mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-05 22:57:45 +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>
82 lines
1.7 KiB
JSON
82 lines
1.7 KiB
JSON
{
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"S7_Tight_GBP_JPY": {
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"trades": 98,
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"win_rate": 59.2,
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"avg_win_pips": 42.8,
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"avg_loss_pips": 62.3,
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"avg_win_loss_ratio": 0.69,
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"kelly_full_pct": 0,
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"kelly_half_pct": 0,
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"monte_carlo_half_kelly": {
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"p50_dd": 0,
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"p75_dd": 0,
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"p95_dd": 0,
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"p99_dd": 0,
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"ruin_pct": 0
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}
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},
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"S9_GBP_USD": {
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"trades": 285,
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"win_rate": 53.7,
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"avg_win_pips": 29.3,
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"avg_loss_pips": 41.7,
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"avg_win_loss_ratio": 0.7,
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"kelly_full_pct": 0,
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"kelly_half_pct": 0,
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"monte_carlo_half_kelly": {
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"p50_dd": 0,
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"p75_dd": 0,
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"p95_dd": 0,
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"p99_dd": 0,
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"ruin_pct": 0
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}
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},
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"S9_Filtered_GBP_AUD": {
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"trades": 66,
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"win_rate": 60.6,
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"avg_win_pips": 49.5,
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"avg_loss_pips": 57.9,
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"avg_win_loss_ratio": 0.85,
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"kelly_full_pct": 14.53,
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"kelly_half_pct": 7.26,
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"monte_carlo_half_kelly": {
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"p50_dd": 2.5,
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"p75_dd": 3.3,
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"p95_dd": 4.8,
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"p99_dd": 6.3,
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"ruin_pct": 0.0
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}
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},
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"S4F_EUR_AUD": {
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"trades": 95,
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"win_rate": 45.3,
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"avg_win_pips": 38.8,
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"avg_loss_pips": 28.7,
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"avg_win_loss_ratio": 1.35,
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"kelly_full_pct": 4.7,
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"kelly_half_pct": 2.35,
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"monte_carlo_half_kelly": {
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"p50_dd": 0.7,
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"p75_dd": 1.0,
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"p95_dd": 1.5,
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"p99_dd": 1.9,
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"ruin_pct": 0.0
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}
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},
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"S3_GBP_JPY": {
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"trades": 150,
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"win_rate": 50.7,
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"avg_win_pips": 43.5,
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"avg_loss_pips": 41.9,
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"avg_win_loss_ratio": 1.04,
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"kelly_full_pct": 3.11,
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"kelly_half_pct": 1.56,
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"monte_carlo_half_kelly": {
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"p50_dd": 0.9,
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"p75_dd": 1.2,
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"p95_dd": 1.9,
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"p99_dd": 2.4,
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"ruin_pct": 0.0
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}
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}
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} |