fx-quant/results/phase2/trades_S7_Tight_OOS.csv at 4f911b2072b7f650d4d2228e05ec5b6d6fca55fd

mirror of https://github.com/BrentNeale1/fx-quant.git synced 2026-08-15 11:08:05 +00:00

Files

T

Brent NealeandClaude Opus 4.6 4f911b2072 Add Phase 2 backtesting pipeline: IS/OOS split, param sweep, generalization scoring

Externalize hardcoded params in S4F (5 params) and S3 (9 params) as class
attributes for sweep compatibility. Add unified backtest runner with IS/OOS
validation and generalization scores, plus parameter grid sweep (90 combos)
with OOS validation. S7/S9/S9_Filtered pass generalization; S4F/S3 confirm
defaults are near-optimal.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>

2026-02-20 10:25:08 +10:00

16 KiB

Raw Blame History

1	timestamp	strategy_id	pair	signal_direction	entry_price	sl_price	tp1_price	tp2_price	tp3_price	lot_size	confluence_score	session	spread_at_entry	atr_at_entry	adx_at_entry	rsi_at_entry	ema_50_value	ema_200_value	vwap_deviation	news_within_60min	macd_hist_at_entry	stoch_k_at_entry	distance_from_ema50_pips	candle_body_ratio	hour_of_day	day_of_week	entry_pattern	exit_price	exit_reason	exit_time	pnl_pips	pnl_dollars	hold_time_minutes	win
2	2023-01-17 08:00:00+00:00	7	GBP_JPY	SHORT	156.853	157.58993007850478	156.40510488224282	155.92820976448562	155.92820976448562	1327.94	4	LONDON	2.5	0.3179300785047944	29.332745285905396	50.99217185424026	157.02745972264546	158.42288242533115	-12.466666666668402	False	0.025865055741165252	39.53856717784316	-14.545972264545526	0.8596059113300711	8	1	liquidity_sweep_bearish	157.58993007850478	SL	2023-01-17 11:00:00+00:00	-73.69300785047699	-978.5989284496242	180	False
3	2023-01-25 14:00:00+00:00	7	GBP_JPY	LONG	160.293	159.25868918760895	160.82096621858656	161.37793243717311	161.37793243717311	936.68	4	OVERLAP	2.5	0.3713108123910361	40.56390051396234	46.85426544845374	160.50512828109868	159.7787379605993	24.78006285800518	False	-0.0332536979268942	57.51012407589763	-24.11282810986677	0.3100137174211179	14	2	liquidity_sweep_bullish	161.37793243717311	TP3	2023-01-26 14:00:00+00:00	80.64609106235355	755.3958057628531	1440	True
4	2023-01-27 14:00:00+00:00	7	GBP_JPY	LONG	160.845	160.1001034765563	161.26884478516553	161.72168957033105	161.72168957033105	1310.74	5	OVERLAP	2.5	0.30189652344368745	32.73459611366499	49.31038392008543	160.80278881570158	160.17464107094924	16.212754601434654	False	-0.05285242565206594	35.90566938385637	1.321118429842727	0.6779026217228109	14	4	liquidity_sweep_bullish	160.845	TP1+SL	2023-01-30 04:00:00+00:00	21.192239258276402	277.7751568539321	3720	True
5	2023-01-30 08:00:00+00:00	7	GBP_JPY	LONG	160.998	160.06247854774188	161.48728217838718	162.00556435677436	162.00556435677436	1046.63	4	LONDON	2.5	0.3455214522581219	29.814270281063635	52.3762512348054	160.84220911269054	160.29227975502073	12.633333333334917	False	-0.03260177565096172	43.48885057412417	12.67908873094541	0.7550471063256923	8	0	liquidity_sweep_bullish	160.06247854774188	SL	2023-01-31 13:00:00+00:00	-93.55214522581149	-979.144817576911	1740	False
6	2023-02-07 08:00:00+00:00	7	GBP_JPY	SHORT	158.514	159.27615697459103	158.09576453811346	157.64852907622694	157.64852907622694	1271.86	4	LONDON	2.5	0.29815697459102736	33.86494333414314	35.008196213806244	158.9704970298257	159.35304100713813	-8.500000000000796	False	-0.12859831779421368	12.796365888385523	-42.74970298257017	0.5626016260162577	8	1	liquidity_sweep_bearish	157.64852907622694	TP3	2023-02-07 15:00:00+00:00	64.18599975954622	816.3560565417645	420	True
