fx-quant/results/phase2/trades_S7_Tight_IS.csv at bdab78ee48523dbc1fbba8c4f2ed662a1460fbdd

mirror of https://github.com/BrentNeale1/fx-quant.git synced 2026-08-13 02:08:05 +00:00

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T

Brent NealeandClaude Opus 4.6 9c5d55ec46 Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

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>

2026-02-20 10:25:09 +10:00

11 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	2021-01-19 09:00:00+00:00	7	GBP_JPY	LONG	141.56	141.2521264151365	141.7663103772952	142.00162075459045	142.00162075459045	3248.09	3	LONDON	2.5	0.15687358486347797	48.80213452530581	68.66737170477022	141.1757334553746	141.17515028198045	5.591737610288305	False	0.061769183574347686	60.199476567766396	35.52665446254082	0.2349397590362436	9	1	liquidity_sweep_bullish	142.00162075459045	TP3	2021-01-20 09:00:00+00:00	32.396692557496436	1052.2737312907861	1440	True
3	2021-02-03 13:00:00+00:00	7	GBP_JPY	LONG	143.38	142.98100883435788	143.58198674846315	143.81297349692633	143.81297349692633	2532.69	4	OVERLAP	2.5	0.15399116564210769	21.19125925463239	46.771428044045194	143.4376216374294	142.89903350963797	1.9550885825168507	False	-0.02122762299110889	23.32069110572441	-8.662163742940265	0.7763713080167911	13	2	liquidity_sweep_bullish	142.98100883435788	SL	2021-02-04 07:00:00+00:00	-39.89911656421157	-1010.52093531013	1080	False
4	2021-04-13 10:00:00+00:00	7	GBP_JPY	SHORT	150.213	150.71331798824258	149.93402301763615	149.62604603527228	149.62604603527228	1999.56	3	LONDON	2.5	0.2053179882425695	28.59269653051172	43.78288547843401	150.43765868033003	151.06143682161715	-13.406886587759459	False	-0.027369285861298248	21.467421310283054	-19.565868033004108	0.7345679012345386	10	1	liquidity_sweep_bearish	150.213	TP1+SL	2021-04-13 12:00:00+00:00	13.948849118192186	278.91560742772367	120	True
5	2021-05-31 15:00:00+00:00	7	GBP_JPY	LONG	155.623	155.28565511043521	155.8210173343472	156.0480346686944	156.0480346686944	2973.83	4	OVERLAP	2.5	0.15134488956480616	49.654076816262176	49.52039425705005	155.4898975578868	154.70481868697738	12.271567464063082	False	-0.017999866233808857	61.17340008839269	10.410244211320219	0.6586826347304442	15	0	liquidity_sweep_bullish	155.623	TP1+SL	2021-06-01 06:00:00+00:00	9.900866717360657	294.43494470088643	900	True
6	2021-08-03 08:00:00+00:00	7	GBP_JPY	SHORT	151.824	152.23044597313304	151.57933104030045	151.30566208060085	151.30566208060085	2475.49	3	LONDON	2.5	0.18244597313304692	33.17111708131859	45.683075608404145	152.16133874825707	152.20288283213353	-4.566666666664787	False	0.03722803957820611	64.9472313596493	-30.83387482570572	0.36758893280626104	8	1	liquidity_sweep_bearish	151.30566208060085	TP3	2021-08-03 13:00:00+00:00	38.15055334294405	944.4131329492457	300	True
7	2021-08-25 08:00:00+00:00	7	GBP_JPY	SHORT	150.64000000000001	151.1143351528358	150.39999727074635	150.13099454149267	150.13099454149267	2141.09	4	LONDON	2.5	0.17933515283577778	17.795316685023398	56.211904198229135	150.4649640402053	150.79013373274236	-4.599999999999227	False	-0.004467363944246086	37.20413010474014	20.40359597947088	0.28426395939091786	8	2	liquidity_sweep_bearish	151.1143351528358	SL	2021-08-25 14:00:00+00:00	-47.433515283577776	-1015.5942523851555	360	False
8	2021-08-30 11:00:00+00:00	7	GBP_JPY	LONG	151.209	150.86378738668466	151.40531891997304	151.63063783994605	151.63063783994605	2912.52	3	LONDON	2.5	0.15021261331534858	15.189330052530499	54.705688561359246	151.04245608816143	150.9321682690765	6.492283032335422	False	-0.009988877438677997	38.113207547171434	13.754391183857706	0.6758241758243243	11	0	liquidity_sweep_bullish	151.209	TP1+SL	2021-08-31 12:00:00+00:00	9.815945998651898	285.89139039993626	1500	True
