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https://github.com/BrentNeale1/fx-quant.git
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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": "GBP_AUD",
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"strategy_id": 5,
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"strategy_name": "S5_Momentum_Exhaustion",
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"total_trades": 264,
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"win_rate_pct": 36.36,
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"avg_rr": 1.5,
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"expectancy_pips": -1.27,
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"sharpe_ratio": -1.69,
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"max_drawdown_pct": -39.48,
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"profit_factor": 0.79,
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"total_pnl_pips": -336.04,
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"total_pnl_dollars": -27953.37,
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"avg_win_pips": 21.26,
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"avg_loss_pips": 14.15,
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"max_consecutive_wins": 5,
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"max_consecutive_losses": 13,
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"avg_hold_time_minutes": 143.5,
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"best_trade_pips": 66.05,
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"worst_trade_pips": -26.36,
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"best_trade_dollars": 2554.95,
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"worst_trade_dollars": -1041.23,
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"final_equity": 72046.63,
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"starting_equity": 100000.0,
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"session_breakdown": {
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"LONDON": {
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"trades": 148,
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"win_rate": 37.83783783783784,
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"total_pnl_pips": -55.194967048454885
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},
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"OVERLAP": {
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"trades": 116,
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"win_rate": 34.48275862068966,
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"total_pnl_pips": -280.84359608526563
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}
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},
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"exit_reasons": {
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"SL": 168,
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"TP1+TP2+SL": 35,
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"TP1+SL": 44,
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"TP3": 17
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}
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} |