mirror of
https://github.com/BrentNeale1/fx-quant.git
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Brent NealeandClaude Opus 4.6
edbe359d1b
- S3 Key Level Breakout: best performer (52-53% WR, PF ~1.0 on JPY crosses) - S4 EMA Ribbon: tested 7 variants (D/E/F/F-v2/G/G-Minimal), exhausted - Only EUR_AUD S4-F marginally profitable (PF 1.06) - Detailed filter funnel analysis revealed contradictory filter stacking - S5 Momentum Exhaustion: extended to 5 pairs, PF 0.43-0.77 - S6 EMA Bounce: 59-60% WR but PF 0.83-0.84, needs SL/TP restructuring - Added STRATEGY_LEARNINGS.md with design principles and next steps - Added M5 data downloader for 3-timeframe strategies - Updated README with full strategy scorecard Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
47 lines
1.1 KiB
JSON
47 lines
1.1 KiB
JSON
{
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"pair": "EUR_AUD",
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"strategy_id": 4,
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"strategy_name": "S4_EMA_Ribbon_Scalp",
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"total_trades": 531,
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"win_rate_pct": 39.74,
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"avg_rr": 1.14,
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"expectancy_pips": -3.24,
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"sharpe_ratio": -2.21,
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"max_drawdown_pct": -60.51,
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"profit_factor": 0.74,
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"total_pnl_pips": -1721.5,
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"total_pnl_dollars": -57192.16,
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"avg_win_pips": 24.67,
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"avg_loss_pips": 21.65,
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"max_consecutive_wins": 5,
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"max_consecutive_losses": 13,
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"avg_hold_time_minutes": 276.4,
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"best_trade_pips": 86.03,
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"worst_trade_pips": -44.06,
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"best_trade_dollars": 1812.98,
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"worst_trade_dollars": -1062.74,
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"final_equity": 42807.84,
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"starting_equity": 100000.0,
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"session_breakdown": {
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"LONDON": {
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"trades": 329,
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"win_rate": 41.03343465045592,
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"total_pnl_pips": -1070.278089009583
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},
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"OVERLAP": {
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"trades": 202,
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"win_rate": 37.62376237623762,
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"total_pnl_pips": -651.2189908399273
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}
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},
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"exit_reasons": {
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"TP1+TP2+SL": 80,
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"TP1+TP2+TIME": 9,
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"SL": 319,
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"TP1+SL": 67,
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"TP3": 50,
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"TP1+TIME": 3,
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"TIME": 2,
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"TP1+TP2+END": 1
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}
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} |