mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-03 05:47:43 +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>
192 lines
3.8 KiB
JSON
192 lines
3.8 KiB
JSON
{
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"S7_Tight_GBP_JPY": {
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"pair": "GBP_JPY",
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"timeframe": "H1",
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"years": {
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"2021": {
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"trades": 34,
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"wr": 47.1,
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"pf": 0.47,
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"pnl_pips": -465.5,
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"max_dd_pips": -618.3,
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"expectancy": -13.69
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},
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"2022": {
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"trades": 29,
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"wr": 58.6,
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"pf": 0.89,
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"pnl_pips": -102.1,
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"max_dd_pips": -412.7,
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"expectancy": -3.52
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},
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"2023": {
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"trades": 35,
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"wr": 71.4,
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"pf": 1.8,
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"pnl_pips": 558.9,
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"max_dd_pips": -219.9,
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"expectancy": 15.97
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}
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},
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"full": {
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"trades": 98,
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"wr": 59.2,
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"pf": 1.0,
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"pnl_pips": -8.6,
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"max_dd_pips": -723.9,
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"expectancy": -0.09
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}
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},
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"S9_GBP_USD": {
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"pair": "GBP_USD",
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"timeframe": "H1",
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"years": {
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"2021": {
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"trades": 138,
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"wr": 52.2,
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"pf": 0.71,
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"pnl_pips": -701.8,
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"max_dd_pips": -856.6,
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"expectancy": -5.09
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},
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"2022": {
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"trades": 115,
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"wr": 51.3,
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"pf": 0.83,
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"pnl_pips": -470.0,
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"max_dd_pips": -1030.5,
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"expectancy": -4.09
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},
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"2023": {
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"trades": 32,
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"wr": 68.8,
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"pf": 1.38,
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"pnl_pips": 154.8,
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"max_dd_pips": -132.7,
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"expectancy": 4.84
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}
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},
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"full": {
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"trades": 285,
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"wr": 53.7,
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"pf": 0.82,
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"pnl_pips": -1017.0,
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"max_dd_pips": -1775.8,
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"expectancy": -3.57
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}
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},
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"S9_Filtered_GBP_AUD": {
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"pair": "GBP_AUD",
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"timeframe": "H1",
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"years": {
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"2021": {
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"trades": 31,
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"wr": 45.2,
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"pf": 0.58,
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"pnl_pips": -412.3,
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"max_dd_pips": -535.5,
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"expectancy": -13.3
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},
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"2022": {
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"trades": 23,
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"wr": 73.9,
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"pf": 2.57,
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"pnl_pips": 544.1,
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"max_dd_pips": -116.9,
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"expectancy": 23.65
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},
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"2023": {
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"trades": 12,
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"wr": 75.0,
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"pf": 2.98,
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"pnl_pips": 342.6,
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"max_dd_pips": -49.6,
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"expectancy": 28.55
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}
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},
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"full": {
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"trades": 66,
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"wr": 60.6,
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"pf": 1.32,
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"pnl_pips": 474.3,
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"max_dd_pips": -561.2,
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"expectancy": 7.19
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}
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},
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"S4F_EUR_AUD": {
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"pair": "EUR_AUD",
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"timeframe": "M15",
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"years": {
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"2021": {
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"trades": 42,
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"wr": 42.9,
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"pf": 1.11,
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"pnl_pips": 57.8,
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"max_dd_pips": -119.7,
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"expectancy": 1.38
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},
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"2022": {
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"trades": 33,
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"wr": 60.6,
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"pf": 1.79,
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"pnl_pips": 370.0,
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"max_dd_pips": -183.7,
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"expectancy": 11.21
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},
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"2023": {
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"trades": 20,
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"wr": 25.0,
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"pf": 0.48,
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"pnl_pips": -254.7,
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"max_dd_pips": -337.2,
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"expectancy": -12.74
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}
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},
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"full": {
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"trades": 95,
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"wr": 45.3,
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"pf": 1.12,
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"pnl_pips": 173.0,
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"max_dd_pips": -337.2,
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"expectancy": 1.82
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}
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},
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"S3_GBP_JPY": {
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"pair": "GBP_JPY",
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"timeframe": "H1",
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"years": {
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"2021": {
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"trades": 65,
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"wr": 46.2,
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"pf": 0.9,
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"pnl_pips": -112.6,
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"max_dd_pips": -345.7,
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"expectancy": -1.73
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},
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"2022": {
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"trades": 47,
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"wr": 53.2,
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"pf": 1.21,
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"pnl_pips": 262.9,
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"max_dd_pips": -307.3,
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"expectancy": 5.59
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},
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"2023": {
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"trades": 38,
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"wr": 55.3,
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"pf": 1.07,
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"pnl_pips": 56.9,
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"max_dd_pips": -182.9,
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"expectancy": 1.5
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}
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},
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"full": {
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"trades": 150,
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"wr": 50.7,
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"pf": 1.07,
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"pnl_pips": 203.1,
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"max_dd_pips": -533.2,
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"expectancy": 1.35
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}
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}
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} |