mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-03 05:47:43 +00:00
Brent Neale
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>
105 lines
1.9 KiB
YAML
105 lines
1.9 KiB
YAML
general:
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project_name: fx-quant
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timezone: UTC
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brokers:
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- name: oanda
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type: oanda_v20
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enabled: true
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instruments:
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- GBP_AUD
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- EUR_AUD
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- EUR_CAD
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- EUR_NZD
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- GBP_USD
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- EUR_USD
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- GBP_JPY
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- USD_JPY
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- EUR_GBP
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- GBP_CAD
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data:
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candle_count: 200
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candle_granularities:
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- M15
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- H1
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- H4
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tick_export: false
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features:
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sma_windows:
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- 3
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- 20
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- 50
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- 100
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- 200
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ema_windows:
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- 20
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- 50
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- 100
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- 200
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rsi_period: 14
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atr_period: 14
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vwap_window: 20
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volatility_window: 20
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macd: [12, 26, 9]
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adx_period: 14
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stochastic: [5, 3, 3]
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session_vwap_bands: true
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ai:
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model: local-ensemble
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confidence_threshold: 0.75
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retriever_enabled: true
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retriever_source: supabase
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ensemble_models:
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- logistic_regression
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- random_forest
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- gradient_boosting
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backtest_validation_window: 50
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sanity_checks:
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rsi_overbought: 80
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rsi_oversold: 20
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volatility_multiplier: 3.0
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strategy:
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rule: pivot_retest_engulfing
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params:
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sma_period: 50
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lookback_bars: 20
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retest_tolerance_atr: 0.5
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strong_close_pct: 0.30
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sl_atr_multiplier: 1.5
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trade_size_pct_of_equity: 0.025
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max_drawdown_pct: 0.05
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# Previous strategy (uncomment to switch back):
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# strategy:
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# rule: sma_cross
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# params:
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# short: 50
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# long: 100
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# trade_size_pct_of_equity: 0.025
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# max_drawdown_pct: 0.05
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execution:
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paper_mode: true
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canary_size_pct: 0.01
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max_positions: 5
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interval_seconds: 60
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economic_calendar:
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enabled: true
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table: economic_calendar
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days_back: 400
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chunk_days: 28
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sleep_between_chunks: 1.0
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impact_threshold: "High"
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event_buffer_minutes: 30
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feature_lookforward_minutes: 240
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currency_country_map:
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EUR: "euro area"
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USD: "united states"
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GBP: "united kingdom"
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JPY: "japan"
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AUD: "australia"
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CAD: "canada"
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CHF: "switzerland"
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NZD: "new zealand"
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supabase:
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url: https://<your>.supabase.co
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key_env_name: SUPABASE_KEY
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table: fx_candles
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