Brent NealeandClaude Opus 4.6 33369f9151 Update Kelly sizing for 4-strategy portfolio ...

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>

2026-02-20 23:40:11 +10:00

..

backtest_report.json

Update S8_OB to best sweep params (DISP=2.5, TP1=2.0, Window=40)

2026-02-20 23:12:43 +10:00

correlation_analysis.json

Update correlation analysis for 4-strategy portfolio

2026-02-20 23:28:17 +10:00

kelly_sizing.json

Update Kelly sizing for 4-strategy portfolio

2026-02-20 23:40:11 +10:00

param_sweep.json

Update param sweep results with S8_OB grid (27 combos)

2026-02-20 23:02:12 +10:00

regime_analysis.json

Phase 2: Live paper trading engine + extended backtesting analytics

2026-02-19 14:46:51 +10:00

s8_param_sweep.json

Add S8 Order Block (GBP_USD/M15) to Phase 2 portfolio

2026-02-20 21:00:30 +10:00

test_all_strategies.json

Add S8 Order Block (GBP_USD/M15) to Phase 2 portfolio

2026-02-20 21:00:30 +10:00

trades_S3_IS.csv

Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

2026-02-20 10:25:09 +10:00

trades_S3_OOS.csv

Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

2026-02-20 10:25:09 +10:00

trades_S4F_IS.csv

Add Phase 2 backtesting pipeline: IS/OOS split, param sweep, generalization scoring

2026-02-20 10:25:08 +10:00

trades_S4F_OOS.csv

Add Phase 2 backtesting pipeline: IS/OOS split, param sweep, generalization scoring

2026-02-20 10:25:08 +10:00

trades_S7_Tight_IS.csv

Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

2026-02-20 10:25:09 +10:00

trades_S7_Tight_OOS.csv

Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

2026-02-20 10:25:09 +10:00

trades_S8_OB_IS.csv

Update S8_OB to best sweep params (DISP=2.5, TP1=2.0, Window=40)

2026-02-20 23:12:43 +10:00

trades_S8_OB_OOS.csv

Update S8_OB to best sweep params (DISP=2.5, TP1=2.0, Window=40)

2026-02-20 23:12:43 +10:00

trades_S9_Filtered_IS.csv

Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

2026-02-20 10:25:09 +10:00

trades_S9_Filtered_OOS.csv

Refine Phase 2 portfolio: data-driven filters, drop S4F and S9

2026-02-20 10:25:09 +10:00

trades_S9_IS.csv

Add Phase 2 backtesting pipeline: IS/OOS split, param sweep, generalization scoring

2026-02-20 10:25:08 +10:00

trades_S9_OOS.csv

Add Phase 2 backtesting pipeline: IS/OOS split, param sweep, generalization scoring

2026-02-20 10:25:08 +10:00