just a checkpoint

src/config.rs

@@ -14,7 +14,7 @@ pub const SP500_ENERGY: &[&str] = &["XOM", "CVX", "COP", "SLB", "OXY", "EOG", "M
 pub const TELECOM_MEDIA: &[&str] = &["T", "VZ", "CMCSA", "TMUS", "NFLX"];
 pub const INTERNATIONAL: &[&str] = &["TSM", "BABA", "JD", "SHOP", "MELI"];
 pub const MATERIALS: &[&str] = &["FCX", "NEM", "LIN", "APD", "SHW"];
-/// Get all symbols in the trading universe (~100 stocks).
+/// Get all symbols in the trading universe (~100 stocks + SPY for regime).
 pub fn get_all_symbols() -> Vec<&'static str> {
     let mut symbols = Vec::new();
     symbols.extend_from_slice(MAG7);
@@ -31,6 +31,8 @@ pub fn get_all_symbols() -> Vec<&'static str> {
     symbols.extend_from_slice(TELECOM_MEDIA);
     symbols.extend_from_slice(INTERNATIONAL);
     symbols.extend_from_slice(MATERIALS);
+    // SPY is included for market regime detection (never traded directly)
+    symbols.push(REGIME_SPY_SYMBOL);
     // Deduplicate (NFLX appears in both GROWTH_TECH and TELECOM_MEDIA)
     symbols.sort();
     symbols.dedup();
@@ -40,10 +42,6 @@ pub fn get_all_symbols() -> Vec<&'static str> {
 // RSI-14 for trend assessment, RSI-2 for mean-reversion entries (Connors)
 pub const RSI_PERIOD: usize = 14;
 pub const RSI_SHORT_PERIOD: usize = 2; // Connors RSI-2 for mean reversion
-pub const RSI_OVERSOLD: f64 = 30.0;
-pub const RSI_OVERBOUGHT: f64 = 70.0;
-pub const RSI2_OVERSOLD: f64 = 10.0; // Extreme oversold for mean reversion entries
-pub const RSI2_OVERBOUGHT: f64 = 90.0; // Extreme overbought for mean reversion exits
 pub const MACD_FAST: usize = 12;
 pub const MACD_SLOW: usize = 26;
 pub const MACD_SIGNAL: usize = 9;
@@ -56,9 +54,7 @@ pub const EMA_TREND: usize = 50;
 // ADX > TREND_THRESHOLD = trending (use momentum/pullback)
 // Between = transition zone (reduce size, be cautious)
 pub const ADX_PERIOD: usize = 14;
-pub const ADX_RANGE_THRESHOLD: f64 = 20.0; // Below this = range-bound
 pub const ADX_TREND_THRESHOLD: f64 = 25.0; // Above this = trending
-pub const ADX_STRONG: f64 = 40.0; // Strong trend for bonus conviction
 // Bollinger Bands
 pub const BB_PERIOD: usize = 20;
 pub const BB_STD: f64 = 2.0;
@@ -69,28 +65,73 @@ 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 = 20; // ~20% of universe for cross-sectional momentum
+pub const TOP_MOMENTUM_COUNT: usize = 10; // Top decile: Jegadeesh-Titman (1993) strongest effect
 // Risk Management
 pub const MAX_POSITION_SIZE: f64 = 0.25; // Slightly larger for concentrated bets
 pub const MIN_CASH_RESERVE: f64 = 0.05;
 pub const STOP_LOSS_PCT: f64 = 0.025;
-pub const MAX_LOSS_PCT: f64 = 0.05; // Wider max loss — let mean reversion work
-pub const TRAILING_STOP_ACTIVATION: f64 = 0.06;
-pub const TRAILING_STOP_DISTANCE: f64 = 0.04;
+pub const MAX_LOSS_PCT: f64 = 0.08; // Gap protection only — ATR stop handles normal exits
+pub const TRAILING_STOP_ACTIVATION: f64 = 0.04; // Activate earlier to protect profits
+pub const TRAILING_STOP_DISTANCE: f64 = 0.05; // Wider trail to let winners run
 // ATR-based risk management
-pub const RISK_PER_TRADE: f64 = 0.012; // More aggressive sizing for higher conviction
+pub const RISK_PER_TRADE: f64 = 0.01; // Conservative per-trade risk, compensated by more positions
 pub const ATR_STOP_MULTIPLIER: f64 = 3.0; // Wider stops — research shows tighter stops hurt
-pub const ATR_TRAIL_MULTIPLIER: f64 = 2.0; // Wider trail to let winners run
-pub const ATR_TRAIL_ACTIVATION_MULTIPLIER: f64 = 2.0; // Activate after 2x ATR gain
+pub const ATR_TRAIL_MULTIPLIER: f64 = 2.5; // Wide trail from HWM so winners have room to breathe
