it works buty its not good\
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zastian-dev
123
src/config.rs
123
src/config.rs
@@ -37,7 +37,7 @@ pub const MACD_FAST: usize = 12;
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pub const MACD_SLOW: usize = 26;
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pub const MACD_SIGNAL: usize = 9;
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pub const MOMENTUM_PERIOD: usize = 5;
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pub const MOMENTUM_PERIOD: usize = 63;
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pub const EMA_SHORT: usize = 9;
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pub const EMA_LONG: usize = 21;
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@@ -45,7 +45,7 @@ pub const EMA_TREND: usize = 50;
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// ADX - Trend Strength
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pub const ADX_PERIOD: usize = 14;
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pub const ADX_THRESHOLD: f64 = 25.0;
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pub const ADX_THRESHOLD: f64 = 20.0;
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pub const ADX_STRONG: f64 = 35.0;
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// Bollinger Bands
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@@ -54,8 +54,7 @@ pub const BB_STD: f64 = 2.0;
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// ATR for volatility-based stops
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pub const ATR_PERIOD: usize = 14;
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pub const ATR_MULTIPLIER_STOP: f64 = 1.5;
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pub const ATR_MULTIPLIER_TRAIL: f64 = 2.5;
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pub const MIN_ATR_PCT: f64 = 0.005; // 0.5% floor to prevent extreme position sizing
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// Volume filter
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pub const VOLUME_MA_PERIOD: usize = 20;
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@@ -66,11 +65,56 @@ pub const TOP_MOMENTUM_COUNT: usize = 8;
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// Risk Management
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pub const MAX_POSITION_SIZE: f64 = 0.22;
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pub const MIN_CASH_RESERVE: f64 = 0.01;
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pub const STOP_LOSS_PCT: f64 = 0.025;
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pub const TAKE_PROFIT_PCT: f64 = 0.40;
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pub const TRAILING_STOP_ACTIVATION: f64 = 0.12;
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pub const TRAILING_STOP_DISTANCE: f64 = 0.07;
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pub const MIN_CASH_RESERVE: f64 = 0.05;
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pub const STOP_LOSS_PCT: f64 = 0.025; // fixed % fallback when no ATR
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pub const MAX_LOSS_PCT: f64 = 0.04; // hard cap: no trade loses more than 4% regardless of ATR
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pub const TRAILING_STOP_ACTIVATION: f64 = 0.08; // fixed % fallback for trailing activation
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pub const TRAILING_STOP_DISTANCE: f64 = 0.05; // fixed % fallback for trailing distance
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// ATR-based risk management (overrides fixed % when ATR is available)
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/// Risk budget per trade as fraction of portfolio. Used with ATR for position sizing:
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/// position_value = (portfolio * RISK_PER_TRADE) / (ATR_STOP_MULTIPLIER * atr_pct).
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/// Reduced to 0.75% for hourly trading to account for more frequent trades and higher transaction costs.
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pub const RISK_PER_TRADE: f64 = 0.0075; // 0.75% of portfolio risk per trade
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/// Initial stop-loss distance in ATR multiples. At 2.5x ATR for hourly bars, provides
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/// adequate room for intraday volatility while maintaining risk control.
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/// Hourly ATR is noisier than daily, requiring wider stops to avoid premature exits.
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pub const ATR_STOP_MULTIPLIER: f64 = 2.5;
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/// Trailing stop distance in ATR multiples once activated.
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/// At 1.5x ATR (same as initial stop), we lock in gains without giving back too much.
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pub const ATR_TRAIL_MULTIPLIER: f64 = 1.5;
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/// Trailing stop activates after this many ATR of unrealized gain.
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/// At 1.5x ATR, activates once the trade has earned its risk budget.
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pub const ATR_TRAIL_ACTIVATION_MULTIPLIER: f64 = 1.5;
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// Portfolio-level controls
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/// Max concurrent positions reduced to 5 for hourly trading to limit correlation risk
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/// with faster rebalancing and more frequent signals.
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pub const MAX_CONCURRENT_POSITIONS: usize = 5;
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pub const MAX_SECTOR_POSITIONS: usize = 2;
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pub const MAX_DRAWDOWN_HALT: f64 = 0.10; // trigger circuit breaker at 10% drawdown
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pub const DRAWDOWN_HALT_BARS: usize = 35; // halt for 35 bars (~5 trading days on hourly), then auto-resume
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// Time-based exit
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/// Stale position exit threshold (in bars). Positions that haven't reached
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/// trailing stop activation after this many bars are closed to free capital.
