mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-18 04:28:05 +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>
43 lines
1015 B
JSON
43 lines
1015 B
JSON
{
|
|
"pair": "EUR_GBP",
|
|
"strategy_id": 4,
|
|
"strategy_name": "S4_EMA_Ribbon_Scalp",
|
|
"total_trades": 94,
|
|
"win_rate_pct": 32.98,
|
|
"avg_rr": 0.79,
|
|
"expectancy_pips": -2.28,
|
|
"sharpe_ratio": -7.33,
|
|
"max_drawdown_pct": -32.81,
|
|
"profit_factor": 0.38,
|
|
"total_pnl_pips": -214.69,
|
|
"total_pnl_dollars": -32530.68,
|
|
"avg_win_pips": 4.4,
|
|
"avg_loss_pips": 5.57,
|
|
"max_consecutive_wins": 4,
|
|
"max_consecutive_losses": 8,
|
|
"avg_hold_time_minutes": 35.6,
|
|
"best_trade_pips": 15.41,
|
|
"worst_trade_pips": -9.7,
|
|
"best_trade_dollars": 1819.36,
|
|
"worst_trade_dollars": -1004.2,
|
|
"final_equity": 67469.32,
|
|
"starting_equity": 100000.0,
|
|
"session_breakdown": {
|
|
"LONDON": {
|
|
"trades": 41,
|
|
"win_rate": 34.146341463414636,
|
|
"total_pnl_pips": -62.94165287269469
|
|
},
|
|
"OVERLAP": {
|
|
"trades": 53,
|
|
"win_rate": 32.075471698113205,
|
|
"total_pnl_pips": -151.75202233190254
|
|
}
|
|
},
|
|
"exit_reasons": {
|
|
"TP1+SL": 13,
|
|
"SL": 63,
|
|
"TP3": 12,
|
|
"TP1+TP2+SL": 6
|
|
}
|
|
} |