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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>
1.8 KiB
1.8 KiB
| 1 | time | strategy | instrument | granularity | side | price | position_size | equity | drawdown | pnl |
|---|---|---|---|---|---|---|---|---|---|---|
| 2 | 2024-01-30 11:30:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | SELL_SHORT | 0.8555 | 1500.0 | 100000.0 | 0.0 | 0.0 |
| 3 | 2024-01-30 13:00:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | SL_EXIT_SHORT | 0.8561964285714286 | 0.0 | 99998.78 | 0.0 | -1.22 |
| 4 | 2024-01-30 13:00:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | SELL_SHORT | 0.85587 | 1999.98 | 99998.78 | 0.0 | 0.0 |
| 5 | 2024-01-30 15:00:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | SL_EXIT_SHORT | 0.8565428571428572 | 0.0 | 99997.21 | 0.0 | -1.57 |
| 6 | 2024-01-30 15:15:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | SELL_SHORT | 0.85638 | 1499.96 | 99997.21 | 0.0 | 0.0 |
| 7 | 2024-01-30 18:45:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | TP1_SHORT | 0.854254919002561 | 899.97 | 99998.7 | 0.0 | 1.49 |
| 8 | 2024-01-30 18:45:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | TP2_SHORT | 0.8552528571428571 | 299.99 | 99999.49 | 0.0 | 0.79 |
| 9 | 2024-01-30 18:45:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | TP3_SHORT | 0.8544075000000001 | 0.0 | 100000.18 | 0.0 | 0.69 |
| 10 | 2024-02-05 02:30:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | SELL_SHORT | 0.85522 | 1500.0 | 100000.18 | 0.0 | 0.0 |
| 11 | 2024-02-05 07:15:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | TP1_SHORT | 0.854116705954906 | 900.0 | 100000.95 | 0.0 | 0.77 |
| 12 | 2024-02-05 07:15:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | TP2_SHORT | 0.8546285714285714 | 300.0 | 100001.37 | 0.0 | 0.41 |
| 13 | 2024-02-05 07:15:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | TP3_SHORT | 0.854185 | 0.0 | 100001.73 | 0.0 | 0.36 |
| 14 | 2024-02-05 13:00:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | SELL_SHORT | 0.85584 | 1500.03 | 100001.73 | 0.0 | 0.0 |
| 15 | 2024-02-05 15:45:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | SL_EXIT_SHORT | 0.856665 | 0.0 | 100000.28 | 0.0 | -1.45 |
| 16 | 2024-02-06 17:30:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | BUY | 0.85351 | 1500.0 | 100000.28 | 0.0 | 0.0 |
| 17 | 2024-02-07 08:00:00+00:00 | S5_Momentum_Exhaustion | EUR_GBP | M15 | SL_EXIT_LONG | 0.852865 | 0.0 | 99999.15 | 0.0 | -1.13 |