gavindiaz/fx-quant
1
0
Fork 0
mirror of https://github.com/BrentNeale1/fx-quant.git synced 2026-08-18 20:48:06 +00:00
Code Issues Packages Projects Releases Wiki Activity

Phase 2: Live paper trading engine + extended backtesting analytics

Browse Source 
Track A — Live paper trading system:
- Extract PositionManager from backtester into shared src/position_manager.py
- Refactor backtester/engine.py to delegate to PositionManager
- New src/live/ package: data_feed (OANDA polling), executor (paper/live orders),
  engine (LiveEngine orchestrator with 5 strategy slots), run.py entry point
- Add phase2 config to system.yaml (S7_Tight, S9, S9_Filtered, S4F, S3)

Track B — Extended backtesting analytics:
- Regime analysis: per-year (2021-2023) breakdown shows 4/5 strategies trending UP
- Correlation analysis: S7+S3 GBP_JPY overlap=16.9% (moderate), S9 pairs=12% (low)
- Kelly sizing: S9_Filtered half-Kelly=7.3%, S4F=2.4%, S3=1.6% with Monte Carlo DD

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Brent Neale
2026-02-19 14:46:51 +10:00
co-authored by Claude Opus 4.6
parent 39a6536284
commit 072ac0f245
14 changed files with 2361 additions and 409 deletions
Download Patch File Download Diff File Expand all files Collapse all files
results/phase2/correlation_analysis.json
+23
View File
@@ -0,0 +1,23 @@
{
"S7_S3_overlap": {
"overlap_count": 21,
"same_dir": 21,
"opposite_dir": 0,
"ratio": 0.169
},
"S9_S9F_temporal": {
"s9_trade_days": 275,
"s9f_trade_days": 65,
"shared_trade_days": 33,
"temporal_overlap_ratio": 0.12
},
"portfolio": {
"total_trades": 694,
"win_rate_pct": 53.3,
"profit_factor": 0.99,
"total_pnl_pips": -175.1,
"total_pnl_dollars": -23036.66,
"max_drawdown_pct": -47.8,
"sharpe_ratio": -0.71
}
}
results/phase2/kelly_sizing.json
+82
View File
@@ -0,0 +1,82 @@
{
"S7_Tight_GBP_JPY": {
"trades": 98,
"win_rate": 59.2,
"avg_win_pips": 42.8,
"avg_loss_pips": 62.3,
"avg_win_loss_ratio": 0.69,
"kelly_full_pct": 0,
"kelly_half_pct": 0,
"monte_carlo_half_kelly": {
"p50_dd": 0,
"p75_dd": 0,
"p95_dd": 0,
"p99_dd": 0,
"ruin_pct": 0
}
},
"S9_GBP_USD": {
"trades": 285,
"win_rate": 53.7,
"avg_win_pips": 29.3,
"avg_loss_pips": 41.7,
"avg_win_loss_ratio": 0.7,
"kelly_full_pct": 0,
"kelly_half_pct": 0,
"monte_carlo_half_kelly": {
"p50_dd": 0,
"p75_dd": 0,
"p95_dd": 0,
"p99_dd": 0,
"ruin_pct": 0
}
},
"S9_Filtered_GBP_AUD": {
"trades": 66,
"win_rate": 60.6,
"avg_win_pips": 49.5,
"avg_loss_pips": 57.9,
"avg_win_loss_ratio": 0.85,
"kelly_full_pct": 14.53,
"kelly_half_pct": 7.26,
"monte_carlo_half_kelly": {
"p50_dd": 2.5,
"p75_dd": 3.3,
"p95_dd": 4.8,
"p99_dd": 6.3,
"ruin_pct": 0.0
}
},
"S4F_EUR_AUD": {
"trades": 95,
"win_rate": 45.3,
"avg_win_pips": 38.8,
"avg_loss_pips": 28.7,
"avg_win_loss_ratio": 1.35,
"kelly_full_pct": 4.7,
"kelly_half_pct": 2.35,
"monte_carlo_half_kelly": {
"p50_dd": 0.7,
"p75_dd": 1.0,
"p95_dd": 1.5,
"p99_dd": 1.9,
"ruin_pct": 0.0
}
},
"S3_GBP_JPY": {
"trades": 150,
"win_rate": 50.7,