9	2021-09-23 08:00:00+00:00	7	GBP_JPY	SHORT	150.088	150.47218151232715	149.82572773150926	149.5344554630185	149.5344554630185	2624.54	4	LONDON	2.5	0.19418151232715875	63.18580853627071	68.69619970958104	149.68521903350933	150.50964258294968	-2.6666666666642413	False	0.057819192820166745	83.72489633181637	43.17809664906633	0.09917355371901602	8	3	liquidity_sweep_bearish	150.47218151232715	SL	2021-09-23 11:00:00+00:00	-38.41815123271601	-1008.2997463631249	180	False
10	2021-10-07 14:00:00+00:00	7	GBP_JPY	LONG	151.944	151.3881015502808	152.2508476745788	152.58669534915762	152.58669534915762	1795.68	4	OVERLAP	2.5	0.22389844971921458	22.241675414438475	66.41797593643571	151.3989704432982	151.07462874092823	37.27070275714084	False	0.05642049316525995	81.1050953113204	51.60295567017954	0.7073170731707205	14	3	liquidity_sweep_bullish	152.58669534915762	TP3	2021-10-08 14:00:00+00:00	47.47750909878311	852.5441353850285	1440	True
11	2021-11-10 08:00:00+00:00	7	GBP_JPY	SHORT	153.114	153.57571037474384	152.83443443788425	152.52586887576848	152.52586887576848	2180.46	4	LONDON	2.5	0.20571037474383683	27.303339362982037	51.70142632925221	153.2037801251759	154.30654252539233	-2.1666666666675383	False	0.03060645825659345	76.81042808310049	-6.078012517590992	0.3598971722364595	8	2	liquidity_sweep_bearish	153.114	TP1+SL	2021-11-10 13:00:00+00:00	13.978278105787467	304.7907627854534	300	True
12	2021-11-15 15:00:00+00:00	7	GBP_JPY	SHORT	153.043	153.46258659358037	152.79512010962947	152.5182402192589	152.5182402192589	2406.63	4	OVERLAP	2.5	0.1845865935803661	26.95881459341725	59.84293364942911	152.85382660290435	153.49139058517304	12.504539957382121	False	0.011224768330126852	77.48812924177535	21.81733970956543	0.1333333333333036	15	0	liquidity_sweep_bearish	153.46258659358037	SL	2021-11-16 02:00:00+00:00	-41.95865935803624	-1009.7896837083077	660	False
13	2021-12-07 08:00:00+00:00	7	GBP_JPY	SHORT	150.749	151.30533092471234	150.4520036129315	150.12600722586296	150.12600722586296	1796.94	4	LONDON	2.5	0.217330924712339	44.12173023803036	60.80343102295601	150.34598174091798	151.0283122465493	-10.333333333335304	False	0.024496240409433073	46.77540019266636	43.201825908201386	0.5161290322580497	8	1	liquidity_sweep_bearish	150.12600722586296	TP3	2021-12-07 18:00:00+00:00	45.99980475675753	826.5888915960787	600	True
14	2022-01-19 11:00:00+00:00	7	GBP_JPY	SHORT	156.041	156.43849237103325	155.75576144345013	155.44152288690026	155.44152288690026	2535.79	3	LONDON	2.5	0.20949237103324464	34.725238074197144	57.08044012005093	156.01329311136905	156.2987137665252	24.32564558679644	False	0.060260987417893694	88.356117273556	5.670688863094142	0.08085106382980577	11	2	liquidity_sweep_bearish	155.44152288690026	TP3	2022-01-20 01:00:00+00:00	44.23601988893092	1121.7325687415214	840	True
15	2022-03-10 14:00:00+00:00	7	GBP_JPY	SHORT	152.542	153.23728211357013	152.15507682964483	151.73915365928966	151.73915365928966	1465.84	4	OVERLAP	2.5	0.27728211357011456	34.44392797220163	48.96824245640294	152.4310556085491	153.02428985117828	-10.608162200864513	False	-0.04738485743499771	62.879779989522056	13.994439145091064	0.7665995975854918	14	3	liquidity_sweep_bearish	152.542	TP1+SL	2022-03-11 04:00:00+00:00	19.346158517758738	283.5837300167147	840	True
16	2022-03-21 12:00:00+00:00	7	GBP_JPY	LONG	156.834	156.3809811067696	157.1095283398456	157.4140566796912	157.4140566796912	2256.0	4	LONDON	2.5	0.2030188932304031	21.160816361235394	53.91313960830786	156.46535250114061	154.9640839596091	9.23077418468381	False	-0.05407336536104143	36.58735387355584	33.96474988593923	0.7545787545788286	12	0	liquidity_sweep_bullish	157.4140566796912	TP3	2022-03-21 16:00:00+00:00	42.77950809416346	965.1057026043276	240	True