7	2023-02-15 08:00:00+00:00	7	GBP_JPY	LONG	161.475	160.63822444901305	161.9331633264804	162.42032665296082	162.42032665296082	1168.2	4	LONDON	2.5	0.32477555098693867	35.760546925676536	51.202358026019404	160.9425495564048	159.76945555609316	14.799999999999613	False	-0.10316832698590783	49.40373666830891	50.345044359519875	0.6513409961685642	8	2	liquidity_sweep_bullish	160.63822444901305	SL	2023-02-16 20:00:00+00:00	-83.67755509869426	-977.5211986629463	2160	False
8	2023-02-20 13:00:00+00:00	7	GBP_JPY	LONG	161.402	160.94050661972355	161.70224007041466	162.0314801408293	162.0314801408293	2096.98	3	OVERLAP	2.5	0.21949338027643817	22.510894182920268	51.96097937721921	161.24768640682626	160.52936737096516	0.5778540364076434	False	-0.03742933521008679	26.21704986768218	12.531359317372903	0.42049469964661934	13	0	liquidity_sweep_bullish	162.0314801408293	TP3	2023-02-21 08:00:00+00:00	46.48631074634086	974.8086390886185	1140	True
9	2023-02-24 08:00:00+00:00	7	GBP_JPY	LONG	162.423	161.62274599039742	162.8338810144039	163.27376202880774	163.27376202880774	1221.48	4	LONDON	2.5	0.2932540096025817	49.40725178476419	58.24704281301323	162.23022203915804	161.64954100556935	13.866666666669403	False	0.07253722556311973	76.47493577162312	16.377796084196916	0.43518518518521687	8	4	liquidity_sweep_bullish	163.27376202880774	TP3	2023-02-27 09:00:00+00:00	63.082848661570644	770.5443798313531	4380	True
10	2023-03-01 10:00:00+00:00	7	GBP_JPY	LONG	163.523	162.8133527038778	163.98997094418328	164.4859418883666	164.4859418883666	1388.29	5	LONDON	2.5	0.33064729612219557	28.112807479887053	34.99153525085441	164.0190690325095	162.8173321092983	-42.234837800640435	False	-0.058051912792941085	19.471233816607725	-52.50690325094922	0.5142180094786736	10	2	liquidity_sweep_bullish	163.446	TIME	2023-03-03 02:00:00+00:00	-7.699999999999818	-106.89832999999747	2400	False
11	2023-03-03 10:00:00+00:00	7	GBP_JPY	LONG	163.477	162.8940483645097	163.81542745323546	164.18285490647094	164.18285490647094	1688.18	3	LONDON	2.5	0.2449516354903063	24.209943731646174	49.779455212860356	163.54019799476737	163.0700809546754	12.209907312367818	False	0.0038609886511218813	45.27194958648562	-9.219799476736057	0.680412371134087	10	4	liquidity_sweep_bullish	163.673	TIME	2023-03-07 02:00:00+00:00	19.599999999999792	330.88327999999655	5280	True
12	2023-03-10 08:00:00+00:00	7	GBP_JPY	LONG	163.132	162.11751173478035	163.6527323978295	164.20246479565898	164.20246479565898	973.33	4	LONDON	2.5	0.36648826521965927	39.61370075261295	62.79372119831741	162.53065173207335	162.82329435871725	17.900000000000205	False	0.08823316399821474	76.13268059191712	57.23482679266567	0.03708987161199815	8	4	liquidity_sweep_bullish	164.20246479565898	TP3	2023-03-10 11:00:00+00:00	79.56095947078887	774.3906868170293	180	True
13	2023-03-10 15:00:00+00:00	7	GBP_JPY	SHORT	162.441	163.48110190893985	161.73334713659025	160.9966942731805	160.9966942731805	956.81	4	OVERLAP	2.5	0.4911019089398321	38.353205888410784	42.58194566839862	162.77656439505847	162.87367816325352	-84.7592107635478	False	-0.04749520240996957	26.568477669723894	-30.65643950584729	0.6263736263736274	15	4	liquidity_sweep_bearish	162.441	TP1+SL	2023-03-12 23:00:00+00:00	35.38264317048743	338.54466811954075	3360	True
14	2023-03-17 09:00:00+00:00	7	GBP_JPY	SHORT	161.441	162.27833430132225	160.8184985480166	160.16699709603324	160.16699709603324	1192.55	3	LONDON	2.5	0.4343343013222553	25.59309143444508	51.1959070513113	161.4329863305534	162.09994512939522	-24.4159628208223	False	-0.007590317979641492	39.83896129878962	3.701366944659412	0.4830659536542096	9	4	liquidity_sweep_bearish	160.16699709603324	TP3	2023-03-17 12:00:00+00:00	94.82628609896602	1130.8508748732193	180	True
