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it be better

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zastian-dev
2026-02-13 13:12:22 +00:00
parent 80a8e7c346
commit 1ef03999b7
6 changed files with 250 additions and 223 deletions
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6
src/config.rs
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@@ -69,7 +69,7 @@ pub const MIN_ATR_PCT: f64 = 0.005;
pub const VOLUME_MA_PERIOD: usize = 20;
pub const VOLUME_THRESHOLD: f64 = 0.8;
// Momentum Ranking
pub const TOP_MOMENTUM_COUNT: usize = 10; // Wider pool for more opportunities
pub const TOP_MOMENTUM_COUNT: usize = 20; // ~20% of universe for cross-sectional momentum
// Risk Management
pub const MAX_POSITION_SIZE: f64 = 0.25; // Slightly larger for concentrated bets
pub const MIN_CASH_RESERVE: f64 = 0.05;
@@ -85,8 +85,8 @@ pub const ATR_TRAIL_ACTIVATION_MULTIPLIER: f64 = 2.0; // Activate after 2x ATR g
// Portfolio-level controls
pub const MAX_CONCURRENT_POSITIONS: usize = 7; // More positions for diversification
pub const MAX_SECTOR_POSITIONS: usize = 2;
pub const MAX_DRAWDOWN_HALT: f64 = 0.12; // Wider drawdown tolerance
pub const DRAWDOWN_HALT_BARS: usize = 20; // Shorter cooldown to get back in
pub const MAX_DRAWDOWN_HALT: f64 = 0.15; // 15% drawdown trigger (markets routinely correct 10-15%)
pub const DRAWDOWN_HALT_BARS: usize = 10; // Shorter cooldown: 10 bars to resume after halt
// Time-based exit
pub const TIME_EXIT_BARS: usize = 40; // Longer patience for mean reversion
pub const REENTRY_COOLDOWN_BARS: usize = 5; // Shorter cooldown