fx-quant/logs/backtest_trades_S5_EUR_AUD_M15.csv at 4e2db680494844d0d596d60daa4fda1f35af713f

mirror of https://github.com/BrentNeale1/fx-quant.git synced 2026-08-12 17:58:05 +00:00

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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

6.3 KiB

Raw Blame History

1	time	strategy	instrument	granularity	side	price	position_size	equity	pnl
2	2024-01-30 11:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.64444	1500.0	100000.0	0.0
3	2024-01-30 13:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_SHORT	1.6463857142857141	0.0	99998.23	-1.77
4	2024-01-30 13:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.64588	1499.97	99998.23	0.0
5	2024-01-30 15:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_SHORT	1.6475964285714286	0.0	99996.66	-1.56
6	2024-01-30 15:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.64753	1499.95	99996.66	0.0
7	2024-01-30 19:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TP1_SHORT	1.64201884356933	899.97	99998.67	2.01
8	2024-01-30 19:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TP2_SHORT	1.6447914285714285	299.99	99999.67	1.0
9	2024-01-30 19:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TP3_SHORT	1.6427375	0.0	100000.54	0.87
10	2024-01-31 01:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.64754	1500.01	100000.54	0.0
11	2024-01-31 01:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_SHORT	1.6489789285714287	0.0	99999.23	-1.31
12	2024-01-31 02:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.64978	1499.99	99999.23	0.0
13	2024-01-31 08:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TP1_SHORT	1.64420366164255	899.99	100001.26	2.03
14	2024-01-31 08:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TP2_SHORT	1.6474685714285713	300.0	100002.1	0.84
15	2024-01-31 08:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TP3_SHORT	1.645735	0.0	100002.83	0.74
16	2024-02-01 04:45:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.64921	1500.04	100002.83	0.0
17	2024-02-01 05:15:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_SHORT	1.6512135714285714	0.0	100001.01	-1.82
18	2024-02-01 05:15:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.65162	1500.02	100001.01	0.0
19	2024-02-01 07:45:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_SHORT	1.6536557142857142	0.0	99999.16	-1.85
20	2024-02-01 07:45:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.65213	1499.99	99999.16	0.0
21	2024-02-01 08:15:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_SHORT	1.6541207142857144	0.0	99997.35	-1.81
22	2024-02-01 08:15:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.65318	1499.96	99997.35	0.0
23	2024-02-01 09:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_SHORT	1.6551460714285715	0.0	99995.57	-1.78
24	2024-02-01 10:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.6579	1499.93	99995.57	0.0
25	2024-02-01 13:15:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_SHORT	1.66039	0.0	99993.32	-2.25
26	2024-02-02 13:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	BUY	1.64717	1499.9	99993.32	0.0
27	2024-02-02 13:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TP1_LONG	1.64949727823565	899.94	99994.16	0.85
28	2024-02-02 13:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TP2_LONG	1.648977142857143	299.98	99994.82	0.66
29	2024-02-02 13:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TP3_LONG	1.6503325	0.0	99995.4	0.58
30	2024-02-02 15:15:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.65708	1499.93	99995.4	0.0
31	2024-02-04 23:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_SHORT	1.6596192857142857	0.0	99993.1	-2.3
32	2024-02-06 04:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	BUY	1.6501	1499.9	99993.1	0.0
33	2024-02-06 20:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TIME_EXIT	1.64894	0.0	99992.05	-1.05
34	2024-02-06 22:15:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	BUY	1.64886	1499.88	99992.05	0.0
35	2024-02-06 23:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_LONG	1.6479364285714286	0.0	99991.21	-0.84
36	2024-02-06 23:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	BUY	1.64806	1499.87	99991.21	0.0
37	2024-02-07 00:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_LONG	1.6472039285714286	0.0	99990.43	-0.78
38	2024-02-07 00:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	BUY	1.64772	1499.86	99990.43	0.0
39	2024-02-07 01:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_LONG	1.6466817857142857	0.0	99989.48	-0.95
40	2024-02-08 05:45:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.65354	1499.84	99989.48	0.0
41	2024-02-08 06:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_SHORT	1.654502142857143	0.0	99988.61	-0.87
42	2024-02-08 06:15:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.65432	1499.83	99988.61	0.0
43	2024-02-08 08:45:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_SHORT	1.6553517857142857	0.0	99987.67	-0.94
44	2024-02-08 14:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.65906	1499.82	99987.67	0.0
45	2024-02-08 16:45:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_SHORT	1.6605332142857143	0.0	99986.34	-1.33
46	2024-02-08 16:45:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SELL_SHORT	1.66024	1999.73	99986.34	0.0
47	2024-02-09 07:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TP1_SHORT	1.6564791946374	1199.84	99988.15	1.81
48	2024-02-09 07:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TP2_SHORT	1.6580071428571428	399.95	99989.23	1.08
49	2024-02-09 07:15:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TRAIL_SL_SHORT	1.6568335714285714	0.0	99990.05	0.82
50	2024-02-09 12:15:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	BUY	1.6536	1499.85	99990.05	0.0
51	2024-02-09 13:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_LONG	1.6522778571428571	0.0	99988.85	-1.2
52	2024-02-09 13:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	BUY	1.65303	1499.83	99988.85	0.0
53	2024-02-12 03:15:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TP1_LONG	1.65571835931301	899.9	99989.83	0.98
54	2024-02-12 03:15:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TP2_LONG	1.6549757142857142	299.97	99990.53	0.71
55	2024-02-12 03:30:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	TRAIL_SL_LONG	1.655797857142857	0.0	99991.03	0.5
56	2024-02-12 11:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	BUY	1.6514	1499.87	99991.03	0.0
57	2024-02-12 12:45:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_LONG	1.649852857142857	0.0	99989.63	-1.41
58	2024-02-12 15:15:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	BUY	1.64943	1499.84	99989.63	0.0
59	2024-02-12 16:45:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	SL_EXIT_LONG	1.6481314285714286	0.0	99988.45	-1.18
60	2024-02-12 17:00:00+00:00	S5_Momentum_Exhaustion	EUR_AUD	M15	BUY	1.6483	1499.83	99988.45	0.0

6.3 KiB Raw Blame History

6.3 KiB

Raw Blame History