Brent Neale and Claude Opus 4.6
ad58e3be0c
Update regime analysis for 4-strategy portfolio
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S7: UP (1.26->1.80), S9F: UP (0.58->2.26), S3: STABLE (1.16->1.23),
S8_OB: UP (0.66->1.59). Three of four strategies show improving edge.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com >
2026-02-21 00:38:30 +10:00
Brent Neale and Claude Opus 4.6
072ac0f245
Phase 2: Live paper trading engine + extended backtesting analytics
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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
