You cannot select more than 25 topics
Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
34 lines
1.4 KiB
JSON
34 lines
1.4 KiB
JSON
{
|
|
"experiment_name": "parking_only_jepq",
|
|
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical",
|
|
"description": "Empty strategy (zero event trades) for standalone JEPQ parking backtest. JEPQ (JPMorgan Nasdaq Equity Premium Income ETF) is a covered-call ETF available from 2022-05-04. NOTE: dividend income not modeled in backtest — actual JEPQ returns will be higher. Compare against parking_only_qqq.",
|
|
"base_config": "configs/backtest/return_max_long_v1.json",
|
|
"overrides": {
|
|
"signal": {
|
|
"score_threshold": 99.0,
|
|
"max_candidates_per_day": 0
|
|
},
|
|
"risk": {
|
|
"max_positions": 0,
|
|
"cash_parking_enabled": true,
|
|
"cash_parking_symbol": "jepq",
|
|
"cash_parking_gate_mode": "volatility",
|
|
"cash_parking_gate_vol_lookback": 20,
|
|
"cash_parking_gate_vol_threshold": 0.275,
|
|
"cash_parking_entropy_threshold": 1.45,
|
|
"cash_parking_temperature_threshold": 1.2,
|
|
"cash_parking_autocorr_threshold": 0.0,
|
|
"cash_parking_require_trend": true,
|
|
"cash_parking_trend_mode": "momentum",
|
|
"cash_parking_trend_sma_period": 20,
|
|
"cash_parking_trend_reentry_pct": 0.001,
|
|
"cash_parking_topup_max_peak_drawdown_pct": 0.02,
|
|
"cash_parking_stop_pct": 0.045,
|
|
"cash_parking_stop_recovery_days": 5,
|
|
"cash_parking_stop_recovery_pct": 0.02
|
|
}
|
|
},
|
|
"strategy_engines": [],
|
|
"status": "retired"
|
|
}
|