9f32948caf
Update correlation analysis for 4-strategy portfolio
...
Avg pairwise PnL correlation: 0.028 (excellent diversification).
S7/S3 signal overlap on GBP_JPY only 6.5%. Portfolio: 289 trades,
PF=1.37, Sharpe=1.29, +1,732 pips ($+23,424), max DD -21%.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com >
2026-02-20 23:28:17 +10:00
072ac0f245
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 >
2026-02-19 14:46:51 +10:00
Brent Neale