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Research: Dukascopy real-spread study + Oanda/TD bar-divergence study

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Scripts + summary CSVs for the 2026-07-24 studies (real XAU spread ~$0.65
tradable hours; Oanda vs TD bars diverge ~11% of ATR with 10% direction
flips). Large raw data files (parquet, per-boundary samples) gitignored.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01Mc7XKYyPySVXiUpcN82QEK
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Harwinder Sekhon
2026-07-28 20:08:53 -04:00
parent e254f068fd
commit 95f8c47d4f
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backtest/research/oanda_td_divergence_by_hour.csv
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hour_utc,bars,mean_abs_dclose,p95_abs_dclose,mean_abs_dhigh,mean_abs_dlow,oanda_median_spread
0,1029,3.3483,13.9460,3.2906,3.4310,0.7900
1,1028,3.3483,12.8292,3.3477,3.6398,0.7700
2,1028,3.0288,10.8960,2.9469,3.1317,0.7700
3,1028,2.8783,11.1300,2.8419,2.9992,0.7600
4,1028,2.8232,10.4710,2.8165,2.8455,0.7400
5,1028,2.9268,10.6027,2.9234,3.0038,0.7400
6,1028,3.0466,10.9265,2.9487,3.0796,0.7200
7,1028,3.0286,11.3512,3.0301,3.0797,0.6700
8,1028,3.0223,11.1483,2.8989,3.0801,0.6600
9,1028,3.0460,11.6345,2.9307,3.0609,0.6600
10,1028,2.9280,10.9015,2.8647,3.0029,0.6600
11,1028,3.0340,11.4712,2.9591,2.9472,0.6600
12,1028,3.0986,11.3282,2.9412,3.1407,0.7000
13,1028,3.4014,12.3343,3.1077,3.4228,0.7300
14,1028,3.5074,11.3628,3.3960,3.6569,0.6900
15,1028,3.4514,11.8982,3.4124,3.6733,0.6700
16,1028,3.1275,12.5155,3.2038,3.3061,0.6700
17,1020,2.9826,12.6435,3.0064,3.1008,0.6900
18,1015,2.8721,12.5480,2.9101,2.9996,0.6900
19,1004,2.8637,12.1335,2.8824,2.9454,0.6900
20,996,2.8006,11.9325,2.8486,2.8577,0.7600
21,335,1.1085,4.8600,1.1212,1.2034,0.9400
22,676,4.0827,13.6787,4.8422,4.6761,0.8300
23,1027,3.2722,12.5725,3.5617,3.7747,0.8700
1 hour_utc bars mean_abs_dclose p95_abs_dclose mean_abs_dhigh mean_abs_dlow oanda_median_spread
2 0 1029 3.3483 13.9460 3.2906 3.4310 0.7900
3 1 1028 3.3483 12.8292 3.3477 3.6398 0.7700
4 2 1028 3.0288 10.8960 2.9469 3.1317 0.7700
5 3 1028 2.8783 11.1300 2.8419 2.9992 0.7600
6 4 1028 2.8232 10.4710 2.8165 2.8455 0.7400
7 5 1028 2.9268 10.6027 2.9234 3.0038 0.7400
8 6 1028 3.0466 10.9265 2.9487 3.0796 0.7200
9 7 1028 3.0286 11.3512 3.0301 3.0797 0.6700
10 8 1028 3.0223 11.1483 2.8989 3.0801 0.6600
11 9 1028 3.0460 11.6345 2.9307 3.0609 0.6600
12 10 1028 2.9280 10.9015 2.8647 3.0029 0.6600
13 11 1028 3.0340 11.4712 2.9591 2.9472 0.6600
14 12 1028 3.0986 11.3282 2.9412 3.1407 0.7000
15 13 1028 3.4014 12.3343 3.1077 3.4228 0.7300
16 14 1028 3.5074 11.3628 3.3960 3.6569 0.6900
17 15 1028 3.4514 11.8982 3.4124 3.6733 0.6700
18 16 1028 3.1275 12.5155 3.2038 3.3061 0.6700
19 17 1020 2.9826 12.6435 3.0064 3.1008 0.6900
20 18 1015 2.8721 12.5480 2.9101 2.9996 0.6900
21 19 1004 2.8637 12.1335 2.8824 2.9454 0.6900
22 20 996 2.8006 11.9325 2.8486 2.8577 0.7600
23 21 335 1.1085 4.8600 1.1212 1.2034 0.9400
24 22 676 4.0827 13.6787 4.8422 4.6761 0.8300
25 23 1027 3.2722 12.5725 3.5617 3.7747 0.8700