fx-quant/results/s3_expansion/trades_S3_GBP_AUD_OOS.csv at 935e02bdc651dd27e8ab9ee72fa33e2a9b216cc9

mirror of https://github.com/BrentNeale1/fx-quant.git synced 2026-08-26 00:18:05 +00:00

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T

Brent NealeandClaude Opus 4.6 935e02bdc6 Add held-out test set validation and S3 multi-pair expansion

Test set (Sep 2023 - Dec 2024): only S9_Filtered passes (PF=1.13),
portfolio PF=0.91 FAIL. S3 expansion to GBP_USD, EUR_USD, GBP_AUD
shows no generalization — GBP_JPY remains the only viable pair.
No strategy is consistently profitable across all 4 validation periods.

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

2026-02-21 12:41:44 +10:00

12 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	2023-01-04 08:00:00+00:00	3	GBP_AUD	SHORT	1.75258	1.75995043777929	1.7458986866621296	1.7412844777702157	1.7343631644323452	131988.82	4	LONDON	2.0	0.004614208891913723	49.573937881615656	20.424096559996798	1.7723158462237631	1.7825514525933792	-23.299999999999432	False	-0.0026690810295674937	9.299634753718575	-194.958462237631	0.5738295318127294	8	2	key_level_break	1.75995043777929	SL	2023-01-04 15:00:00+00:00	-73.70437779290029	-972.8153853719114	420	False
3	2023-01-24 15:00:00+00:00	3	GBP_AUD	SHORT	1.74654	1.7505067293733951	1.7409638118798152	1.7370863531330254	1.7312701650128406	242791.26	4	OVERLAP	2.0	0.0038774587467898256	43.9195312645246	22.597371078742754	1.7646991232468434	1.7677050207048488	-67.0637540318264	False	-0.0005663438414578786	24.576336781745468	-179.19123246843415	0.6112334801762068	15	1	key_level_break	1.7505067293733951	SL	2023-01-24 17:00:00+00:00	-39.6672937339515	-963.087222645619	120	False
4	2023-01-31 15:00:00+00:00	3	GBP_AUD	SHORT	1.7463	1.751406143236395	1.7411590702908153	1.7375717838180256	1.7321908541088409	186727.3	5	OVERLAP	2.0	0.0035872864727897916	35.80278761767335	36.4229090217556	1.7506837774862782	1.7531006501810216	-84.09052436613607	False	-0.0009541412045604067	13.517070402722021	-41.43777486278255	0.7688679245283075	15	1	key_level_break	1.7321908541088409	TP3	2023-02-01 23:00:00+00:00	83.69487534695439	1562.8118097373358	1920	True
5	2023-02-14 08:00:00+00:00	3	GBP_AUD	LONG	1.74858	1.7428970578822605	1.7521918263532186	1.7547597105886976	1.7586115369419164	170525.13	4	LONDON	2.0	0.0025678842354790892	21.26081085142989	65.77124824132098	1.742975380859534	1.742043481440642	15.83333333333492	False	0.00035968826205958024	52.842866361325775	53.64619140465931	0.9518304431599478	8	1	key_level_break	1.74858	TP1+SL	2023-02-14 12:00:00+00:00	14.447305412874202	246.3628633680077	240	True
6	2023-02-17 13:00:00+00:00	3	GBP_AUD	LONG	1.7513	1.748034562350494	1.7551055437177494	1.7578025728629156	1.761848116580665	297524.62	4	OVERLAP	2.0	0.0026970291451662493	28.803530957019433	64.88671140809203	1.7453625477086547	1.743779757910038	19.556158173987814	False	0.0006642915157436418	78.22666173387637	56.974522913453285	0.5092936802974171	13	4	key_level_break	1.748034562350494	SL	2023-02-19 22:00:00+00:00	-32.65437649506042	-971.5480958029784	3420	False
