mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-12 17:58:05 +00:00
Brent NealeandClaude Opus 4.6
9c5d55ec46
S7: add RSI floor (RSI<40 = 0% WR) and ATR percentile cap (high-vol regime = worse RR). IS flips from PF 0.68 to 1.52, OOS holds at 1.80. S3: add confluence gate (C>=4) and skip hours 09-10 (0% WR). IS PF 1.06 -> 1.22, OOS PF 1.07 -> 1.23. S9_Filtered: add skip_monday (unreliable Asian ranges after weekend gaps). IS PF 1.10 -> 1.31, OOS holds strong at 2.26. Drop S9/GBP_USD (negative PF across all param combos) and S4F/EUR_AUD (overfit: IS 1.43 collapses to OOS 0.48). 3-strategy portfolio: all PASS generalization, IS PF 1.29, OOS PF 1.55, Gen 1.46. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
7.2 KiB
7.2 KiB
| 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 | 1321.11 | 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 | -73.69300785047697 | -973.5656960134364 | 180 | False |
| 3 | 2023-01-27 14:00:00+00:00 | 7 | GBP_JPY | LONG | 160.845 | 160.1001034765563 | 161.26884478516553 | 161.72168957033105 | 161.72168957033105 | 1293.91 | 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 | 21.1922392582764 | 274.2085029867642 | 3720 | True |
| 4 | 2023-01-31 11:00:00+00:00 | 7 | GBP_JPY | LONG | 160.78799999999998 | 160.26274487183252 | 161.12838269225117 | 161.49776538450234 | 161.49776538450234 | 1840.2 | 3 | LONDON | 2.5 | 0.2462551281674486 | 42.001800119148776 | 47.03112758962122 | 160.89034631336852 | 160.45069472424606 | 15.555887028267534 | False | -0.03329651644736814 | 53.51562499999636 | -13.134631336853886 | 0.8079999999999927 | 11 | 1 | liquidity_sweep_bullish | 160.26274487183252 | SL | 2023-01-31 13:00:00+00:00 | -52.525512816745845 | -966.5744868537571 | 120 | False |
| 5 | 2023-02-20 13:00:00+00:00 | 7 | GBP_JPY | LONG | 161.402 | 160.94050661972355 | 161.70224007041466 | 162.0314801408293 | 162.0314801408293 | 2073.5 | 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 | 46.48631414558061 | 963.8937238086139 | 1140 | True |
| 6 | 2023-03-03 10:00:00+00:00 | 7 | GBP_JPY | LONG | 163.477 | 162.8940483645097 | 163.81542745323546 | 164.18285490647094 | 164.18285490647094 | 1658.02 | 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 | 324.9719199999966 | 5280 | True |
| 7 | 2023-03-17 09:00:00+00:00 | 7 | GBP_JPY | SHORT | 161.441 | 162.27833430132225 | 160.8184985480166 | 160.16699709603324 | 160.16699709603324 | 1158.19 | 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 | 94.82631779224441 | 1098.2689300379957 | 180 | True |
| 8 | 2023-03-23 12:00:00+00:00 | 7 | GBP_JPY | SHORT | 161.36 | 162.2062721045544 | 160.84859184316844 | 160.30818368633686 | 160.30818368633686 | 1158.94 | 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 | 78.16213109226693 | 905.8522020807185 | 360 | True |
| 9 | 2023-04-06 08:00:00+00:00 | 7 | GBP_JPY | LONG | 163.826 | 163.0348498316098 | 164.2532252525853 | 164.70945050517062 | 164.70945050517062 | 1251.14 | 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 | 21.361262629265806 | 267.25930125979625 | 1500 | True |
| 10 | 2023-04-14 10:00:00+00:00 | 7 | GBP_JPY | LONG | 165.85 | 165.37674011098275 | 166.19188983352586 | 166.56277966705173 | 166.56277966705173 | 2097.18 | 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 | 358.50226053689084 | 420 | True |
| 11 | 2023-05-02 10:00:00+00:00 | 7 | GBP_JPY | LONG | 171.553 | 170.81778797300282 | 171.97281804049575 | 172.4216360809915 | 172.4216360809915 | 1354.84 | 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 | -996.0946626568524 | 180 | False |
| 12 | 2023-05-09 08:00:00+00:00 | 7 | GBP_JPY | LONG | 170.295 | 169.59399055001666 | 170.67401417497504 | 171.0820283499501 | 171.0820283499501 | 1406.73 | 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 | 58.30268571989542 | 820.1613708274849 | 1380 | True |
| 13 | 2023-06-22 08:00:00+00:00 | 7 | GBP_JPY | LONG | 181.409 | 180.6982371368287 | 181.80864429475693 | 182.23728858951387 | 182.23728858951387 | 1398.97 | 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 | 61.39723628384207 | 858.9289164400654 | 180 | True |
| 14 | 2023-06-29 15:00:00+00:00 | 7 | GBP_JPY | LONG | 182.59199999999998 | 182.09286376589014 | 182.95020435116476 | 183.33740870232955 | 183.33740870232955 | 2009.32 | 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 | 359.87358344120037 | 780 | True |
| 15 | 2023-07-05 08:00:00+00:00 | 7 | GBP_JPY | LONG | 183.535 | 182.98273468863977 | 183.81839796704034 | 184.13079593408068 | 184.13079593408068 | 1822.54 | 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 | 14.169898352017183 | 258.252065424854 | 780 | True |
| 16 | 2023-08-28 15:00:00+00:00 | 7 | GBP_JPY | SHORT | 184.291 | 184.79811326483625 | 184.00183010274566 | 183.68366020549132 | 183.68366020549132 | 1989.9 | 4 | OVERLAP | 2.5 | 0.212113264836228 | 24.106712666081176 | 49.978476111525566 | 184.29660244681298 | 184.5701444137502 | -8.184013616812535 | False | -0.019032825112651974 | 52.95429765396812 | 2.339755318701009 | 0.33724340175954937 | 15 | 0 | liquidity_sweep_bearish | 184.79811326483625 | SL | 2023-08-29 01:00:00+00:00 | -50.71132648362493 | -1009.1046856976525 | 600 | False |