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Update Kelly sizing for 4-strategy portfolio

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All strategies positive Kelly, 0% ruin at half-Kelly.
S7: 13.7%, S9F: 9.5%, S3: 5.1%, S8_OB: 6.1% (half-Kelly).
S8_OB best risk profile: p95 DD only 1.8% with 2.11 W/L ratio.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Brent Neale
2026-02-20 23:40:11 +10:00
co-authored by Claude Opus 4.6
parent 9f32948caf
commit 33369f9151
2 changed files with 79 additions and 77 deletions
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src/run_kelly_sizing.py
+31 -13
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@@ -20,24 +20,31 @@ from src.backtester.engine import Backtester
# 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
from src.strategies_pkg.s8_order_block import S8_Order_Block
PROCESSED_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "data", "processed")
RESULTS_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "results", "phase2")
os.makedirs(RESULTS_DIR, exist_ok=True)
def _s8_tuned():
s = S8_Order_Block()
s.DISPLACEMENT_ATR = 2.5
s.TP1_ATR_MULT = 2.0
s.OB_RETEST_WINDOW = 40
return s
CONFIGS = [
{"name": "S7_Tight", "pair": "GBP_JPY", "tf": "H1",
{"name": "S7_Tight", "pair": "GBP_JPY", "tf": "H1", "htf_tf": "H1",
"factory": lambda: S7_Liquidity_Sweep()},
{"name": "S9", "pair": "GBP_USD", "tf": "H1",
"factory": lambda: S9_London_Session()},
{"name": "S9_Filtered", "pair": "GBP_AUD", "tf": "H1",
{"name": "S9_Filtered", "pair": "GBP_AUD", "tf": "H1", "htf_tf": "H1",
"factory": lambda: S9_London_Session(pair="GBP_AUD", filtered=True)},
{"name": "S4F", "pair": "EUR_AUD", "tf": "M15",
"factory": lambda: S4F_EMA_Ribbon()},
{"name": "S3", "pair": "GBP_JPY", "tf": "H1",
{"name": "S3", "pair": "GBP_JPY", "tf": "H1", "htf_tf": "H1",
"factory": lambda: S3_KeyLevel_Breakout()},
{"name": "S8_OB", "pair": "GBP_USD", "tf": "M15", "htf_tf": "H1",
"factory": lambda: _s8_tuned()},
]
N_SIMULATIONS = 1000
@@ -53,14 +60,23 @@ def load_data(pair, tf):
return compute_all_indicators(df)
def run_backtest(cfg):
def run_backtest(cfg, data_cache):
pair = cfg["pair"]
tf = cfg["tf"]
data = load_data(pair, tf)
htf_tf = cfg["htf_tf"]
cache_key = f"{pair}_{tf}"
if cache_key not in data_cache:
data_cache[cache_key] = load_data(pair, tf)
data = data_cache[cache_key]
if data is None:
return None
htf_data = data.copy() if tf == "H1" else load_data(pair, "H1")
htf_cache_key = f"{pair}_{htf_tf}"
if htf_cache_key not in data_cache:
data_cache[htf_cache_key] = load_data(pair, htf_tf)
htf_data = data_cache[htf_cache_key] if htf_tf != tf else data
strategy = cfg["factory"]()
bt = Backtester(data=data, strategy=strategy, pair=pair,
starting_equity=STARTING_EQUITY, htf_data=htf_data)
@@ -181,17 +197,19 @@ def main():
print(f"{'='*90}")
all_results = {}
data_cache = {}
for cfg in CONFIGS:
name = cfg["name"]
pair = cfg["pair"]
tf = cfg["tf"]
print(f"\n{'#'*60}")
print(f"# {name} / {pair}")
print(f"# {name} / {pair} ({tf})")
print(f"{'#'*60}")
t0 = time.time()
trade_log = run_backtest(cfg)
trade_log = run_backtest(cfg, data_cache)
elapsed = time.time() - t0
if trade_log is None or trade_log.empty: