7274523809524,0.0,100011.71,0.0,-3.49
2025-12-17 07:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SELL_SHORT,207.173,1500.18,100011.71,0.0,0.0
2025-12-17 14:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SL_EXIT_SHORT,207.8089880952381,0.0,100007.1,0.0,-4.61
2025-12-19 09:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,BUY,210.362,1500.11,100007.1,0.0,0.0
2025-12-22 12:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,TP1_LONG,211.57649999999998,450.03,100013.17,0.0,6.06
2025-12-22 12:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,TP2_LONG,211.41585714285713,0.0,100015.42,0.0,2.25
2025-12-23 04:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SL_EXIT_LONG,210.362,0.0,100015.42,0.0,0.0
2025-12-24 14:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SELL_SHORT,210.14,1500.23,100015.42,0.0,0.0
2025-12-24 17:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SL_EXIT_SHORT,210.52700000000004,0.0,100012.66,0.0,-2.76
2026-01-06 11:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SELL_SHORT,211.534,1500.19,100012.66,0.0,0.0
2026-01-08 11:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,TIME_EXIT,210.756,0.0,100018.18,0.0,5.52
2026-01-16 20:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SELL_SHORT,211.522,1500.27,100018.18,0.0,0.0
2026-01-19 08:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SL_EXIT_SHORT,211.90060714285713,0.0,100015.49,0.0,-2.69
2026-01-29 10:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SELL_SHORT,211.484,1500.23,100015.49,0.0,0.0
2026-01-29 15:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,TP1_SHORT,210.17075000000003,450.07,100022.01,0.0,6.52
2026-01-29 21:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SL_EXIT_SHORT,211.484,0.0,100022.01,0.0,0.0
2026-02-02 06:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SELL_SHORT,211.42,1500.33,100022.01,0.0,0.0
2026-02-02 08:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SL_EXIT_SHORT,212.16064285714285,0.0,100016.76,0.0,-5.26
2026-02-11 00:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,SELL_SHORT,210.116,1500.25,100016.76,0.0,0.0
2026-02-13 00:00:00+00:00,S3_Key_Level_Breakout,GBP_JPY,H1,TIME_EXIT,208.096,0.0,100031.18,0.0,14.42
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