mirror of
https://github.com/BrentNeale1/fx-quant.git
synced 2026-08-03 22:07:44 +00:00
Brent Neale
f4734f57c7
Added parameter sweep tool that tested 320 combinations across SMA periods, trade sizes, and RSI filters. Best result: SMA 50/100 on M15 with RSI 80/20 (Sharpe 5.69, 49% win rate). Updated backtester with RSI overbought/oversold signal filtering and config to match optimal parameters. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
58 lines
1005 B
YAML
58 lines
1005 B
YAML
general:
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project_name: fx-quant
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timezone: UTC
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brokers:
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- name: oanda
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type: oanda_v20
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enabled: true
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instruments:
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- EUR_USD
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data:
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candle_count: 200
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candle_granularities:
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- M5
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- M15
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tick_export: false
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features:
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sma_windows:
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- 3
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- 20
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- 50
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- 100
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ema_windows:
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- 20
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rsi_period: 14
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atr_period: 14
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vwap_window: 20
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volatility_window: 20
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ai:
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model: local-ensemble
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confidence_threshold: 0.75
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retriever_enabled: true
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retriever_source: supabase
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ensemble_models:
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- logistic_regression
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- random_forest
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- gradient_boosting
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backtest_validation_window: 50
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sanity_checks:
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rsi_overbought: 80
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rsi_oversold: 20
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volatility_multiplier: 3.0
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strategy:
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rule: sma_cross
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params:
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short: 50
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long: 100
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trade_size_pct_of_equity: 0.025
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max_drawdown_pct: 0.05
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execution:
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paper_mode: true
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canary_size_pct: 0.01
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max_positions: 5
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interval_seconds: 60
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supabase:
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url: https://<your>.supabase.co
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key_env_name: SUPABASE_KEY
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table: fx_candles
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