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>
27 lines
2.7 KiB
CSV
27 lines
2.7 KiB
CSV
time,strategy,instrument,granularity,side,price,position_size,equity,drawdown,pnl
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2024-01-30 05:30:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,BUY,1.45093,1500.0,100000.0,0.0,0.0
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2024-01-30 06:45:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,SL_EXIT_LONG,1.450350357142857,0.0,99999.4,0.0,-0.6
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2024-01-30 07:15:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,BUY,1.45016,1499.99,99999.4,0.0,0.0
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2024-01-30 10:30:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TP1_LONG,1.45215332890413,899.99,100000.23,0.0,0.82
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2024-01-30 10:30:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TP2_LONG,1.4510757142857142,300.0,100000.6,0.0,0.38
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2024-01-30 10:30:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TP3_LONG,1.4517624999999998,0.0,100000.94,0.0,0.33
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2024-01-30 13:00:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,SELL_SHORT,1.45641,1500.01,100000.94,0.0,0.0
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2024-01-30 18:00:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TP1_SHORT,1.45320875151639,900.01,100002.25,0.0,1.32
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2024-01-30 18:00:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TP2_SHORT,1.45461,300.0,100003.0,0.0,0.74
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2024-01-30 18:00:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TP3_SHORT,1.45326,0.0,100003.65,0.0,0.65
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2024-01-31 12:30:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,SELL_SHORT,1.45605,1500.05,100003.65,0.0,0.0
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2024-01-31 14:45:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,SL_EXIT_SHORT,1.4573164285714286,0.0,100002.34,0.0,-1.3
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2024-02-05 20:45:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,SELL_SHORT,1.45456,1500.04,100002.34,0.0,0.0
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2024-02-06 03:45:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TP1_SHORT,1.45277725230381,900.02,100003.08,0.0,0.74
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2024-02-06 03:45:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TP2_SHORT,1.4533142857142858,300.01,100003.59,0.0,0.51
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2024-02-06 04:30:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TRAIL_SL_SHORT,1.452865,0.0,100003.94,0.0,0.35
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2024-02-06 17:45:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,BUY,1.45003,1500.06,100003.94,0.0,0.0
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2024-02-07 07:45:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TP1_LONG,1.4523581365203,900.04,100004.9,0.0,0.96
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2024-02-07 07:45:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TP2_LONG,1.45196,300.01,100005.7,0.0,0.8
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2024-02-07 08:00:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TRAIL_SL_LONG,1.45207,0.0,100006.12,0.0,0.42
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2024-02-08 14:00:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,BUY,1.44873,1500.09,100006.12,0.0,0.0
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2024-02-08 14:45:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TP1_LONG,1.45047619184842,900.06,100006.85,0.0,0.72
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2024-02-08 14:45:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TP2_LONG,1.45027,300.02,100007.48,0.0,0.64
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2024-02-08 15:00:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,TRAIL_SL_LONG,1.4493964285714285,0.0,100007.62,0.0,0.14
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2024-02-12 15:45:00+00:00,S5_Momentum_Exhaustion,EUR_CAD,M15,BUY,1.44805,1500.11,100007.62,0.0,0.0
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