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87 lines
2.3 KiB
JSON
87 lines
2.3 KiB
JSON
{
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"strategy_name": "smallmid_swing_v1",
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"dataset_snapshot_id": "pending_phase7",
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"universe": {
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"min_price": 5.0,
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"min_avg_dollar_volume": 300000.0,
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"exclude_asset_types": ["ETF", "FUND"]
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},
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"signal": {
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"score_threshold": 0.55,
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"max_candidates_per_day": 3,
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"execution_timing": "next_open",
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"decision_timing": "reaction_close",
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"ranking_fields": ["score", "avg_dollar_volume"]
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},
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"risk": {
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"per_trade_risk_pct": 0.005,
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"max_daily_new_risk_pct": 0.015,
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"max_positions": 4,
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"max_positions_per_sector": 2,
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"max_position_value_pct": 0.10,
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"max_adv_fraction": 0.02,
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"cooldown_after_loss_streak": 3,
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"cooldown_days": 2,
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"macro_regime_enabled": false,
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"macro_sma_period": 20,
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"stop_atr_multiplier": 3.0,
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"backtest_mode": "research",
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"kill_switch_cooldown_days": 20,
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"kill_switch_log_only": true,
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"veto_oneoff_penalty": 0.7,
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"veto_parse_confidence_min": 0.4,
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"veto_unknown_direction": false,
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"veto_bearish_direction": true
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},
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"execution": {
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"entry_fill_model": "next_open",
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"exit_fill_model": "daily_bar_approximation",
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"slippage_bps_base": 25.0,
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"commission_per_share": 0.005,
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"same_bar_priority": "stop_first_conservative",
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"target_model": "atr_multiple",
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"target_1_r": 2.0,
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"target_atr_multiplier": 1.5,
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"target_1_fraction": 0.5,
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"trailing_model": "pct_5",
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"trailing_warmup_days": 2,
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"max_holding_days": 15,
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"no_follow_through_exit": false
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},
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"reporting": {
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"write_trade_blotter": true,
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"write_equity_curve": true,
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"write_metrics_summary": true,
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"generate_plots": false,
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"attribution_buckets": ["event_type", "sector", "score_bucket"]
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},
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"event_type_profiles": {
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"earnings_release": {
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"enabled": true,
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"max_holding_days_override": 15,
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"direction_filter": "any"
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},
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"guidance_update": {
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"enabled": true,
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"max_holding_days_override": 15,
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"direction_filter": "any"
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},
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"management_change": {
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"enabled": true,
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"direction_filter": "any"
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},
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"material_contract": {
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"enabled": true,
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"max_holding_days_override": 10,
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"direction_filter": "any"
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},
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"unknown": {
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"enabled": true,
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"direction_filter": "any"
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},
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"other_material_event": {
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"enabled": false
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}
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}
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}
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