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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 | 2023-10-26 12:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | BUY | 1.21248 | 1500.0 | 100000.0 | 0.0 | 0.0 |
| 3 | 2023-10-30 12:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | TIME_EXIT | 1.2143 | 0.0 | 100002.25 | 0.0 | 2.25 |
| 4 | 2023-11-20 09:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | BUY | 1.251 | 2000.05 | 100002.25 | 0.0 | 0.0 |
| 5 | 2023-11-20 10:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SL_EXIT_LONG | 1.2481873809523807 | 0.0 | 99997.75 | 0.0 | -4.5 |
| 6 | 2023-11-20 10:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SELL_SHORT | 1.24716 | 1499.97 | 99997.75 | 0.0 | 0.0 |
| 7 | 2023-11-21 02:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SL_EXIT_SHORT | 1.2526595238095237 | 0.0 | 99991.14 | 0.0 | -6.61 |
| 8 | 2023-11-22 14:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SELL_SHORT | 1.24838 | 1999.82 | 99991.14 | 0.0 | 0.0 |
| 9 | 2023-11-23 08:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SL_EXIT_SHORT | 1.2530763095238093 | 0.0 | 99983.62 | 0.0 | -7.52 |
| 10 | 2023-11-27 08:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SELL_SHORT | 1.26083 | 1499.75 | 99983.62 | 0.0 | 0.0 |
| 11 | 2023-11-27 11:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SL_EXIT_SHORT | 1.2631164285714287 | 0.0 | 99980.9 | 0.0 | -2.72 |
| 12 | 2023-11-27 15:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SELL_SHORT | 1.26056 | 1499.71 | 99980.9 | 0.0 | 0.0 |
| 13 | 2023-11-28 00:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SL_EXIT_SHORT | 1.263622142857143 | 0.0 | 99977.25 | 0.0 | -3.64 |
| 14 | 2023-11-28 07:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SELL_SHORT | 1.26119 | 1499.66 | 99977.25 | 0.0 | 0.0 |
| 15 | 2023-11-28 09:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SL_EXIT_SHORT | 1.2628346428571429 | 0.0 | 99975.3 | 0.0 | -1.96 |
| 16 | 2023-12-04 15:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SELL_SHORT | 1.26104 | 1999.51 | 99975.3 | 0.0 | 0.0 |
| 17 | 2023-12-05 00:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SL_EXIT_SHORT | 1.2642467857142858 | 0.0 | 99970.21 | 0.0 | -5.08 |
| 18 | 2023-12-05 08:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | BUY | 1.26282 | 1499.55 | 99970.21 | 0.0 | 0.0 |
| 19 | 2023-12-05 16:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | SL_EXIT_LONG | 1.2595764285714286 | 0.0 | 99966.36 | 0.0 | -3.85 |
| 20 | 2023-12-13 19:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | BUY | 1.2627 | 1999.33 | 99966.36 | 0.0 | 0.0 |
| 21 | 2023-12-14 14:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | TP1_LONG | 1.27341 | 599.8 | 99978.23 | 0.0 | 11.87 |
| 22 | 2023-12-14 14:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | TP2_LONG | 1.271427857142857 | 0.0 | 99982.38 | 0.0 | 4.15 |
| 23 | 2023-12-15 19:00:00+00:00 | S3_Key_Level_Breakout | GBP_USD | H1 | TIME_EXIT | 1.269 | 0.0 | 99982.38 | 0.0 | 0.0 |