15	2023-03-23 12:00:00+00:00	7	GBP_JPY	SHORT	161.36	162.2062721045544	160.84859184316844	160.30818368633686	160.30818368633686	1193.32	4	LONDON	2.5	0.36027210455438236	25.72746134531387	48.31568171738155	161.52545861624577	161.67898587219332	-9.816317381205408	False	0.05808695066670985	46.80189585997883	-13.645861624576128	0.2023809523809638	12	3	liquidity_sweep_bearish	160.30818368633686	TP3	2023-03-23 18:00:00+00:00	78.16210494490353	932.7240307285228	360	True
16	2023-04-05 08:00:00+00:00	7	GBP_JPY	LONG	164.101	163.3533081201414	164.57253781978793	165.07307563957585	165.07307563957585	1363.13	5	LONDON	2.5	0.3336918798586102	24.79327060064265	39.31662138494484	164.50485552811688	163.4338304962397	10.400000000001342	False	-0.055322332028951815	21.403168251755574	-43.28555281168747	0.18777292576422058	8	2	liquidity_sweep_bullish	163.3533081201414	SL	2023-04-05 13:00:00+00:00	-74.76918798585928	-1019.2012321916436	300	False
17	2023-04-06 08:00:00+00:00	7	GBP_JPY	LONG	163.826	163.0348498316098	164.2532252525853	164.70945050517062	164.70945050517062	1275.37	3	LONDON	2.5	0.30415016839020953	31.91056776341332	55.32584375415158	163.8411612918208	163.43503873893894	11.999999999997613	False	0.10566291359791252	82.99181952934124	-4.416129182081363	0.09712230215827504	8	3	liquidity_sweep_bullish	163.826	TP1+SL	2023-04-07 09:00:00+00:00	21.36126262926581	272.4351351948673	1500	True
18	2023-04-14 10:00:00+00:00	7	GBP_JPY	LONG	165.85	165.37674011098275	166.19188983352586	166.56277966705173	166.56277966705173	2137.8	4	LONDON	2.5	0.24725988901724322	35.335259244596344	44.01614272595107	165.9991741471991	165.10180532231556	13.86900074088544	False	-0.027435194528438872	44.541118167418084	-17.81741471991154	0.31153846153842957	10	4	liquidity_sweep_bullish	165.85	TP1+SL	2023-04-14 17:00:00+00:00	17.094491676293444	365.4460430558013	420	True
19	2023-04-25 08:00:00+00:00	7	GBP_JPY	LONG	167.31799999999998	166.73611524125687	167.70732713811466	168.12565427622934	168.12565427622934	1745.0	4	LONDON	2.5	0.2788847587431201	19.492935415607384	46.58410450125601	167.25863101698675	166.62414892767117	8.733333333333348	False	-0.06991891227443747	44.169335608619384	3.0368983013232764	0.4020979020978326	8	1	liquidity_sweep_bullish	166.73611524125687	SL	2023-04-25 11:00:00+00:00	-58.188475874311514	-1015.3889040067359	180	False
20	2023-04-26 11:00:00+00:00	7	GBP_JPY	LONG	166.826	165.8994563017889	167.33031554731667	167.86363109463335	167.86363109463335	1084.93	4	LONDON	2.5	0.35554369821111276	38.196503064035404	59.77982653140025	166.5364413909423	166.51315006897983	25.591999543357247	False	0.13986527214800878	68.7159058283084	26.055860905771056	0.3602739726027379	11	2	liquidity_sweep_bullish	166.826	TP1+SL	2023-04-28 03:00:00+00:00	25.215777365833958	273.5735333751424	2400	True
21	2023-05-02 10:00:00+00:00	7	GBP_JPY	LONG	171.553	170.81778797300282	171.97281804049575	172.4216360809915	172.4216360809915	1370.99	3	LONDON	2.5	0.29921202699716715	27.036188444356352	49.41193732405757	170.97304944919085	168.5746126962526	5.560857486790383	False	-0.09966249908075522	16.480171879638718	55.09505508091479	0.6550925925925377	10	1	liquidity_sweep_bullish	170.81778797300282	SL	2023-05-02 13:00:00+00:00	-73.52120269971749	-1007.9683368928569	180	False
