mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-07-31 20:37:44 +00:00
Brent Neale
072ac0f245
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>
23 lines
482 B
JSON
23 lines
482 B
JSON
{
|
|
"S7_S3_overlap": {
|
|
"overlap_count": 21,
|
|
"same_dir": 21,
|
|
"opposite_dir": 0,
|
|
"ratio": 0.169
|
|
},
|
|
"S9_S9F_temporal": {
|
|
"s9_trade_days": 275,
|
|
"s9f_trade_days": 65,
|
|
"shared_trade_days": 33,
|
|
"temporal_overlap_ratio": 0.12
|
|
},
|
|
"portfolio": {
|
|
"total_trades": 694,
|
|
"win_rate_pct": 53.3,
|
|
"profit_factor": 0.99,
|
|
"total_pnl_pips": -175.1,
|
|
"total_pnl_dollars": -23036.66,
|
|
"max_drawdown_pct": -47.8,
|
|
"sharpe_ratio": -0.71
|
|
}
|
|
} |