80 lines
1.5 KiB
JSON
80 lines
1.5 KiB
JSON
{
|
|
"db": {
|
|
"stored_proc": "opt_RendimentoGiornaliero1_ALL",
|
|
"n_bars": 1260,
|
|
"ptf_curr": "EUR"
|
|
},
|
|
"pattern": {
|
|
"wp": 60,
|
|
"ha": 10,
|
|
"knn_k": 25,
|
|
"theta": 0.005,
|
|
"embargo": null
|
|
},
|
|
"tagging": {
|
|
"z_rev": 2.0,
|
|
"z_vol": 2.0,
|
|
"std_comp_pct": 0.15
|
|
},
|
|
"ranking": {
|
|
"top_n_max": 15,
|
|
"rp_max_weight": 0.1333333333
|
|
},
|
|
"signals": {
|
|
"sl_bps": 300.0,
|
|
"tp_bps": 800.0,
|
|
"trail_bps": 300.0,
|
|
"time_stop_bars": 20,
|
|
"theta_exit": 0.0,
|
|
"weak_days_exit": null,
|
|
"max_open": 15,
|
|
"base_capital_per_strategy": 100.0,
|
|
"min_trade_notional": 0.01,
|
|
"risk_parity_lookback": 60
|
|
},
|
|
"equity_log": {
|
|
"strategy_whitelist": [
|
|
"Equal_Weight",
|
|
"Risk_Parity"
|
|
]
|
|
},
|
|
"paths": {
|
|
"base_dir": ".",
|
|
"input_universe": "Input/Universo per Trading System.xlsx",
|
|
"connection_txt": "connection.txt",
|
|
"output_dir": "output",
|
|
"plot_dir": "plot",
|
|
"open_trades_dir": "open_trades",
|
|
"audit_log_csv": "output/trades_audit_log.csv"
|
|
},
|
|
"hurst": {
|
|
"lookback": null,
|
|
"min_length": 200,
|
|
"win_grid": [
|
|
16,
|
|
24,
|
|
32,
|
|
48,
|
|
64,
|
|
96,
|
|
128,
|
|
192,
|
|
256,
|
|
384
|
|
],
|
|
"min_segments": 1
|
|
},
|
|
"prices": {
|
|
"base_url": "https://fin.scorer.app/finance/euronext/price",
|
|
"max_retry": 3,
|
|
"sleep_sec": 0.1,
|
|
"timeout": 10
|
|
},
|
|
"run": {
|
|
"business_days_only": true,
|
|
"seed": 42,
|
|
"top_n_default": 15,
|
|
"days_per_year": 252
|
|
}
|
|
}
|