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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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2023-10-26 12:00:00+00:00,S3_Key_Level_Breakout,GBP_USD,H1,BUY,1.21248,1500.0,100000.0,0.0,0.0
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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