fx-quant/logs/backtest_trades_S5_GBP_AUD_M15.csv at 4e2db680494844d0d596d60daa4fda1f35af713f

mirror of https://github.com/BrentNeale1/fx-quant.git synced 2026-08-15 11:08:05 +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

5.1 KiB

Raw Blame History

1	time	strategy	instrument	granularity	side	price	position_size	equity	pnl
2	2024-01-30 07:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	BUY	1.9191	1500.0	100000.0	0.0
3	2024-01-30 08:15:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP1_LONG	1.92172779240403	900.0	100000.82	0.82
4	2024-01-30 08:15:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP2_LONG	1.9213157142857142	300.0	100001.51	0.69
5	2024-01-30 08:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TRAIL_SL_LONG	1.9211992857142859	0.0	100001.84	0.33
6	2024-01-31 01:45:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SELL_SHORT	1.9296	1500.03	100001.84	0.0
7	2024-01-31 02:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SL_EXIT_SHORT	1.93146	0.0	100000.4	-1.45
8	2024-01-31 02:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SELL_SHORT	1.93262	1500.01	100000.4	0.0
9	2024-01-31 09:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP1_SHORT	1.9247026318134	900.0	100002.85	2.46
10	2024-01-31 09:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP2_SHORT	1.92991	300.0	100003.7	0.84
11	2024-01-31 09:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP3_SHORT	1.9278775	0.0	100004.43	0.74
12	2024-02-01 05:15:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SELL_SHORT	1.93756	1500.07	100004.43	0.0
13	2024-02-01 08:15:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SL_EXIT_SHORT	1.9397392857142857	0.0	100002.74	-1.69
14	2024-02-01 08:15:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SELL_SHORT	1.93944	1500.04	100002.74	0.0
15	2024-02-01 12:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SL_EXIT_SHORT	1.9416728571428572	0.0	100001.02	-1.73
16	2024-02-02 12:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	BUY	1.93104	1500.02	100001.02	0.0
17	2024-02-02 13:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP1_LONG	1.93364256556061	900.01	100001.83	0.81
18	2024-02-02 13:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP2_LONG	1.93328	300.0	100002.52	0.7
19	2024-02-02 13:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP3_LONG	1.9349600000000002	0.0	100003.13	0.61
20	2024-02-06 04:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	BUY	1.9267	1500.05	100003.13	0.0
21	2024-02-06 11:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP1_LONG	1.93282216145225	900.03	100005.04	1.91
22	2024-02-06 11:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP2_LONG	1.9300742857142859	300.01	100006.09	1.05
23	2024-02-06 11:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP3_LONG	1.9326050000000001	0.0	100007.01	0.92
24	2024-02-07 02:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	BUY	1.92876	1500.11	100007.01	0.0
25	2024-02-07 05:15:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP1_LONG	1.93103031205897	900.06	100007.71	0.71
26	2024-02-07 05:15:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP2_LONG	1.9305842857142856	300.02	100008.28	0.57
27	2024-02-07 05:45:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TRAIL_SL_LONG	1.9302907142857144	0.0	100008.52	0.24
28	2024-02-07 08:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SELL_SHORT	1.93486	1500.13	100008.52	0.0
29	2024-02-07 10:15:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SL_EXIT_SHORT	1.9364210714285714	0.0	100007.31	-1.21
30	2024-02-07 10:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SELL_SHORT	1.93626	1500.11	100007.31	0.0
31	2024-02-08 02:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TIME_EXIT	1.93472	0.0	100008.5	1.19
32	2024-02-08 08:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SELL_SHORT	1.93876	1500.13	100008.5	0.0
33	2024-02-08 09:15:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SL_EXIT_SHORT	1.9402932142857143	0.0	100007.32	-1.19
34	2024-02-09 11:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	BUY	1.93636	1500.11	100007.32	0.0
35	2024-02-09 13:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SL_EXIT_LONG	1.9345782142857144	0.0	100005.94	-1.38
36	2024-02-09 13:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	BUY	1.93488	1500.09	100005.94	0.0
37	2024-02-09 15:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP1_LONG	1.93907799267602	900.05	100007.24	1.3
38	2024-02-09 15:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP2_LONG	1.9368657142857142	300.02	100007.85	0.62
39	2024-02-09 15:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP3_LONG	1.9383549999999998	0.0	100008.39	0.54
40	2024-02-09 20:15:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	BUY	1.93642	1500.13	100008.39	0.0
41	2024-02-09 21:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SL_EXIT_LONG	1.9355082142857143	0.0	100007.69	-0.71
42	2024-02-09 21:30:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	BUY	1.93558	1500.12	100007.69	0.0
43	2024-02-11 23:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP1_LONG	1.93755770741981	900.07	100008.3	0.61
44	2024-02-11 23:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP2_LONG	1.9368128571428571	300.02	100008.68	0.38
45	2024-02-11 23:00:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	TP3_LONG	1.9377375000000001	0.0	100009.02	0.33
46	2024-02-12 11:45:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	BUY	1.9341	1500.14	100009.02	0.0
47	2024-02-12 12:45:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	SL_EXIT_LONG	1.9327339285714285	0.0	100007.96	-1.06
48	2024-02-12 17:15:00+00:00	S5_Momentum_Exhaustion	GBP_AUD	M15	BUY	1.9321	1500.12	100007.96	0.0

5.1 KiB Raw Blame History

5.1 KiB

Raw Blame History