"avg_win_pips": 43.5,
"avg_loss_pips": 41.9,
"avg_win_loss_ratio": 1.04,
"kelly_full_pct": 3.11,
"kelly_half_pct": 1.56,
"monte_carlo_half_kelly": {
"p50_dd": 0.9,
"p75_dd": 1.2,
"p95_dd": 1.9,
"p99_dd": 2.4,
"ruin_pct": 0.0
}
}
}
results/phase2/regime_analysis.json
+192
View File
@@ -0,0 +1,192 @@
{
"S7_Tight_GBP_JPY": {
"pair": "GBP_JPY",
"timeframe": "H1",
"years": {
"2021": {
"trades": 34,
"wr": 47.1,
"pf": 0.47,
"pnl_pips": -465.5,
"max_dd_pips": -618.3,
"expectancy": -13.69
},
"2022": {
"trades": 29,
"wr": 58.6,
"pf": 0.89,
"pnl_pips": -102.1,
"max_dd_pips": -412.7,
"expectancy": -3.52
},
"2023": {
"trades": 35,
"wr": 71.4,
"pf": 1.8,
"pnl_pips": 558.9,
"max_dd_pips": -219.9,
"expectancy": 15.97
}
},
"full": {
"trades": 98,
"wr": 59.2,
"pf": 1.0,
"pnl_pips": -8.6,
"max_dd_pips": -723.9,
"expectancy": -0.09
}
},
"S9_GBP_USD": {
"pair": "GBP_USD",
"timeframe": "H1",
"years": {
"2021": {
"trades": 138,
"wr": 52.2,
"pf": 0.71,
"pnl_pips": -701.8,
"max_dd_pips": -856.6,
"expectancy": -5.09
},
"2022": {
"trades": 115,
"wr": 51.3,
"pf": 0.83,
"pnl_pips": -470.0,
"max_dd_pips": -1030.5,
"expectancy": -4.09
},
"2023": {
"trades": 32,
"wr": 68.8,
"pf": 1.38,
"pnl_pips": 154.8,
"max_dd_pips": -132.7,
"expectancy": 4.84
}
},
"full": {
"trades": 285,
"wr": 53.7,
"pf": 0.82,
"pnl_pips": -1017.0,
"max_dd_pips": -1775.8,
"expectancy": -3.57
}
},
"S9_Filtered_GBP_AUD": {
"pair": "GBP_AUD",
"timeframe": "H1",
"years": {
"2021": {
"trades": 31,
"wr": 45.2,
"pf": 0.58,
"pnl_pips": -412.3,
"max_dd_pips": -535.5,
"expectancy": -13.3
},
"2022": {
"trades": 23,
"wr": 73.9,
"pf": 2.57,
"pnl_pips": 544.1,
"max_dd_pips": -116.9,
"expectancy": 23.65
},
"2023": {
"trades": 12,
"wr": 75.0,
"pf": 2.98,
"pnl_pips": 342.6,
"max_dd_pips": -49.6,
"expectancy": 28.55
}
},
"full": {
"trades": 66,
"wr": 60.6,
"pf": 1.32,
"pnl_pips": 474.3,
"max_dd_pips": -561.2,
"expectancy": 7.19
}
},
"S4F_EUR_AUD": {
"pair": "EUR_AUD",
"timeframe": "M15",
"years": {
"2021": {
"trades": 42,
"wr": 42.9,
"pf": 1.11,
"pnl_pips": 57.8,
"max_dd_pips": -119.7,
"expectancy": 1.38
},
"2022": {
"trades": 33,
"wr": 60.6,
"pf": 1.79,
"pnl_pips": 370.0,
"max_dd_pips": -183.7,
"expectancy": 11.21
},
"2023": {
"trades": 20,
"wr": 25.0,
"pf": 0.48,
"pnl_pips": -254.7,
"max_dd_pips": -337.2,
"expectancy": -12.74
}
},
"full": {
"trades": 95,
"wr": 45.3,
"pf": 1.12,
"pnl_pips": 173.0,
"max_dd_pips": -337.2,
"expectancy": 1.82
}
},
"S3_GBP_JPY": {
"pair": "GBP_JPY",
"timeframe": "H1",
"years": {
"2021": {
"trades": 65,
"wr": 46.2,
"pf": 0.9,
"pnl_pips": -112.6,
"max_dd_pips": -345.7,
"expectancy": -1.73
},
"2022": {
"trades": 47,
"wr": 53.2,
"pf": 1.21,
"pnl_pips": 262.9,
"max_dd_pips": -307.3,
"expectancy": 5.59
},
"2023": {
"trades": 38,
"wr": 55.3,
"pf": 1.07,
"pnl_pips": 56.9,
"max_dd_pips": -182.9,
"expectancy": 1.5
}
},
"full": {
"trades": 150,
"wr": 50.7,
"pf": 1.07,
"pnl_pips": 203.1,
"max_dd_pips": -533.2,
"expectancy": 1.35
}
}
}