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TPTBusiness
7a0a95163b
Moved: - ATTRIBUTION.md → docs/ - .bandit.yml → constraints/ - data_config.yaml → constraints/ Removed: - selector.log (generated log file) Root directory: 29 files → 26 files (only essentials)
45 lines
1.0 KiB
YAML
45 lines
1.0 KiB
YAML
# ============================================================
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# Predix Data Configuration
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# Change instrument, frequency, and time periods here
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# All other components read from this file
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# ============================================================
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instrument: EURUSD
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frequency: 1min # 1min, 5min, 15min, 1h, 1d
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data_path: ~/.qlib/qlib_data/eurusd_1min_data
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# Available columns (no $factor column!)
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columns:
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- $open
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- $close
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- $high
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- $low
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- $volume
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# Walk-Forward Split
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train_start: "2022-03-14"
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train_end: "2024-06-30"
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valid_start: "2024-07-01"
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valid_end: "2024-12-31"
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test_start: "2025-01-01"
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test_end: "2026-03-20"
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# Market Context for LLM Prompts
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market_context:
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spread_bps: 1.5
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sessions:
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asian: "00:00-08:00 UTC"
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london: "08:00-16:00 UTC"
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ny: "13:00-21:00 UTC"
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overlap: "13:00-16:00 UTC"
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target_arr: 9.62 # % ARR to beat
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max_drawdown: 20 # % maximum drawdown
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# Lookback Reference (in Bars)
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lookback:
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1h: 4
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2h: 8
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4h: 16
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8h: 32
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1d: 96
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