22	2023-05-04 12:00:00+00:00	7	GBP_JPY	LONG	169.257	168.4864908803068	169.7612636795398	170.2945273590796	170.2945273590796	1295.11	4	LONDON	2.5	0.3555091196932014	26.590068899600485	45.81717441284099	169.6920142120847	169.0096568659308	9.24644021950769	False	0.03772958873607929	58.538023651180026	-46.40142120846917	0.12871287128712536	12	3	liquidity_sweep_bullish	168.4864908803068	SL	2023-05-04 14:00:00+00:00	-77.05091196932017	-997.8940660058623	120	False
23	2023-05-09 08:00:00+00:00	7	GBP_JPY	LONG	170.295	169.59399055001666	170.67401417497504	171.0820283499501	171.0820283499501	1409.27	4	LONDON	2.5	0.2720094499833694	30.68395762265886	49.0840563465889	170.19138760389558	169.49266297715744	12.233333333327323	False	-0.04809688659215581	54.098892608806516	7.461239610441339	0.9237875288683233	8	1	liquidity_sweep_bullish	171.0820283499501	TP3	2023-05-10 07:00:00+00:00	58.30268471152723	821.6422448341398	1380	True
24	2023-05-31 10:00:00+00:00	7	GBP_JPY	LONG	173.138	172.4305484649206	173.55517730261911	174.00135460523822	174.00135460523822	1408.05	3	LONDON	2.5	0.2974515350794068	32.340158933238904	47.39589159119422	173.24329217527796	172.5427795153914	23.9411961935474	False	-0.03582781620810173	62.53072311735074	-13.42921752779489	0.5184331797235577	10	2	liquidity_sweep_bullish	173.138	TP1+SL	2023-05-31 15:00:00+00:00	20.858865130955447	293.7032504764182	300	True
25	2023-06-07 11:00:00+00:00	7	GBP_JPY	LONG	173.835	173.22436728657453	174.1774490701382	174.54889814027644	174.54889814027644	1636.11	4	LONDON	2.5	0.2476327134254741	36.832661497450694	63.57060864352053	173.4187369756332	173.28071485976514	35.89950334251455	False	0.07641434846964724	96.28172601678273	38.72630243668027	0.6556886227545522	11	2	liquidity_sweep_bullish	174.54889814027644	TP3	2023-06-09 00:00:00+00:00	52.81779685944965	864.1572561971417	2220	True
26	2023-06-22 08:00:00+00:00	7	GBP_JPY	LONG	181.409	180.6982371368287	181.80864429475693	182.23728858951387	182.23728858951387	1417.78	3	LONDON	2.5	0.2857628631712896	17.895682904600164	62.01872161262305	180.87989547482394	179.17813961657038	10.699999999999932	False	0.011910868153068563	66.46666451668075	50.010452517605586	0.8407643312101561	8	3	liquidity_sweep_bullish	182.23728858951387	TP3	2023-06-22 11:00:00+00:00	61.39722842871479	870.4776252166325	180	True
27	2023-06-26 13:00:00+00:00	7	GBP_JPY	LONG	182.418	181.48575590401765	182.96086614397353	183.53273228794706	183.53273228794706	1090.28	4	OVERLAP	2.5	0.381244095982346	32.391090547936486	51.29800024175066	182.1571955238508	180.44799731410907	23.496576952126702	False	-0.07723905252521529	51.16356898903035	23.180447614922173	0.7530864197530902	13	0	liquidity_sweep_bullish	183.53273228794706	TP3	2023-06-27 14:00:00+00:00	82.8809440235593	903.6343565000622	1500	True
28	2023-06-29 15:00:00+00:00	7	GBP_JPY	LONG	182.59199999999998	182.09286376589014	182.95020435116476	183.33740870232955	183.33740870232955	2054.44	3	OVERLAP	2.5	0.258136234109854	12.267319086170339	49.941186815284844	182.62696038224874	181.65089266038908	5.135898068320444	False	0.027442638534731223	51.11111111111408	-6.396038224875156	0.4560669456066045	15	3	liquidity_sweep_bullish	182.59199999999998	TP1+SL	2023-06-30 04:00:00+00:00	17.910217558238628	367.95467360347766	780	True
29	2023-07-05 08:00:00+00:00	7	GBP_JPY	LONG	183.535	182.98273468863977	183.81839796704034	184.13079593408068	184.13079593408068	1863.47	4	LONDON	2.5	0.20826531136022383	27.705714032145924	43.85604031116006	183.54145154686174	182.69228225192956	7.766666666668698	False	-0.02107732839312732	39.06187809844921	-3.545154686173646	0.20654911838789777	8	2	liquidity_sweep_bullish	183.535	TP1+SL	2023-07-05 21:00:00+00:00	14.169898352017185	264.05180482033467	780	True