17	2022-05-11 14:00:00+00:00	7	GBP_JPY	SHORT	160.697	161.69475357350146	160.1383696397478	159.5507392794956	159.5507392794956	1033.98	4	OVERLAP	2.5	0.3917535735014686	33.31560318657865	51.16802955039148	160.74251807937966	161.63910615289808	5.364409921671154	False	0.03874728025098841	84.30833446758261	-1.6518079379665096	0.8672699849170123	14	2	liquidity_sweep_bearish	159.5507392794956	TP3	2022-05-11 17:00:00+00:00	85.24566262863617	881.4231024475723	180	True
18	2022-05-31 08:00:00+00:00	7	GBP_JPY	LONG	161.343	160.72255655448865	161.713665168267	162.11333033653403	162.11333033653403	1676.99	5	LONDON	2.5	0.2664434455113439	40.97074904939494	52.6601700874127	160.98094345373124	160.25277731803135	9.166666666664014	False	-0.07686240039026376	32.84077334736096	33.305654626875025	0.7466666666666697	8	1	liquidity_sweep_bullish	162.11333033653403	TP3	2022-05-31 14:00:00+00:00	57.05023459302235	956.7267291015255	360	True
19	2022-10-05 16:00:00+00:00	7	GBP_JPY	LONG	163.444	162.44778143286752	164.24032785069872	165.06565570139745	165.06565570139745	1054.03	3	OVERLAP	2.5	0.5502185671324871	37.260876365610905	40.05966386655959	163.8379885139377	161.34716298486475	-28.55607972133214	False	-0.22060776775003166	33.859759392854045	-42.29885139376961	0.4076433121019019	16	2	liquidity_sweep_bullish	163.444	TP1+SL	2022-10-06 08:00:00+00:00	39.81639253493653	419.6767222359916	960	True
20	2022-11-10 13:00:00+00:00	7	GBP_JPY	SHORT	166.77100000000002	167.8142816755394	166.2445774866909	165.6891549733818	165.6891549733818	1010.5	4	OVERLAP	2.5	0.37028167553941166	25.598645592616148	51.48614850917761	166.98441038809315	167.72392739986196	9.600177960467704	False	0.07773496305486302	45.926269157594554	-18.441038809314136	0.19135802469136923	13	3	liquidity_sweep_bearish	165.6891549733818	TP3	2022-11-10 14:00:00+00:00	80.41444760005487	812.5879929985546	60	True
21	2022-11-17 12:00:00+00:00	7	GBP_JPY	SHORT	165.601	166.37750674191966	165.0322398871205	164.43447977424103	164.43447977424103	1368.13	5	LONDON	2.5	0.3985067419196566	22.89072624136199	44.044798449171644	165.73961325783645	166.08930902550796	-23.59962682566845	False	-0.0476639131938002	45.39971771968385	-10.961325783645748	0.19363762102353005	12	3	liquidity_sweep_bearish	166.37750674191966	SL	2022-11-17 22:00:00+00:00	-77.65067419196612	-1062.3621688225462	600	False
22	2022-12-15 09:00:00+00:00	7	GBP_JPY	LONG	168.53199999999998	167.69108965238104	168.99636552142846	169.48973104285693	169.48973104285693	1250.72	3	LONDON	2.5	0.3289103476189807	30.314590062087298	65.12720658759604	167.8456964107379	167.37028936297304	24.657734193786496	False	0.04320220526790286	73.04986303724594	65.73035892620851	0.8162162162162021	9	3	liquidity_sweep_bullish	167.69108965238104	SL	2022-12-15 19:00:00+00:00	-84.09103476189442	-1051.743389973966	600	False
23	2022-12-23 15:00:00+00:00	7	GBP_JPY	SHORT	160.13400000000001	160.86604406507368	159.6409339023895	159.11886780477897	159.11886780477897	1422.35	5	OVERLAP	2.5	0.34804406507368146	30.59146890546611	61.980188466308554	159.99876926789878	162.9672235512621	14.144913648058832	False	0.05584734173950451	45.711170935822814	16.423073210123107	0.1756756756756945	15	4	liquidity_sweep_bearish	160.13400000000001	TP1+SL	2022-12-26 08:00:00+00:00	24.65330488052615	350.6562819681637	3900	True
24	2022-12-27 11:00:00+00:00	7	GBP_JPY	SHORT	160.385	161.07102035672665	159.98946946491003	159.5649389298201	159.5649389298201	1522.89	4	LONDON	2.5	0.2830203567266322	17.79972051831876	48.930149693745925	160.31840309992057	162.01386307840843	-22.18699037434817	False	-0.017701135636989912	38.45033061957478	9.559690007941413	0.6943319838057043	11	1	liquidity_sweep_bearish	161.07102035672665	SL	2022-12-28 02:00:00+00:00	-68.6020356726658	-1044.7335410554604	900	False

11 KiB Raw Blame History

11 KiB

Raw Blame History