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/// 30 hourly bars ~ 4.3 trading days. Gives positions enough time to work
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/// without tying up capital in dead trades indefinitely.
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pub const TIME_EXIT_BARS: usize = 30;
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/// Re-entry cooldown period (in bars) after a stop-loss exit.
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/// Prevents whipsaw churning where a stock is sold at stop-loss then
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/// immediately re-bought on the same bar. 7 bars = 1 trading day on hourly.
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/// This single parameter prevents the majority of same-day round-trip losses.
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pub const REENTRY_COOLDOWN_BARS: usize = 7;
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/// Gradual ramp-up period (in bars) at backtest start.
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/// Limits new positions to 1 per bar during this initial period to prevent
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/// flash-deployment of full capital. 30 bars = ~4.3 trading days on hourly.
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pub const RAMPUP_PERIOD_BARS: usize = 30;
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// Backtester slippage
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pub const SLIPPAGE_BPS: f64 = 10.0; // 10 basis points per trade
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// Trading intervals
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pub const BOT_CHECK_INTERVAL_SECONDS: u64 = 15;
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@@ -83,6 +127,31 @@ pub const TRADING_DAYS_PER_YEAR: usize = 252;
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// Hours per trading day (for scaling parameters)
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pub const HOURS_PER_DAY: usize = 7;
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/// Get the sector for a given symbol.
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pub fn get_sector(symbol: &str) -> &'static str {
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if MAG7.contains(&symbol) {
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"mag7"
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} else if SEMIS.contains(&symbol) {
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"semis"
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} else if GROWTH_TECH.contains(&symbol) {
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"growth_tech"
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} else if HEALTHCARE.contains(&symbol) {
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"healthcare"
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} else if FINTECH_VOLATILE.contains(&symbol) {
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"fintech_volatile"
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} else if SP500_FINANCIALS.contains(&symbol) {
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"financials"
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} else if SP500_INDUSTRIALS.contains(&symbol) {
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"industrials"
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} else if SP500_CONSUMER.contains(&symbol) {
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"consumer"
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} else if SP500_ENERGY.contains(&symbol) {
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"energy"
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} else {
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"unknown"
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}
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}
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/// Indicator parameters that can be scaled for different timeframes.
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#[derive(Debug, Clone)]
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pub struct IndicatorParams {
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@@ -119,33 +188,35 @@ impl IndicatorParams {
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}
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}
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/// Create parameters for hourly timeframe (scaled by HOURS_PER_DAY).
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/// Create parameters for hourly timeframe.
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/// Uses standard textbook periods appropriate for hourly bars.
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/// Research shows indicator periods work on bar counts, not calendar time.
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pub fn hourly() -> Self {
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let scale = HOURS_PER_DAY;
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Self {
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rsi_period: RSI_PERIOD * scale,
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macd_fast: MACD_FAST * scale,
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macd_slow: MACD_SLOW * scale,
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macd_signal: MACD_SIGNAL * scale,
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momentum_period: MOMENTUM_PERIOD * scale,
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ema_short: EMA_SHORT * scale,
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ema_long: EMA_LONG * scale,
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ema_trend: EMA_TREND * scale,
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adx_period: ADX_PERIOD * scale,
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bb_period: BB_PERIOD * scale,
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atr_period: ATR_PERIOD * scale,
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volume_ma_period: VOLUME_MA_PERIOD * scale,
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rsi_period: 14, // Standard RSI-14 (works on any timeframe)
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macd_fast: 12, // Standard MACD
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macd_slow: 26, // Standard MACD
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macd_signal: 9, // Standard MACD
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momentum_period: 63, // ~9 trading days on hourly (tactical momentum)
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ema_short: 20, // ~3 trading days
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ema_long: 50, // ~7 trading days
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ema_trend: 100, // ~14 trading days
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adx_period: 14, // Standard ADX-14
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bb_period: 20, // Standard BB-20
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atr_period: 14, // Standard ATR-14
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volume_ma_period: 20, // Standard 20-bar volume MA
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}
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}
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/// Get the minimum number of bars required for indicator calculation.
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pub fn min_bars(&self) -> usize {
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*[
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self.macd_slow,
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self.rsi_period,
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self.macd_slow + self.macd_signal, // MACD needs slow + signal periods
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self.rsi_period + 1, // RSI needs period + 1
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self.ema_trend,
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self.adx_period,
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self.adx_period * 2, // ADX needs 2x period (DI smoothing + ADX smoothing)
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self.bb_period,
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self.momentum_period,
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]
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.iter()
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.max()
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