30	2023-07-06 09:00:00+00:00	7	GBP_JPY	LONG	183.474	182.60717045049375	183.93524432425934	184.42548864851872	184.42548864851872	1190.28	4	LONDON	2.5	0.3268295495062394	43.03712801412934	52.278347692855704	183.41298884925865	182.84456311735545	30.50797141506507	False	-0.012236777088990208	82.92135282297102	3.201115074134009	0.7744916820702129	9	3	liquidity_sweep_bullish	183.474	TP1+SL	2023-07-06 14:00:00+00:00	23.062216212967716	274.5049471397121	300	True
31	2023-07-06 15:00:00+00:00	7	GBP_JPY	LONG	183.28799999999998	182.4308528575967	183.8352207136049	184.41144142720984	184.41144142720984	1206.93	4	OVERLAP	2.5	0.3841471424032852	33.235564823386774	47.28284034373919	183.43160712699503	182.88324756814774	-19.34606737529805	False	0.026899377248891007	39.23309924633902	-17.260712699504666	0.19144602851322085	15	3	liquidity_sweep_bullish	182.4308528575967	SL	2023-07-07 07:00:00+00:00	-85.7147142403278	-1034.5166005807882	960	False
32	2023-07-18 14:00:00+00:00	7	GBP_JPY	SHORT	181.303	182.24584661840953	180.7232300723857	180.11446014477139	180.11446014477139	1086.25	5	OVERLAP	2.5	0.40584661840953357	21.540886484627293	51.31237532673888	181.27613736906008	181.54163421949403	23.51278824399685	False	0.007855340905717823	56.62639594556199	5.586263093991306	0.011475409836073517	14	1	liquidity_sweep_bearish	180.11446014477139	TP3	2023-07-19 12:00:00+00:00	88.41658331002192	960.4251362051132	1320	True
33	2023-08-08 12:00:00+00:00	7	GBP_JPY	LONG	181.785	181.0533662449825	182.23545063252624	182.71490126505248	182.71490126505248	1412.96	5	LONDON	2.5	0.31963375501749464	44.59552252823842	42.45040920791141	181.8629128901112	181.65583251458378	-25.91445320686603	False	-0.13896720786922373	21.990170149313798	-10.691289011120375	0.08315098468273321	12	1	liquidity_sweep_bullish	182.71490126505248	TP3	2023-08-08 18:00:00+00:00	69.01825300178807	975.2003076140646	360	True
34	2023-08-21 09:00:00+00:00	7	GBP_JPY	LONG	185.746	185.00312289067608	186.12931566398586	186.54163132797174	186.54163132797174	1404.71	3	LONDON	2.5	0.2748771093239053	20.21769725192914	62.95033921827559	185.3184242752771	184.5564165468287	35.332419491351175	False	0.06972998900722238	81.27876540200798	39.857572472291736	0.9172259507830481	9	0	liquidity_sweep_bullish	186.54163132797174	TP3	2023-08-21 19:00:00+00:00	58.94791600043079	828.0472708496513	600	True
35	2023-08-24 11:00:00+00:00	7	GBP_JPY	SHORT	184.31300000000002	184.91314371103246	183.8932844334513	183.4445688669026	183.4445688669026	1752.59	3	LONDON	2.5	0.2991437110324665	21.613431296715227	47.47266395181888	184.7307509349721	184.8654247406399	-6.864836329779678	False	0.06092711939200332	30.603247728081232	-38.87509349720801	0.3846153846153311	11	3	liquidity_sweep_bearish	183.4445688669026	TP3	2023-08-25 03:00:00+00:00	64.40783049530852	1128.8051964777276	960	True
36	2023-08-25 14:00:00+00:00	7	GBP_JPY	SHORT	183.92000000000002	184.64183149497364	183.55025275753957	183.15150551507912	183.15150551507912	1472.77	4	OVERLAP	2.5	0.2658314949736258	37.10464179450578	49.9501201551098	184.15891785868124	184.62946582868443	-7.567181470571427	False	0.07189556754084372	66.00448228145032	-20.991785868122292	0.46074380165285267	14	4	liquidity_sweep_bearish	184.64183149497364	SL	2023-08-28 18:00:00+00:00	-72.18314949736282	-1063.0917708523104	4560	False

16 KiB Raw Blame History

16 KiB

Raw Blame History