7	2023-02-27 13:00:00+00:00	3	GBP_AUD	LONG	1.78782	1.7841289858058524	1.7915680425824425	1.7942267376374044	1.798214780219847	260587.62	4	OVERLAP	2.0	0.0026586950549617426	44.65304753144354	75.44757070352006	1.7745352792422242	1.7612393435654607	44.92714789407825	False	0.0005719542835611099	96.9542886233496	130.4472075777574	0.6969696969697057	13	0	key_level_break	1.798214780219847	TP3	2023-02-28 08:00:00+00:00	61.408681319081715	1600.2342112277965	1140	True
8	2023-03-06 15:00:00+00:00	3	GBP_AUD	LONG	1.78651	1.782001291643862	1.7900861250684148	1.792630208447358	1.7964463335157725	216876.96	4	OVERLAP	2.0	0.0025440833789431433	31.58373461617905	66.24802833730976	1.78019619922447	1.7752674006089468	16.380380321798782	False	0.00014831980913040032	41.13082415374399	60.73800775530103	0.6405228758169679	15	0	key_level_break	1.7964463335157725	TP3	2023-03-07 03:00:00+00:00	58.658001094635814	1272.1568957081288	720	True
9	2023-03-09 14:00:00+00:00	3	GBP_AUD	LONG	1.79958	1.797198809096259	1.8032735727112226	1.8058959545187043	1.8098295272299267	415992.06	4	OVERLAP	2.0	0.0026223818074817117	23.517481522748913	62.09599778412578	1.7943475012728247	1.7850658619204924	28.132454520073402	False	0.0002878029725906712	77.28177097190725	49.92498727175221	0.6954177897574004	14	3	key_level_break	1.8098295272299267	TP3	2023-03-09 20:00:00+00:00	60.53716337956148	2518.2979300820343	360	True
10	2023-03-20 08:00:00+00:00	3	GBP_AUD	LONG	1.82669	1.8234200934872884	1.8315947195381346	1.8350245325635575	1.8401692521016921	310632.58	4	LONDON	2.0	0.003429813025423064	40.345588557165556	65.82495184473467	1.8177171146803568	1.8120367470629126	17.100000000001003	False	0.0010372973713378458	86.70273585115409	87.32885319643113	0.82867783985098	8	0	key_level_break	1.8234200934872884	SL	2023-03-20 10:00:00+00:00	-32.69906512711528	-1015.739496402385	120	False
11	2023-03-23 12:00:00+00:00	3	GBP_AUD	LONG	1.83359	1.8306600147617391	1.8382459557147828	1.8415099261913044	1.8464058819060871	343203.81	4	LONDON	2.0	0.0032639704765217545	36.91344565145911	55.98313853594363	1.8302932131503336	1.8219235361192736	26.94136068674302	False	0.00014347467723047926	69.38863426950797	30.56786849666482	0.6338912133891389	12	3	key_level_break	1.8363307628957357	TP1+TP2+SL	2023-03-24 06:00:00+00:00	55.78505341581951	1914.5642873362774	1080	True
12	2023-03-30 12:00:00+00:00	3	GBP_AUD	LONG	1.84825	1.841862001226352	1.8519639963209444	1.854599993868241	1.8585539901891854	160414.52	5	LONDON	2.0	0.0026359975472963902	22.390538250301585	65.201635615886	1.8425131087751736	1.835979505054222	49.74690718824615	False	0.00046027047863472065	81.20630203316337	54.96891224826328	0.9126365054602323	12	3	key_level_break	1.84825	TP1+SL	2023-03-31 08:00:00+00:00	14.855985283777962	238.31157484243053	1200	True
13	2023-04-20 12:00:00+00:00	3	GBP_AUD	SHORT	1.845	1.8511506121706383	1.8410921634880861	1.83832693914681	1.8341791026348961	166993.27	5	LONDON	2.0	0.00276522434127596	25.942817443222765	37.869281313482	1.8502074838802114	1.8516249638388096	-39.60049376337871	False	-0.0009191902962523517	12.58801485987352	-49.67483880211398	0.8586497890295457	12	3	key_level_break	1.845	TP1+SL	2023-04-20 18:00:00+00:00	15.63134604765537	261.0329590999546	360	True
