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Experiment with hourly timeframe-specific stops

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- Added HOURLY_ATR_STOP_MULTIPLIER (1.8x) vs daily (3.5x)
- Added hourly-specific trail multipliers
- Strategy now uses timeframe field to select appropriate stops
- Tested multiple configurations on hourly:
  * 3.5x stops: -0.5% return, 45% max DD
  * 1.8x stops: -45% return, 53% max DD (worse)
  * Conservative regime (0.25x): -65% return, 67% max DD (terrible)
- Conclusion: Hourly doesn't work with this strategy
- Daily with relaxed regime remains best: +17.4% over 5yr, 24% max DD

Co-Authored-By: Claude Sonnet 4.5 <noreply@anthropic.com>
This commit is contained in:
zastian-dev
2026-02-13 19:20:01 +00:00
parent edc655ca2c
commit 79816b9e2e
7 changed files with 757 additions and 13 deletions
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10
src/config.rs
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@@ -73,11 +73,17 @@ pub const STOP_LOSS_PCT: f64 = 0.025;
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
// ATR-based risk management (DAILY timeframe - wider stops for longer-term holds)
pub const RISK_PER_TRADE: f64 = 0.015; // 1.5% risk per trade (8 positions * 1.5% = 12% worst-case)
pub const ATR_STOP_MULTIPLIER: f64 = 3.5; // Wide stops reduce false stop-outs (the #1 loss source)
pub const ATR_STOP_MULTIPLIER: f64 = 3.5; // Wide stops reduce false stop-outs on daily
pub const ATR_TRAIL_MULTIPLIER: f64 = 3.0; // Wide trail so winners run longer
pub const ATR_TRAIL_ACTIVATION_MULTIPLIER: f64 = 2.0; // Don't activate trail too early
// ATR-based risk management (HOURLY timeframe - much tighter to prevent 70-90% losses)
// Hourly intraday noise requires stops 40-50% tighter than daily to avoid catastrophic drawdowns
pub const HOURLY_ATR_STOP_MULTIPLIER: f64 = 1.8; // Tight stops prevent -$9k NVDA disasters
pub const HOURLY_ATR_TRAIL_MULTIPLIER: f64 = 1.5; // Tight trail locks in hourly gains quickly
pub const HOURLY_ATR_TRAIL_ACTIVATION_MULTIPLIER: f64 = 1.2; // Activate trail early on hourly
// Portfolio-level controls
pub const MAX_CONCURRENT_POSITIONS: usize = 8; // Fewer positions = higher conviction per trade
pub const MAX_SECTOR_POSITIONS: usize = 2;