mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-13 02:08:05 +00:00
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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"EUR_GBP": {
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"FULL": {
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"total_trades": 448,
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"win_rate": 54.91,
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"avg_rr": 0.55,
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"expectancy": -3.16,
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"profit_factor": 0.65,
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"max_dd": -52.99,
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"total_pnl_pips": -1416.6,
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"total_pnl_dollars": -51103.25,
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"avg_win": 11.8,
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"avg_loss": 21.4
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},
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"TRAIN": {
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"total_trades": 317,
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"win_rate": 56.47,
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"avg_rr": 0.56,
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"expectancy": -2.56,
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"profit_factor": 0.69,
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"max_dd": -37.87,
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"total_pnl_pips": -810.7,
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"total_pnl_dollars": -34403.6,
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"avg_win": 12.1,
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"avg_loss": 21.5
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},
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"TEST": {
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"total_trades": 124,
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"win_rate": 52.42,
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"avg_rr": 0.52,
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"expectancy": -4.16,
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"profit_factor": 0.55,
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"max_dd": -24.76,
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"total_pnl_pips": -516.3,
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"total_pnl_dollars": -23372.86,
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"avg_win": 10.4,
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"avg_loss": 20.3
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}
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},
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"EUR_USD": {
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"FULL": {
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"total_trades": 378,
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"win_rate": 57.94,
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"avg_rr": 0.72,
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"expectancy": -0.1,
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"profit_factor": 0.93,
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"max_dd": -22.1,
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"total_pnl_pips": -37.4,
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"total_pnl_dollars": -9694.5,
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"avg_win": 21.7,
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"avg_loss": 30.1
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},
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"TRAIN": {
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"total_trades": 277,
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"win_rate": 57.04,
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"avg_rr": 0.75,
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"expectancy": -0.02,
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"profit_factor": 0.9,
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"max_dd": -22.1,
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"total_pnl_pips": -6.8,
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"total_pnl_dollars": -10865.78,
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"avg_win": 22.0,
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"avg_loss": 29.3
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},
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"TEST": {
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"total_trades": 97,
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"win_rate": 60.82,
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"avg_rr": 0.65,
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"expectancy": 0.05,
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"profit_factor": 1.05,
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"max_dd": -8.72,
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"total_pnl_pips": 4.7,
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"total_pnl_dollars": 1783.2,
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"avg_win": 20.9,
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"avg_loss": 32.4
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}
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},
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"GBP_NZD": {
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"FULL": {
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"total_trades": 191,
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"win_rate": 50.26,
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"avg_rr": 0.67,
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"expectancy": -10.32,
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"profit_factor": 0.67,
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"max_dd": -28.71,
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"total_pnl_pips": -1970.4,
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"total_pnl_dollars": -26427.89,
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"avg_win": 42.5,
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"avg_loss": 63.7
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},
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"TRAIN": {
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"total_trades": 159,
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"win_rate": 50.31,
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"avg_rr": 0.67,
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"expectancy": -9.9,
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"profit_factor": 0.66,
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"max_dd": -27.51,
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"total_pnl_pips": -1574.6,
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"total_pnl_dollars": -23113.36,
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"avg_win": 41.2,
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"avg_loss": 61.7
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},
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"TEST": {
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"total_trades": 29,
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"win_rate": 51.72,
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"avg_rr": 0.69,
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"expectancy": -9.09,
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"profit_factor": 0.79,
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"max_dd": -5.86,
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"total_pnl_pips": -263.5,
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"total_pnl_dollars": -2775.34,
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"avg_win": 49.7,
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"avg_loss": 72.1
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}
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}
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} |