mirror of
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>
61 lines
6.3 KiB
CSV
61 lines
6.3 KiB
CSV
time,strategy,instrument,granularity,side,price,position_size,equity,drawdown,pnl
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2024-01-30 11:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.64444,1500.0,100000.0,0.0,0.0
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2024-01-30 13:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_SHORT,1.6463857142857141,0.0,99998.23,0.0,-1.77
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2024-01-30 13:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.64588,1499.97,99998.23,0.0,0.0
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2024-01-30 15:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_SHORT,1.6475964285714286,0.0,99996.66,0.0,-1.56
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2024-01-30 15:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.64753,1499.95,99996.66,0.0,0.0
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2024-01-30 19:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TP1_SHORT,1.64201884356933,899.97,99998.67,0.0,2.01
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2024-01-30 19:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TP2_SHORT,1.6447914285714285,299.99,99999.67,0.0,1.0
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2024-01-30 19:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TP3_SHORT,1.6427375,0.0,100000.54,0.0,0.87
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2024-01-31 01:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.64754,1500.01,100000.54,0.0,0.0
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2024-01-31 01:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_SHORT,1.6489789285714287,0.0,99999.23,0.0,-1.31
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2024-01-31 02:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.64978,1499.99,99999.23,0.0,0.0
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2024-01-31 08:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TP1_SHORT,1.64420366164255,899.99,100001.26,0.0,2.03
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2024-01-31 08:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TP2_SHORT,1.6474685714285713,300.0,100002.1,0.0,0.84
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2024-01-31 08:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TP3_SHORT,1.645735,0.0,100002.83,0.0,0.74
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2024-02-01 04:45:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.64921,1500.04,100002.83,0.0,0.0
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2024-02-01 05:15:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_SHORT,1.6512135714285714,0.0,100001.01,0.0,-1.82
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2024-02-01 05:15:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.65162,1500.02,100001.01,0.0,0.0
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2024-02-01 07:45:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_SHORT,1.6536557142857142,0.0,99999.16,0.0,-1.85
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2024-02-01 07:45:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.65213,1499.99,99999.16,0.0,0.0
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2024-02-01 08:15:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_SHORT,1.6541207142857144,0.0,99997.35,0.0,-1.81
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2024-02-01 08:15:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.65318,1499.96,99997.35,0.0,0.0
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2024-02-01 09:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_SHORT,1.6551460714285715,0.0,99995.57,0.0,-1.78
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2024-02-01 10:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.6579,1499.93,99995.57,0.0,0.0
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2024-02-01 13:15:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_SHORT,1.66039,0.0,99993.32,0.0,-2.25
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2024-02-02 13:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,BUY,1.64717,1499.9,99993.32,0.0,0.0
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2024-02-02 13:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TP1_LONG,1.64949727823565,899.94,99994.16,0.0,0.85
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2024-02-02 13:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TP2_LONG,1.648977142857143,299.98,99994.82,0.0,0.66
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2024-02-02 13:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TP3_LONG,1.6503325,0.0,99995.4,0.0,0.58
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2024-02-02 15:15:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.65708,1499.93,99995.4,0.0,0.0
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2024-02-04 23:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_SHORT,1.6596192857142857,0.0,99993.1,0.0,-2.3
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2024-02-06 04:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,BUY,1.6501,1499.9,99993.1,0.0,0.0
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2024-02-06 20:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TIME_EXIT,1.64894,0.0,99992.05,0.0,-1.05
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2024-02-06 22:15:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,BUY,1.64886,1499.88,99992.05,0.0,0.0
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2024-02-06 23:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_LONG,1.6479364285714286,0.0,99991.21,0.0,-0.84
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2024-02-06 23:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,BUY,1.64806,1499.87,99991.21,0.0,0.0
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2024-02-07 00:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_LONG,1.6472039285714286,0.0,99990.43,0.0,-0.78
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2024-02-07 00:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,BUY,1.64772,1499.86,99990.43,0.0,0.0
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2024-02-07 01:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_LONG,1.6466817857142857,0.0,99989.48,0.0,-0.95
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2024-02-08 05:45:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.65354,1499.84,99989.48,0.0,0.0
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2024-02-08 06:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_SHORT,1.654502142857143,0.0,99988.61,0.0,-0.87
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2024-02-08 06:15:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.65432,1499.83,99988.61,0.0,0.0
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2024-02-08 08:45:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_SHORT,1.6553517857142857,0.0,99987.67,0.0,-0.94
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2024-02-08 14:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.65906,1499.82,99987.67,0.0,0.0
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2024-02-08 16:45:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_SHORT,1.6605332142857143,0.0,99986.34,0.0,-1.33
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2024-02-08 16:45:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SELL_SHORT,1.66024,1999.73,99986.34,0.0,0.0
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2024-02-09 07:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TP1_SHORT,1.6564791946374,1199.84,99988.15,0.0,1.81
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2024-02-09 07:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TP2_SHORT,1.6580071428571428,399.95,99989.23,0.0,1.08
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2024-02-09 07:15:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TRAIL_SL_SHORT,1.6568335714285714,0.0,99990.05,0.0,0.82
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2024-02-09 12:15:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,BUY,1.6536,1499.85,99990.05,0.0,0.0
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2024-02-09 13:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_LONG,1.6522778571428571,0.0,99988.85,0.0,-1.2
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2024-02-09 13:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,BUY,1.65303,1499.83,99988.85,0.0,0.0
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2024-02-12 03:15:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TP1_LONG,1.65571835931301,899.9,99989.83,0.0,0.98
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2024-02-12 03:15:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TP2_LONG,1.6549757142857142,299.97,99990.53,0.0,0.71
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2024-02-12 03:30:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,TRAIL_SL_LONG,1.655797857142857,0.0,99991.03,0.0,0.5
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2024-02-12 11:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,BUY,1.6514,1499.87,99991.03,0.0,0.0
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2024-02-12 12:45:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_LONG,1.649852857142857,0.0,99989.63,0.0,-1.41
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2024-02-12 15:15:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,BUY,1.64943,1499.84,99989.63,0.0,0.0
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2024-02-12 16:45:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,SL_EXIT_LONG,1.6481314285714286,0.0,99988.45,0.0,-1.18
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2024-02-12 17:00:00+00:00,S5_Momentum_Exhaustion,EUR_AUD,M15,BUY,1.6483,1499.83,99988.45,0.0,0.0
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