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fx-quant/results/phase2/trades_S7_Tight_OOS.csv
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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

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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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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