mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-17 12:08:07 +00:00
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>
46 lines
1.1 KiB
JSON
46 lines
1.1 KiB
JSON
{
|
|
"pair": "EUR_USD",
|
|
"strategy_id": 2,
|
|
"strategy_name": "S2_Session_VWAP_Reversal",
|
|
"total_trades": 384,
|
|
"win_rate_pct": 25.0,
|
|
"avg_rr": 2.47,
|
|
"expectancy_pips": -1.3,
|
|
"sharpe_ratio": -1.61,
|
|
"max_drawdown_pct": -54.94,
|
|
"profit_factor": 0.78,
|
|
"total_pnl_pips": -499.49,
|
|
"total_pnl_dollars": -46914.05,
|
|
"avg_win_pips": 24.3,
|
|
"avg_loss_pips": 9.84,
|
|
"max_consecutive_wins": 5,
|
|
"max_consecutive_losses": 19,
|
|
"avg_hold_time_minutes": 201.2,
|
|
"best_trade_pips": 77.52,
|
|
"worst_trade_pips": -24.78,
|
|
"best_trade_dollars": 6405.35,
|
|
"worst_trade_dollars": -1103.24,
|
|
"final_equity": 53085.95,
|
|
"starting_equity": 100000.0,
|
|
"session_breakdown": {
|
|
"LONDON": {
|
|
"trades": 217,
|
|
"win_rate": 27.64976958525346,
|
|
"total_pnl_pips": -202.79071203238428
|
|
},
|
|
"OVERLAP": {
|
|
"trades": 167,
|
|
"win_rate": 21.55688622754491,
|
|
"total_pnl_pips": -296.70058575933086
|
|
}
|
|
},
|
|
"exit_reasons": {
|
|
"SL": 287,
|
|
"TP3": 35,
|
|
"TP1+TP2+SL": 43,
|
|
"TP1+SL": 12,
|
|
"TIME": 4,
|
|
"TP1+TIME": 2,
|
|
"TP1+TP2+TIME": 1
|
|
}
|
|
} |