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fx-quant/logs/backtest_trades_S5_GBP_AUD_M15.csv
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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

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