14	2023-05-10 12:00:00+00:00	3	GBP_AUD	SHORT	1.85943	1.8663996632785695	1.8557495815928629	1.853135969321438	1.849215550914301	147743.32	5	LONDON	2.0	0.002613612271424753	27.163335783870693	32.70958025469686	1.866095329085992	1.8708765537334544	-60.89518599282195	False	-0.00045790906463332424	31.28652976641187	-64.25329085992138	0.6502546689303836	12	2	key_level_break	1.8663996632785695	SL	2023-05-10 14:00:00+00:00	-69.69663278569627	-1029.7211920579616	120	False
15	2023-05-18 13:00:00+00:00	3	GBP_AUD	LONG	1.8795	1.8756468367167667	1.8840594898496994	1.887259149749499	1.8920586395991985	264568.07	5	OVERLAP	2.0	0.003199659899799651	20.128236847847674	60.156984578477896	1.874528202168623	1.8719966426470547	37.5473669624915	False	8.583346243428932e-05	73.59710770139083	47.31797831377005	0.5542635658914405	13	3	key_level_break	1.8756468367167667	SL	2023-05-18 16:00:00+00:00	-38.53163283233263	-1019.4239732398878	180	False
16	2023-05-24 13:00:00+00:00	3	GBP_AUD	LONG	1.89063	1.8845668931745028	1.8952173204764917	1.8984355341274861	1.9032628546039778	166454.22	4	OVERLAP	2.0	0.0032182136509944313	46.49406466972276	69.80204453088322	1.87855185050997	1.8738439612502868	35.78312787565707	False	0.0002060582334432147	58.36860061211877	118.38149490029924	0.7417943107221076	13	2	key_level_break	1.89063	TP1+SL	2023-05-28 21:00:00+00:00	18.349281905966745	305.4315407217808	6240	True
17	2023-06-06 14:00:00+00:00	3	GBP_AUD	SHORT	1.86193	1.8669925627424935	1.8567398117725202	1.8531196862875337	1.8476894980600538	199954.87	4	OVERLAP	2.0	0.003620125484986558	70.18935843884908	27.234884205110205	1.8776130102901378	1.8880450629531056	-20.025364097937537	False	-0.000573309287755828	53.634888592060456	-154.43010290137727	0.5364806866952551	14	1	key_level_break	1.8669925627424935	SL	2023-06-07 14:00:00+00:00	-50.625627424933924	-1012.2840750421097	1440	False
18	2023-06-12 12:00:00+00:00	3	GBP_AUD	SHORT	1.85576	1.8601848708524833	1.852380387442551	1.8499673124042517	1.8463476998468025	226483.72	4	LONDON	2.0	0.00241307503829939	69.0602763233101	25.139468953686105	1.865244653340638	1.8744128747111535	-30.716250149065427	False	-0.0007166548862831167	8.304087065448817	-92.44653340637842	0.8047337278106163	12	0	key_level_break	1.853593933355642	TP1+TP2+SL	2023-06-12 23:00:00+00:00	41.02133390150575	929.0664301375136	660	True
19	2023-07-05 08:00:00+00:00	3	GBP_AUD	LONG	1.9055	1.900400608664497	1.9088701740065095	1.911276956677516	1.9148871306840256	198347.57	5	LONDON	2.0	0.002406782671006423	23.56451269105002	63.25094133370591	1.9019710836507884	1.900272622304027	12.83333333333081	False	0.0005993822138598271	75.16453992993986	32.88916349211579	0.593090211132452	8	2	key_level_break	1.9055	TP1+SL	2023-07-06 02:00:00+00:00	13.480696026038075	267.3863298673309	1080	True
20	2023-07-19 13:00:00+00:00	3	GBP_AUD	SHORT	1.90237	1.9100055080319152	1.8969872259042542	1.8932387098404235	1.8876159357446778	132817.06	4	OVERLAP	2.0	0.0037485160638305445	35.85920472547149	31.147103030113897	1.914653157185625	1.9151504461634328	-56.83311145914027	False	-0.0009862257837698982	14.311117611688147	-120.43157185624986	0.7190082644628059	13	2	key_level_break	1.9100055080319152	SL	2023-07-19 20:00:00+00:00	-76.35508031915262	-1014.1257284053712	420	False
