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Brent Neale dce54845c2 Phase 1: Event-driven backtester, 5 strategies, and baseline results

- 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>

2026-02-18 06:04:40 +10:00

README.md

Phase 1: Event-driven backtester, 5 strategies, and baseline results

2026-02-18 06:04:40 +10:00

README.md

TEST SET - DO NOT TOUCH UNTIL PHASE 4

This directory contains the 30% held-out test set (September 2023 - December 2024).

DO NOT access, read, analyze, or use this data during Phases 1-3.

This data is reserved exclusively for final model validation in Phase 4. Any premature access invalidates the out-of-sample evaluation.

If you need to test something, use the training set in data/processed/.