108 lines
2.6 KiB
JSON
108 lines
2.6 KiB
JSON
{
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"db": {
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"stored_proc": "opt_RendimentoGiornaliero1_ALL",
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"n_bars": 1260,
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"ptf_curr": "EUR"
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},
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"pattern": {
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"wp": 60,
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"ha": 10,
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"knn_k": 25,
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"theta": 0.005,
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"embargo": null
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},
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"tagging": {
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"z_rev": 2.0,
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"z_vol": 2.0,
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"std_comp_pct": 0.15
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},
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"ranking": {
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"top_n_max": 15,
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"rp_max_weight": 0.1333333333
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},
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"signals": {
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"_comment": "Parametri di default (Equal_Weight, Risk_Parity). Le strategie _v2 hanno override in 'strategies'.",
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"sl_bps": 300.0,
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"tp_bps": 800.0,
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"trail_bps": 300.0,
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"time_stop_bars": 20,
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"theta_exit": 0.0,
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"weak_days_exit": null,
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"max_open": 15,
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"base_capital_per_strategy": 100.0,
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"min_trade_notional": 0.01,
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"risk_parity_lookback": 60,
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"decision_every": 1,
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"min_holding_bars": 0
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},
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"strategies": {
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"_comment": "Strategie operative. Ognuna pu\u00f2 sovrascrivere parametri di 'signals'. EW_v2 e RP_v2 implementano Config B identificata dal grid search.",
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"Equal_Weight": {
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"sizing": "equal_weight",
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"enabled": true,
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"params": {}
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},
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"Risk_Parity": {
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"sizing": "risk_parity",
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"enabled": true,
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"params": {}
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},
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"Equal_Weight_v2": {
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"sizing": "equal_weight",
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"enabled": true,
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"params": {
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"tp_bps": 1200.0,
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"trail_bps": 200.0,
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"decision_every": 1,
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"min_holding_bars": 5
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}
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},
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"Risk_Parity_v2": {
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"sizing": "risk_parity",
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"enabled": true,
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"params": {
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"tp_bps": 1200.0,
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"trail_bps": 200.0,
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"decision_every": 1,
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"min_holding_bars": 5
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}
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}
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},
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"equity_log": {
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"strategy_whitelist": [
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"Equal_Weight",
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"Risk_Parity",
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"Equal_Weight_v2",
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"Risk_Parity_v2"
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]
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},
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"paths": {
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"base_dir": ".",
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"input_universe": "Input/Universo per Trading System.xlsx",
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"connection_txt": "connection.txt",
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"output_dir": "output",
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"plot_dir": "plot",
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"open_trades_dir": "open_trades",
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"audit_log_csv": "output/trades_audit_log.csv"
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},
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"hurst": {
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"_comment": "Hurst RIMOSSO dalla logica decisionale (vedi PROJECT.md). Sezione mantenuta per retrocompatibilit\u00e0 e usi qualitativi futuri tramite shared_utils.hurst_rs.",
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"lookback": null,
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"min_length": 200,
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"win_grid": [16, 24, 32, 48, 64, 96, 128, 192, 256, 384, 512],
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"min_segments": 2
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},
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"prices": {
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"base_url": "https://fin.scorer.app/finance/euronext/price",
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"max_retry": 3,
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"sleep_sec": 0.1,
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"timeout": 10
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},
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"run": {
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"business_days_only": true,
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"seed": 42,
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"top_n_default": 15,
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"days_per_year": 252
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}
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}
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