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https://github.com/QuantEngines/fx_quant_engine.git
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Pramit Dutta
23 lines
422 B
YAML
23 lines
422 B
YAML
directional:
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model_weights:
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trend: 0.35
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momentum: 0.25
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mean_reversion: 0.15
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carry: 0.10
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macro: 0.15
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relative_value:
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lookback: 60
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spread_zscore_threshold: 1.0
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model_weights:
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spread: 0.5
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momentum_diff: 0.3
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carry_diff: 0.2
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confidence:
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agreement_weight: 0.25
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regime_stability_weight: 0.20
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data_quality_weight: 0.20
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volatility_penalty_weight: 0.20
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event_penalty_weight: 0.15
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