mirror of
https://github.com/QuantEngines/fx_quant_engine.git
synced 2026-07-27 18:37:47 +00:00
Pramit Dutta
23 lines
422 B
YAML
23 lines
422 B
YAML
directional:
|
|
model_weights:
|
|
trend: 0.35
|
|
momentum: 0.25
|
|
mean_reversion: 0.15
|
|
carry: 0.10
|
|
macro: 0.15
|
|
|
|
relative_value:
|
|
lookback: 60
|
|
spread_zscore_threshold: 1.0
|
|
model_weights:
|
|
spread: 0.5
|
|
momentum_diff: 0.3
|
|
carry_diff: 0.2
|
|
|
|
confidence:
|
|
agreement_weight: 0.25
|
|
regime_stability_weight: 0.20
|
|
data_quality_weight: 0.20
|
|
volatility_penalty_weight: 0.20
|
|
event_penalty_weight: 0.15
|