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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>
1.9 KiB
1.9 KiB
| 1 | time | strategy | instrument | granularity | side | price | position_size | equity | drawdown | pnl |
|---|---|---|---|---|---|---|---|---|---|---|
| 2 | 2023-10-25 01:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | SELL_SHORT | 149.861 | 1500.0 | 100000.0 | 0.0 | 0.0 |
| 3 | 2023-10-25 17:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | SL_EXIT_SHORT | 149.99057142857143 | 0.0 | 99998.7 | 0.0 | -1.3 |
| 4 | 2023-10-27 13:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | SELL_SHORT | 149.706 | 1999.97 | 99998.7 | 0.0 | 0.0 |
| 5 | 2023-10-31 03:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | SL_EXIT_SHORT | 150.1077857142857 | 0.0 | 99993.34 | 0.0 | -5.37 |
| 6 | 2023-11-17 08:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | SELL_SHORT | 149.787 | 1499.9 | 99993.34 | 0.0 | 0.0 |
| 7 | 2023-11-20 09:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | TP1_SHORT | 148.50266666666667 | 449.97 | 100002.34 | 0.0 | 9.0 |
| 8 | 2023-11-21 04:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | TP2_SHORT | 147.3275 | 0.0 | 100009.73 | 0.0 | 7.39 |
| 9 | 2023-11-22 05:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | BUY | 148.755 | 1500.15 | 100009.73 | 0.0 | 0.0 |
| 10 | 2023-11-24 05:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | TIME_EXIT | 149.256 | 0.0 | 100014.78 | 0.0 | 5.05 |
| 11 | 2023-11-27 23:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | SELL_SHORT | 148.418 | 1500.22 | 100014.78 | 0.0 | 0.0 |
| 12 | 2023-11-28 08:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | SL_EXIT_SHORT | 148.80620238095239 | 0.0 | 100010.85 | 0.0 | -3.92 |
| 13 | 2023-11-28 13:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | SELL_SHORT | 148.364 | 1500.16 | 100010.85 | 0.0 | 0.0 |
| 14 | 2023-11-28 17:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | TP1_SHORT | 147.3275 | 450.05 | 100018.19 | 0.0 | 7.34 |
| 15 | 2023-11-30 13:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | TIME_EXIT | 147.886 | 0.0 | 100019.64 | 0.0 | 1.45 |
| 16 | 2023-12-04 18:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | BUY | 147.393 | 1500.29 | 100019.64 | 0.0 | 0.0 |
| 17 | 2023-12-05 06:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | SL_EXIT_LONG | 146.89142857142855 | 0.0 | 100014.54 | 0.0 | -5.11 |
| 18 | 2023-12-06 10:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | BUY | 147.358 | 1500.22 | 100014.54 | 0.0 | 0.0 |
| 19 | 2023-12-06 13:00:00+00:00 | S3_Key_Level_Breakout | USD_JPY | H1 | SL_EXIT_LONG | 147.0760357142857 | 0.0 | 100011.67 | 0.0 | -2.87 |