+pub const ATR_TRAIL_ACTIVATION_MULTIPLIER: f64 = 1.5; // Activate earlier (1.5x ATR gain) to protect profits
 // Portfolio-level controls
-pub const MAX_CONCURRENT_POSITIONS: usize = 7; // More positions for diversification
+pub const MAX_CONCURRENT_POSITIONS: usize = 10; // More diversification reduces idiosyncratic risk
 pub const MAX_SECTOR_POSITIONS: usize = 2;
-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
+// Old single-tier drawdown constants (replaced by tiered system below)
+// pub const MAX_DRAWDOWN_HALT: f64 = 0.15;
+// pub const DRAWDOWN_HALT_BARS: usize = 10;
 // Time-based exit
-pub const TIME_EXIT_BARS: usize = 40; // Longer patience for mean reversion
+pub const TIME_EXIT_BARS: usize = 60; // Patient — now only exits losers, winners use trailing stop
 pub const REENTRY_COOLDOWN_BARS: usize = 5; // Shorter cooldown
 pub const RAMPUP_PERIOD_BARS: usize = 15; // Faster ramp-up
+// ═══════════════════════════════════════════════════════════════════════
+// Market Regime Filter (SPY-based)
+// ═══════════════════════════════════════════════════════════════════════
+// Uses SPY as a broad market proxy to detect bull/caution/bear regimes.
+// Based on the dual moving average framework (Faber 2007, "A Quantitative
+// Approach to Tactical Asset Allocation"): price vs 200-day SMA is the
+// single most effective regime filter in academic literature.
+//
+// Bull:    SPY > EMA-200 AND EMA-50 > EMA-200 → trade normally
+// Caution: SPY < EMA-50 but SPY > EMA-200     → reduce size, raise thresholds
+// Bear:    SPY < EMA-200 AND EMA-50 < EMA-200  → no new buys, manage exits only
+pub const REGIME_SPY_SYMBOL: &str = "SPY";
+pub const REGIME_EMA_SHORT: usize = 50;  // Fast regime EMA
+pub const REGIME_EMA_LONG: usize = 200;  // Slow regime EMA (the "golden cross" line)
+/// In Caution regime, multiply position size by this factor (50% reduction).
+pub const REGIME_CAUTION_SIZE_FACTOR: f64 = 0.5;
+/// In Caution regime, add this to buy thresholds (require stronger signals).
+pub const REGIME_CAUTION_THRESHOLD_BUMP: f64 = 2.0;
+
+// ═══════════════════════════════════════════════════════════════════════
+// Scaled Drawdown Circuit Breaker
+// ═══════════════════════════════════════════════════════════════════════
+// The old fixed 10-bar cooldown is inadequate for real bear markets.
+// Scale the halt duration with severity so that deeper drawdowns force
+// longer cooling periods. At 25%+ DD, also require bull regime to resume.
+pub const DRAWDOWN_TIER1_PCT: f64 = 0.15;  // 15% → 10 bars
+pub const DRAWDOWN_TIER1_BARS: usize = 10;
+pub const DRAWDOWN_TIER2_PCT: f64 = 0.20;  // 20% → 30 bars
+pub const DRAWDOWN_TIER2_BARS: usize = 30;
+pub const DRAWDOWN_TIER3_PCT: f64 = 0.25;  // 25%+ → 50 bars + require bull regime
+pub const DRAWDOWN_TIER3_BARS: usize = 50;
+/// If true, after a Tier 3 drawdown (>=25%), require bull market regime
+/// before resuming new entries even after the bar cooldown expires.
+pub const DRAWDOWN_TIER3_REQUIRE_BULL: bool = true;
+
+// ═══════════════════════════════════════════════════════════════════════
+// Trailing Equity Curve Stop
+// ═══════════════════════════════════════════════════════════════════════
+// If the portfolio equity drops below its own N-bar moving average, stop
+// all new entries. This is a secondary defense independent of the drawdown
+// breaker. Uses a 200-bar SMA of the equity curve (roughly 200 trading
+// days for daily, ~29 trading days for hourly).
+pub const EQUITY_CURVE_SMA_PERIOD: usize = 50; // Shorter window so bot can recover
+
 // Backtester slippage
 pub const SLIPPAGE_BPS: f64 = 10.0;
 // Trading intervals