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Brent NealeandClaude Opus 4.6
dce54845c2
- Built event-driven backtesting engine with spread/slippage modeling, 3-TP partial closes, trailing stops, and rich trade logging (20+ features) - Implemented 5 strategy signal generators (MA Breakout, VWAP Reversal, Key Level Breakout, EMA Ribbon Scalp, Momentum Exhaustion) - Full indicator library (EMA, SMA, RSI, ATR, MACD, ADX, Stochastic, Session VWAP bands, swing points, key levels, RSI divergence) - Data pipeline: Dukascopy download, validation, 70/30 train/test split - Baseline results: all 5 strategies generate 200+ trades on training data (Jan 2021 - Aug 2023), best profit factors 0.82-0.96 on select pairs - Trade logs and reports saved for Phase 3 ML feature engineering Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
43 lines
1.0 KiB
JSON
43 lines
1.0 KiB
JSON
{
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"pair": "USD_JPY",
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"strategy_id": 3,
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"strategy_name": "S3_Key_Level_Breakout",
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"total_trades": 220,
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"win_rate_pct": 35.45,
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"avg_rr": 1.6,
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"expectancy_pips": -1.37,
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"sharpe_ratio": -0.98,
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"max_drawdown_pct": -26.12,
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"profit_factor": 0.87,
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"total_pnl_pips": -300.7,
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"total_pnl_dollars": -17192.04,
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"avg_win_pips": 28.66,
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"avg_loss_pips": 17.86,
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"max_consecutive_wins": 3,
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"max_consecutive_losses": 10,
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"avg_hold_time_minutes": 609.8,
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"best_trade_pips": 111.53,
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"worst_trade_pips": -60.24,
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"best_trade_dollars": 3133.4,
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"worst_trade_dollars": -1073.07,
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"final_equity": 82807.96,
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"starting_equity": 100000.0,
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"session_breakdown": {
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"LONDON": {
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"trades": 116,
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"win_rate": 37.06896551724138,
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"total_pnl_pips": -213.5047343767306
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},
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"OVERLAP": {
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"trades": 104,
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"win_rate": 33.65384615384615,
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"total_pnl_pips": -87.1917729201391
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}
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},
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"exit_reasons": {
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"SL": 142,
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"TP3": 28,
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"TP1+TP2+SL": 25,
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"TP1+SL": 25
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}
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} |