mirror of
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>
28 lines
2.8 KiB
CSV
28 lines
2.8 KiB
CSV
time,strategy,instrument,granularity,side,price,position_size,equity,drawdown,pnl
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2024-01-30 07:45:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,BUY,1.70214,1500.0,100000.0,0.0,0.0
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2024-01-30 08:00:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,SL_EXIT_LONG,1.7013214285714287,0.0,99999.28,0.0,-0.72
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2024-01-30 08:00:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,BUY,1.70135,1499.99,99999.28,0.0,0.0
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2024-01-30 08:15:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,SL_EXIT_LONG,1.7003857142857142,0.0,99998.43,0.0,-0.85
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2024-01-30 08:15:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,BUY,1.70174,1499.98,99998.43,0.0,0.0
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2024-01-30 09:00:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,SL_EXIT_LONG,1.7006750000000002,0.0,99997.49,0.0,-0.94
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2024-01-30 09:00:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,BUY,1.69928,1499.96,99997.49,0.0,0.0
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2024-01-30 13:45:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,TP1_LONG,1.70331863725739,899.98,99998.92,0.0,1.43
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2024-01-30 13:45:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,TP2_LONG,1.7011142857142856,299.99,99999.56,0.0,0.65
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2024-01-30 13:45:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,TP3_LONG,1.7024899999999998,0.0,100000.13,0.0,0.57
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2024-02-01 19:30:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,SELL_SHORT,1.7066,1500.0,100000.13,0.0,0.0
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2024-02-02 11:30:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,TIME_EXIT,1.70661,0.0,100000.12,0.0,-0.01
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2024-02-02 16:45:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,BUY,1.69922,1500.0,100000.12,0.0,0.0
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2024-02-05 08:45:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,TIME_EXIT,1.70097,0.0,100001.67,0.0,1.54
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2024-02-05 12:45:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,BUY,1.69472,1500.02,100001.67,0.0,0.0
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2024-02-06 04:45:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,TIME_EXIT,1.69645,0.0,100003.2,0.0,1.53
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2024-02-07 07:30:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,SELL_SHORT,1.70121,1500.05,100003.2,0.0,0.0
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2024-02-07 07:45:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,SL_EXIT_SHORT,1.7019610714285716,0.0,100002.54,0.0,-0.66
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2024-02-07 08:00:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,SELL_SHORT,1.70226,1500.04,100002.54,0.0,0.0
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2024-02-07 11:00:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,SL_EXIT_SHORT,1.7032114285714286,0.0,100001.7,0.0,-0.84
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2024-02-08 13:45:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,BUY,1.69671,1500.03,100001.7,0.0,0.0
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2024-02-08 14:45:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,TP1_LONG,1.69922005394069,900.02,100002.58,0.0,0.89
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2024-02-08 14:45:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,TP2_LONG,1.6988614285714285,300.01,100003.35,0.0,0.76
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2024-02-08 15:00:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,TRAIL_SL_LONG,1.6975371428571429,0.0,100003.49,0.0,0.15
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2024-02-09 12:30:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,BUY,1.69562,1500.05,100003.49,0.0,0.0
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2024-02-09 13:30:00+00:00,S5_Momentum_Exhaustion,GBP_CAD,M15,SL_EXIT_LONG,1.694435,0.0,100002.44,0.0,-1.05
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