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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>
45 lines
1.0 KiB
JSON
45 lines
1.0 KiB
JSON
{
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"pair": "USD_JPY",
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"strategy_id": 2,
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"strategy_name": "S2_Session_VWAP_Reversal",
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"total_trades": 390,
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"win_rate_pct": 22.82,
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"avg_rr": 2.73,
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"expectancy_pips": -1.67,
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"sharpe_ratio": -2.57,
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"max_drawdown_pct": -57.44,
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"profit_factor": 0.68,
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"total_pnl_pips": -651.03,
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"total_pnl_dollars": -56630.21,
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"avg_win_pips": 30.36,
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"avg_loss_pips": 11.14,
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"max_consecutive_wins": 2,
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"max_consecutive_losses": 14,
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"avg_hold_time_minutes": 198.3,
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"best_trade_pips": 114.02,
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"worst_trade_pips": -48.94,
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"best_trade_dollars": 3811.58,
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"worst_trade_dollars": -1000.0,
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"final_equity": 43369.79,
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"starting_equity": 100000.0,
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"session_breakdown": {
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"LONDON": {
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"trades": 195,
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"win_rate": 20.51282051282051,
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"total_pnl_pips": -700.1751316941624
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},
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"OVERLAP": {
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"trades": 195,
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"win_rate": 25.128205128205128,
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"total_pnl_pips": 49.14938750402993
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}
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},
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"exit_reasons": {
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"SL": 301,
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"TP3": 21,
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"TP1+TP2+SL": 46,
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"TP1+SL": 17,
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"TP1+TIME": 3,
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"TIME": 2
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}
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} |