Phase 2: Live paper trading engine + extended backtesting analytics

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>

src/live/run.py

@@ -0,0 +1,150 @@
+"""
+Entry point for the Phase 2 live paper trading engine.
+
+Usage:
+    python src/live/run.py          # continuous loop
+    python src/live/run.py --once   # single iteration (for testing)
+"""
+import os
+import sys
+import yaml
+
+# Ensure project root on path
+ROOT = os.path.dirname(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
+sys.path.insert(0, ROOT)
+
+from src.position_manager import PositionManager
+from src.live.data_feed import OandaDataFeed
+from src.live.executor import OandaExecutor
+from src.live.engine import LiveEngine, StrategySlot
+
+# Strategy imports
+from src.strategies_pkg.s7_liquidity_sweep import S7_Liquidity_Sweep
+from src.strategies_pkg.s9_london_session import S9_London_Session
+from src.strategies_pkg.s4f_ema_ribbon import S4F_EMA_Ribbon
+from src.strategies_pkg.s3_key_level_breakout import S3_KeyLevel_Breakout
+
+
+def load_config() -> dict:
+    """Load Phase 2 config from system.yaml."""
+    cfg_path = os.path.join(ROOT, "config", "system.yaml")
+    with open(cfg_path) as f:
+        cfg = yaml.safe_load(f)
+    return cfg.get("phase2", {})
+
+
+def build_slots(config: dict) -> list[StrategySlot]:
+    """Build StrategySlot instances from config."""
+    starting_equity = config.get("starting_equity", 100_000)
+    slots = []
+
+    # Strategy factory
+    strategy_map = config.get("strategies", [])
+    for entry in strategy_map:
+        if not entry.get("enabled", True):
+            continue
+
+        name = entry["name"]
+        pair = entry["pair"]
+        tf = entry.get("timeframe", "H1")
+        htf_tf = entry.get("htf_timeframe", None)
+
+        # Create strategy instance
+        if name == "S7_Tight":
+            strategy = S7_Liquidity_Sweep()
+        elif name == "S9":
+            strategy = S9_London_Session()
+        elif name == "S9_Filtered":
+            strategy = S9_London_Session(pair=pair, filtered=True)
+        elif name == "S4F":
+            strategy = S4F_EMA_Ribbon()
+        elif name == "S3":
+            strategy = S3_KeyLevel_Breakout()
+        else:
+            print(f"Unknown strategy: {name}, skipping.")
+            continue
+
+        # Data feeds
+        data_feed = OandaDataFeed(pair=pair, granularity=tf, candle_count=250)
+        htf_feed = None
+        if htf_tf and htf_tf != tf:
+            htf_feed = OandaDataFeed(pair=pair, granularity=htf_tf, candle_count=250)
+
+        # Position manager (each slot gets its own)
+        pm = PositionManager(pair=pair, starting_equity=starting_equity)
+
+        slot = StrategySlot(
+            name=name,
+            strategy=strategy,
+            pair=pair,
+            timeframe=tf,
+            data_feed=data_feed,
+            position_manager=pm,
+            htf_feed=htf_feed,
+            enabled=True,
+        )
+        slots.append(slot)
+
+    return slots
+
+
+def main():
+    config = load_config()
+    if not config:
+        print("ERROR: No phase2 config found in config/system.yaml")
+        sys.exit(1)
+
+    paper_mode = config.get("paper_mode", True)
+    interval = config.get("poll_interval_seconds", 60)
+    max_dd = config.get("max_daily_drawdown_pct", 5.0)
+
+    # Check OANDA credentials
+    env_path = os.path.join(ROOT, "config", ".env")
+    if os.path.exists(env_path):
+        for line in open(env_path).read().splitlines():
+            line = line.strip()
+            if line and not line.startswith("#") and "=" in line:
+                k, v = line.split("=", 1)
+                os.environ.setdefault(k.strip(), v.strip())
+
+    account_id = os.getenv("OANDA_ACCOUNT_ID", "")
+    if not account_id and not paper_mode:
+        print("ERROR: OANDA_ACCOUNT_ID not set in config/.env")
+        print("Paper trading can run without it, but live mode requires it.")
+        sys.exit(1)
+
+    if not account_id:
+        print("WARNING: OANDA_ACCOUNT_ID empty — paper mode only, "
+              "data feeds will still work for signal testing.")
+
+    # Build components
+    executor = OandaExecutor(paper_mode=paper_mode)
+    slots = build_slots(config)
+
+    if not slots:
+        print("ERROR: No strategy slots configured.")
+        sys.exit(1)
+
+    print(f"Phase 2 Live Engine")
+    print(f"  Mode: {'PAPER' if paper_mode else 'LIVE'}")
+    print(f"  Slots: {len(slots)}")
+    print(f"  Poll interval: {interval}s")
+    print(f"  Max daily DD: {max_dd}%")
+    print()
+
+    engine = LiveEngine(
+        slots=slots,
+        executor=executor,
+        interval_seconds=interval,
+        max_daily_drawdown_pct=max_dd,
+    )
+    engine.load_state()
+
+    if "--once" in sys.argv:
+        engine.run_once()
+    else:
+        engine.run_loop()
+
+
+if __name__ == "__main__":
+    main()