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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>
18 lines
1.8 KiB
CSV
18 lines
1.8 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_GBP,M15,SELL_SHORT,0.8555,1500.0,100000.0,0.0,0.0
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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