mirror of
https://github.com/BrentNeale1/fx-quant.git
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Brent NealeandClaude Opus 4.6
39a6536284
- S7 Liquidity Sweep: built, tested across 6 pairs, tight SL (1.0 ATR) on GBP_JPY is Phase 2 candidate (107 trades, OOS PF 1.39, gen ratio 1.81) - S8 Order Block: built, tested on GBP_JPY (watchlist, 32 trades, OOS PF 1.55) - S9 London Session: built, tested across 8 pairs with filter experiments GBP_USD (OOS PF 1.45) and GBP_AUD filtered (OOS PF 1.94) advance to Phase 2 - Added OBV indicator to technical.py - Added GBP_NZD to engine spread/pip config - Standalone OANDA fetcher (bypasses Supabase dependency) - Fetched EUR_GBP, EUR_USD, GBP_NZD H1 data (2021-2023) - Consolidated STRATEGY_LEARNINGS.md with full Phase 1 scorecard and 11 design principles - Phase 2 roster: S7/GBP_JPY, S9/GBP_USD, S9F/GBP_AUD, S4-F/EUR_AUD, S3/GBP_JPY Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
116 lines
2.6 KiB
JSON
116 lines
2.6 KiB
JSON
{
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"S7": {
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"full": {
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"total_trades": 46,
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"win_rate": 52.17,
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"avg_rr": 0.65,
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"expectancy": -9.03,
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"profit_factor": 0.71,
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"max_dd": -6.53,
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"total_pnl_pips": -415.2,
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"total_pnl_dollars": -9603.89,
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"avg_win": 41.4,
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"avg_loss": 64.0
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},
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"train": {
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"total_trades": 34,
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"win_rate": 50.0,
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"avg_rr": 0.61,
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"expectancy": -13.27,
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"profit_factor": 0.61,
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"max_dd": -5.85,
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"total_pnl_pips": -451.2,
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"total_pnl_dollars": -8398.24,
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"avg_win": 40.8,
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"avg_loss": 67.4
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},
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"test": {
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"total_trades": 8,
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"win_rate": 50.0,
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"avg_rr": 0.84,
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"expectancy": -4.59,
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"profit_factor": 0.84,
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"max_dd": -1.99,
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"total_pnl_pips": -36.7,
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"total_pnl_dollars": -1592.82,
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"avg_win": 46.7,
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"avg_loss": 55.9
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}
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},
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"S8": {
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"full": {
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"total_trades": 15,
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"win_rate": 40.0,
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"avg_rr": 2.21,
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"expectancy": 7.05,
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"profit_factor": 1.47,
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"max_dd": -3.94,
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"total_pnl_pips": 105.8,
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"total_pnl_dollars": 477.21,
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"avg_win": 54.9,
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"avg_loss": 24.9
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},
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"train": {
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"total_trades": 11,
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"win_rate": 45.45,
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"avg_rr": 2.29,
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"expectancy": 12.19,
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"profit_factor": 1.91,
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"max_dd": -3.94,
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"total_pnl_pips": 134.1,
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"total_pnl_dollars": 1860.42,
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"avg_win": 56.4,
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"avg_loss": 24.7
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},
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"test": {
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"total_trades": 3,
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"win_rate": 33.33,
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"avg_rr": 2.41,
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"expectancy": 2.71,
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"profit_factor": 1.21,
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"max_dd": -1.0,
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"total_pnl_pips": 8.1,
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"total_pnl_dollars": -400.51,
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"avg_win": 47.6,
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"avg_loss": 19.7
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}
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},
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"S9": {
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"full": {
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"total_trades": 81,
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"win_rate": 48.15,
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"avg_rr": 0.71,
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"expectancy": -10.39,
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"profit_factor": 0.66,
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"max_dd": -12.2,
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"total_pnl_pips": -841.5,
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"total_pnl_dollars": -13091.18,
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"avg_win": 42.3,
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"avg_loss": 59.3
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},
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"train": {
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"total_trades": 54,
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"win_rate": 42.6,
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"avg_rr": 0.85,
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"expectancy": -12.08,
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"profit_factor": 0.63,
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"max_dd": -8.5,
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"total_pnl_pips": -652.1,
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"total_pnl_dollars": -12114.19,
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"avg_win": 48.4,
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"avg_loss": 57.0
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},
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"test": {
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"total_trades": 23,
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"win_rate": 69.57,
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"avg_rr": 0.6,
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"expectancy": 6.31,
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"profit_factor": 1.37,
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"max_dd": -3.66,
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"total_pnl_pips": 145.2,
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"total_pnl_dollars": 3556.41,
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"avg_win": 33.5,
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"avg_loss": 55.7
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}
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}
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} |