fx-quant/logs/backtest_trades_S5_GBP_CAD_M15.csv at 4e2db680494844d0d596d60daa4fda1f35af713f

mirror of https://github.com/BrentNeale1/fx-quant.git synced 2026-08-12 17:58:05 +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

2.8 KiB

Raw Blame History

1	time	strategy	instrument	granularity	side	price	position_size	equity	pnl
2	2024-01-30 07:45:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	BUY	1.70214	1500.0	100000.0	0.0
3	2024-01-30 08:00:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	SL_EXIT_LONG	1.7013214285714287	0.0	99999.28	-0.72
4	2024-01-30 08:00:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	BUY	1.70135	1499.99	99999.28	0.0
5	2024-01-30 08:15:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	SL_EXIT_LONG	1.7003857142857142	0.0	99998.43	-0.85
6	2024-01-30 08:15:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	BUY	1.70174	1499.98	99998.43	0.0
7	2024-01-30 09:00:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	SL_EXIT_LONG	1.7006750000000002	0.0	99997.49	-0.94
8	2024-01-30 09:00:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	BUY	1.69928	1499.96	99997.49	0.0
9	2024-01-30 13:45:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	TP1_LONG	1.70331863725739	899.98	99998.92	1.43
10	2024-01-30 13:45:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	TP2_LONG	1.7011142857142856	299.99	99999.56	0.65
11	2024-01-30 13:45:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	TP3_LONG	1.7024899999999998	0.0	100000.13	0.57
12	2024-02-01 19:30:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	SELL_SHORT	1.7066	1500.0	100000.13	0.0
13	2024-02-02 11:30:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	TIME_EXIT	1.70661	0.0	100000.12	-0.01
14	2024-02-02 16:45:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	BUY	1.69922	1500.0	100000.12	0.0
15	2024-02-05 08:45:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	TIME_EXIT	1.70097	0.0	100001.67	1.54
16	2024-02-05 12:45:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	BUY	1.69472	1500.02	100001.67	0.0
17	2024-02-06 04:45:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	TIME_EXIT	1.69645	0.0	100003.2	1.53
18	2024-02-07 07:30:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	SELL_SHORT	1.70121	1500.05	100003.2	0.0
19	2024-02-07 07:45:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	SL_EXIT_SHORT	1.7019610714285716	0.0	100002.54	-0.66
20	2024-02-07 08:00:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	SELL_SHORT	1.70226	1500.04	100002.54	0.0
21	2024-02-07 11:00:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	SL_EXIT_SHORT	1.7032114285714286	0.0	100001.7	-0.84
22	2024-02-08 13:45:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	BUY	1.69671	1500.03	100001.7	0.0
23	2024-02-08 14:45:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	TP1_LONG	1.69922005394069	900.02	100002.58	0.89
24	2024-02-08 14:45:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	TP2_LONG	1.6988614285714285	300.01	100003.35	0.76
25	2024-02-08 15:00:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	TRAIL_SL_LONG	1.6975371428571429	0.0	100003.49	0.15
26	2024-02-09 12:30:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	BUY	1.69562	1500.05	100003.49	0.0
27	2024-02-09 13:30:00+00:00	S5_Momentum_Exhaustion	GBP_CAD	M15	SL_EXIT_LONG	1.694435	0.0	100002.44	-1.05

2.8 KiB Raw Blame History

2.8 KiB

Raw Blame History