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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.

Claude-Session: https://claude.ai/code/session_01Mc7XKYyPySVXiUpcN82QEK
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Harwinder Sekhon
2026-07-28 20:08:53 -04:00
parent 9a384935bf
commit f760e9070a
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backtest/research/duka_spread_by_hour.csv
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hour,ticks,tw_mean,mean,median,p75,p90,p99,max,pct_le_030,pct_ge_060,tradable
0,362893.0,0.749,0.768,0.79,0.82,0.86,1.1,7.69,0.053,94.561,-
1,540182.0,0.735,0.742,0.74,0.81,0.87,1.0,5.59,0.073,90.449,-
2,431589.0,0.716,0.722,0.73,0.8,0.86,0.95,2.96,0.1,85.27,-
3,343952.0,0.708,0.711,0.71,0.79,0.84,0.95,1.67,0.081,82.939,Y
4,246262.0,0.704,0.702,0.71,0.78,0.82,0.94,1.86,0.098,82.627,Y
5,388365.0,0.712,0.716,0.72,0.79,0.82,0.95,2.17,0.076,86.745,Y
6,368999.0,0.65,0.651,0.65,0.69,0.74,0.94,2.32,0.079,71.668,Y
7,313149.0,0.601,0.598,0.59,0.65,0.69,0.994,3.08,0.239,42.904,Y
8,347276.0,0.612,0.616,0.6,0.66,0.74,1.0,3.04,0.308,48.349,Y
9,321619.0,0.612,0.615,0.6,0.66,0.72,1.0,5.95,0.288,50.644,Y
10,295271.0,0.611,0.618,0.6,0.66,0.71,1.0,9.36,0.164,49.253,-
11,336963.0,0.619,0.624,0.6,0.67,0.79,1.0,4.97,0.203,50.178,-
12,476773.0,0.66,0.697,0.63,0.72,0.877,1.367,14.98,0.257,59.633,Y
13,651425.0,0.641,0.648,0.63,0.69,0.787,1.487,11.407,0.296,60.297,-
14,673391.0,0.625,0.625,0.63,0.68,0.77,0.9,11.98,0.458,59.085,Y
15,598398.0,0.636,0.638,0.64,0.7,0.78,0.91,4.49,0.433,66.296,Y
16,485023.0,0.648,0.644,0.64,0.7,0.757,0.917,4.09,0.118,68.496,-
17,450119.0,0.626,0.628,0.627,0.7,0.726,0.84,4.08,0.154,63.337,Y
18,411538.0,0.626,0.63,0.637,0.7,0.71,0.79,4.16,0.107,67.734,Y
19,435396.0,0.638,0.643,0.65,0.7,0.72,0.896,5.804,0.11,72.007,Y
20,212654.0,0.684,0.665,0.66,0.7,0.76,1.217,7.15,0.226,70.215,Y
21,31319.0,0.627,0.622,0.61,0.68,0.75,1.02,2.08,0.089,53.153,-
22,108879.0,0.829,0.834,0.797,0.84,0.98,2.05,10.11,0.056,95.434,Y
23,161079.0,1.032,0.913,0.8,0.89,1.307,2.77,13.174,0.092,95.41,-
1 hour ticks tw_mean mean median p75 p90 p99 max pct_le_030 pct_ge_060 tradable
2 0 362893.0 0.749 0.768 0.79 0.82 0.86 1.1 7.69 0.053 94.561 -
3 1 540182.0 0.735 0.742 0.74 0.81 0.87 1.0 5.59 0.073 90.449 -
4 2 431589.0 0.716 0.722 0.73 0.8 0.86 0.95 2.96 0.1 85.27 -
5 3 343952.0 0.708 0.711 0.71 0.79 0.84 0.95 1.67 0.081 82.939 Y
6 4 246262.0 0.704 0.702 0.71 0.78 0.82 0.94 1.86 0.098 82.627 Y
7 5 388365.0 0.712 0.716 0.72 0.79 0.82 0.95 2.17 0.076 86.745 Y
8 6 368999.0 0.65 0.651 0.65 0.69 0.74 0.94 2.32 0.079 71.668 Y
9 7 313149.0 0.601 0.598 0.59 0.65 0.69 0.994 3.08 0.239 42.904 Y
10 8 347276.0 0.612 0.616 0.6 0.66 0.74 1.0 3.04 0.308 48.349 Y
11 9 321619.0 0.612 0.615 0.6 0.66 0.72 1.0 5.95 0.288 50.644 Y
12 10 295271.0 0.611 0.618 0.6 0.66 0.71 1.0 9.36 0.164 49.253 -
13 11 336963.0 0.619 0.624 0.6 0.67 0.79 1.0 4.97 0.203 50.178 -
14 12 476773.0 0.66 0.697 0.63 0.72 0.877 1.367 14.98 0.257 59.633 Y
15 13 651425.0 0.641 0.648 0.63 0.69 0.787 1.487 11.407 0.296 60.297 -
16 14 673391.0 0.625 0.625 0.63 0.68 0.77 0.9 11.98 0.458 59.085 Y
17 15 598398.0 0.636 0.638 0.64 0.7 0.78 0.91 4.49 0.433 66.296 Y
18 16 485023.0 0.648 0.644 0.64 0.7 0.757 0.917 4.09 0.118 68.496 -
19 17 450119.0 0.626 0.628 0.627 0.7 0.726 0.84 4.08 0.154 63.337 Y
20 18 411538.0 0.626 0.63 0.637 0.7 0.71 0.79 4.16 0.107 67.734 Y
21 19 435396.0 0.638 0.643 0.65 0.7 0.72 0.896 5.804 0.11 72.007 Y
22 20 212654.0 0.684 0.665 0.66 0.7 0.76 1.217 7.15 0.226 70.215 Y
23 21 31319.0 0.627 0.622 0.61 0.68 0.75 1.02 2.08 0.089 53.153 -
24 22 108879.0 0.829 0.834 0.797 0.84 0.98 2.05 10.11 0.056 95.434 Y
25 23 161079.0 1.032 0.913 0.8 0.89 1.307 2.77 13.174 0.092 95.41 -