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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>
20 lines
1.9 KiB
CSV
20 lines
1.9 KiB
CSV
time,strategy,instrument,granularity,side,price,position_size,equity,drawdown,pnl
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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