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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>
43 lines
1022 B
JSON
43 lines
1022 B
JSON
{
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"pair": "EUR_GBP",
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"strategy_id": 5,
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"strategy_name": "S5_Momentum_Exhaustion",
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"total_trades": 278,
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"win_rate_pct": 32.73,
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"avg_rr": 0.9,
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"expectancy_pips": -2.67,
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"sharpe_ratio": -6.16,
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"max_drawdown_pct": -66.51,
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"profit_factor": 0.43,
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"total_pnl_pips": -741.99,
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"total_pnl_dollars": -66510.95,
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"avg_win_pips": 6.35,
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"avg_loss_pips": 7.06,
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"max_consecutive_wins": 4,
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"max_consecutive_losses": 14,
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"avg_hold_time_minutes": 171.6,
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"best_trade_pips": 32.1,
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"worst_trade_pips": -22.25,
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"best_trade_dollars": 1906.94,
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"worst_trade_dollars": -1000.0,
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"final_equity": 33489.05,
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"starting_equity": 100000.0,
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"session_breakdown": {
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"LONDON": {
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"trades": 138,
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"win_rate": 36.95652173913043,
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"total_pnl_pips": -327.8603639263469
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},
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"OVERLAP": {
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"trades": 140,
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"win_rate": 28.57142857142857,
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"total_pnl_pips": -414.133370295348
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}
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},
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"exit_reasons": {
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"SL": 187,
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"TP1+TP2+SL": 28,
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"TP1+SL": 52,
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"TP3": 11
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}
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} |