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https://github.com/xavierchuan/FX-ML-Trading-Engine.git
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xiaochuan
78 lines
1.7 KiB
YAML
78 lines
1.7 KiB
YAML
symbol: USDJPY
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csv: data/raw/USDJPY_H1.csv
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cash: 100000.0
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qty: 10000
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account_ccy: USD
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fast: 20
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slow: 120
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spread: 1.2
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slip: 0.2
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comm: 2.0
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atr_sl: 1.2
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atr_tp: 3.5
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atr_window: 21
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cooldown: 24
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allow_short: true
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long_only_above_slow: false
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short_only_below_slow: false
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risk_per_trade_pct: 0.01
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max_drawdown_pct: 0.05
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regime_ema_window: 200
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regime_slope_min: 0.0002
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regime_atr_min: 0.0014
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regime_atr_percentile_min: 0.4
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regime_atr_percentile_window: 400
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regime_trend_min_bars: 2
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htf_factor: 4
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htf_ema_window: 60
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htf_rsi_period: 14
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strategies:
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- name: regime_sma
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params:
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trend_params:
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fast_win: 20
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slow_win: 120
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long_only_above_slow: false
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slope_lookback: 8
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cooldown: 24
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atr_sl: 1.2
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atr_tp: 3.5
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atr_window: 21
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allow_short: true
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short_only_below_slow: false
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rsi_period: 14
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rsi_long_thresh: 60
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rsi_short_thresh: 40
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range_mode: mean_revert
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range_rsi_high: 75
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range_rsi_low: 25
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trend_min_bars: 2
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atr_percentile_min: 0.4
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htf_alignment: true
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htf_rsi_range: [35, 65]
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base_size_mult: 1.0
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size_tiers:
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- name: strong
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min_atr_pct: 0.6
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min_trend_bars: 8
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size_mult: 1.5
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- name: base
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min_atr_pct: 0.45
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min_trend_strength: 0.00008
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size_mult: 1.1
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risk_rules:
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- type: atr_percentile
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max: 0.95
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cooldown_bars: 12
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- type: calendar
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dates: ["2024-12-06", "2025-01-10"]
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cooldown_bars: 24
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- name: bollinger_mean_revert
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params:
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window: 48
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num_std: 2.0
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enter_z: 1.4
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exit_z: 0.2
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allow_short: false
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cooldown: 12
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