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Update README with Phase 2 setup guide and analytics summary

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Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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Brent Neale
2026-02-19 14:55:57 +10:00
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@@ -140,6 +140,111 @@ Moving to Smart Money / institutional flow strategies. Will also revisit S3 (SL/
---
## Phase 2: Live Paper Trading + Extended Analytics
Phase 2 advances 5 strategies to live paper trading and extended backtesting analytics.
### Resuming on a New Machine
```bash
git clone https://github.com/BrentNeale1/fx-quant.git
cd fx-quant
pip install pandas numpy requests pyyaml
```
**Set your OANDA credentials** in `config/.env`:
```
OANDA_API_KEY=your-key-here
OANDA_ACCOUNT_ID=your-account-id # <-- REQUIRED, currently empty
OANDA_ENV=practice
```
The API key is already populated. You need to add your **OANDA_ACCOUNT_ID** (find it in the OANDA fxTrade Practice platform under Account Settings).
### Running the Live Engine
```bash
# Single cycle (test connectivity + signal checks)
python src/live/run.py --once
# Continuous mode (polls every 60s, runs overnight)
python src/live/run.py
```
The engine runs 5 strategy slots in paper mode:
| Slot | Strategy | Pair | Timeframe | Signal Type |
|------|----------|------|-----------|-------------|
| 1 | S7 Tight | GBP_JPY | H1 | Liquidity sweep reversal |
| 2 | S9 | GBP_USD | H1 | London session breakout |
| 3 | S9 Filtered | GBP_AUD | H1 | London session + per-pair filters |
| 4 | S4-F | EUR_AUD | M15 + H1 | EMA ribbon trend context |
| 5 | S3 | GBP_JPY | H1 | Key level momentum breakout |
**Signals fire during London/NY sessions (07:00-17:00 UTC)**. Running outside those hours will show "No signal" which is expected.
### Monitoring
- **Live state**: `logs/live_state.json` (equity, open positions per slot)
- **Trade log**: `logs/live_trades.csv` (closed trades with PnL)
- **Paper orders**: `logs/paper_trades.csv` (all order attempts)
- **Kill switch**: Create `STOP_ALL_TRADING` file in project root to halt
### Running Analytics
```bash
# Per-year performance breakdown (2021/2022/2023)
python src/run_regime_analysis.py
# Signal overlap + portfolio metrics
python src/run_correlation_analysis.py
# Kelly criterion + Monte Carlo drawdown simulation
python src/run_kelly_sizing.py
```
Results output to `results/phase2/`.
### Phase 2 Analytics Summary
**Regime Analysis** — 4 of 5 strategies show improving PF over time:
| Strategy | 2021 PF | 2022 PF | 2023 PF | Trend |
|----------|---------|---------|---------|-------|
| S7 Tight / GBP_JPY | 0.47 | 0.89 | 1.80 | UP |
| S9 / GBP_USD | 0.71 | 0.83 | 1.38 | UP |
| S9 Filtered / GBP_AUD | 0.58 | 2.57 | 2.98 | UP |
| S4F / EUR_AUD | 1.11 | 1.79 | 0.48 | DOWN |
| S3 / GBP_JPY | 0.90 | 1.21 | 1.07 | UP |
**Correlation** — S7+S3 on GBP_JPY: 16.9% overlap (moderate, all same-direction). S9 vs S9_Filtered: 12% temporal overlap (good diversification).
**Kelly Sizing** — S9_Filtered: half-Kelly 7.3% (p95 DD 4.8%). S4F: 2.4%. S3: 1.6%. S7/S9 base: Kelly<=0 on full dataset.
### Phase 2 File Structure
```
src/
position_manager.py # Shared Position/TradeRecord + PositionManager
live/
__init__.py
data_feed.py # OANDA candle polling + indicator computation
executor.py # Paper/live order execution
engine.py # LiveEngine orchestrator (5 strategy slots)
run.py # Entry point (--once or continuous)
run_regime_analysis.py # Per-year performance breakdown
run_correlation_analysis.py# Signal overlap + portfolio metrics
run_kelly_sizing.py # Kelly criterion + Monte Carlo
config/
system.yaml # phase2: section with strategy slot config
results/
phase2/
regime_analysis.json
correlation_analysis.json
kelly_sizing.json
```
---
## Strategies (Legacy Reference)
### SMA Cross (original)