21	2023-07-24 08:00:00+00:00	3	GBP_AUD	SHORT	1.90372	1.9092231639009605	1.8996305082971183	1.896744180495197	1.8924146887923152	182437.68	5	LONDON	2.0	0.0028863278019212123	33.872635987825845	39.54311831661328	1.9062128891948176	1.909409227119079	-6.999999999997009	False	-0.0008226588919223905	30.87633694795063	-22.528891948174756	0.5433604336043032	8	0	key_level_break	1.90372	TP1+SL	2023-07-25 00:00:00+00:00	16.357966811527014	298.43095146119856	960	True
22	2023-07-25 08:00:00+00:00	3	GBP_AUD	SHORT	1.89567	1.901168915858034	1.8914818238544695	1.888529706424116	1.8841015302785855	183121.33	4	LONDON	2.0	0.0029521174303536075	31.57546017509195	36.21396349862209	1.9027642236675963	1.9076232868190002	-14.599999999995728	False	-0.00030720260645109303	44.50697339303239	-68.5422366759636	0.9061135371179198	8	1	key_level_break	1.901168915858034	SL	2023-07-26 00:00:00+00:00	-54.98915858034081	-1006.9687854812921	960	False
23	2023-07-27 12:00:00+00:00	3	GBP_AUD	SHORT	1.90176	1.9068196078701334	1.8967111763896	1.8931852939826668	1.887896470372267	197030.9	5	LONDON	2.0	0.0035258824069332347	25.479084397758676	37.40535946617623	1.9067440155464461	1.9070755112913362	-36.92921576609276	False	-0.0006922634655646333	34.37215632272642	-47.440155464462116	0.6784140969163114	12	3	key_level_break	1.9068196078701334	SL	2023-07-27 14:00:00+00:00	-50.59607870133487	-996.899092299484	120	False
24	2023-08-01 12:00:00+00:00	3	GBP_AUD	LONG	1.93211	1.9256022609029264	1.9377132172912213	1.9416086954853686	1.94745191277659	151654.84	4	LONDON	2.0	0.0038954781941474667	55.526781460847516	69.69032622653259	1.9201172636487622	1.9137856752176454	10.021926067582676	False	0.0019179930949805991	55.00451591678083	117.52736351237746	0.6863543788186846	12	1	key_level_break	1.938417153402852	TP1+TP2+SL	2023-08-02 12:00:00+00:00	73.02195791206366	1107.413334364075	1440	True
25	2023-08-11 13:00:00+00:00	3	GBP_AUD	LONG	1.95287	1.9497422367189534	1.95665328984314	1.9593354830718996	1.9633587729150395	319079.21	4	OVERLAP	2.0	0.0026821932287598607	36.77542447649295	70.74211202701395	1.9459608712158076	1.939905415502143	30.98390270469764	False	0.0007561494770561609	88.13658939758857	66.69128784192458	0.7475490196078678	13	4	key_level_break	1.9497422367189534	SL	2023-08-11 14:00:00+00:00	-31.277632810466915	-998.0042367833864	60	False
26	2023-08-29 14:00:00+00:00	3	GBP_AUD	SHORT	1.95394	1.962593623805508	1.9495241285834757	1.9464202143057927	1.9417643428892684	114174.62	5	OVERLAP	2.0	0.0031039142776829	32.50506753505237	39.29313265350625	1.9607176814599916	1.9663344950682673	-41.188975816739415	False	-7.358451447116643e-05	62.015582522558354	-65.37681459991562	0.7838785046728852	14	1	key_level_break	1.95394	TP1+SL	2023-08-30 01:00:00+00:00	17.66348566609732	201.67217638021086	660	True
27	2023-08-31 12:00:00+00:00	3	GBP_AUD	SHORT	1.95322	1.9581423461259297	1.9493579616222105	1.946623269370351	1.9425212309925615	201131.92	4	LONDON	2.0	0.0027346922518596346	20.93825122639483	35.09604906625535	1.9588997930554568	1.9630423797545633	-53.10505443167024	False	-0.0008602203494376388	15.992527999363835	-54.39793055456832	0.8945518453427176	12	3	key_level_break	1.9581423461259297	SL	2023-08-31 13:00:00+00:00	-49.223461259297885	-990.0409272128202	60	False

12 KiB Raw Blame History

12 KiB

Raw Blame History