we ball again

src/config.rs

@@ -23,55 +23,61 @@ pub fn get_all_symbols() -> Vec<&'static str> {
     symbols.extend_from_slice(SP500_ENERGY);
     symbols
 }
-// Strategy Parameters - Further tweaked for better performance
-pub const RSI_PERIOD: usize = 14; // Standard reliable period
-pub const RSI_OVERSOLD: f64 = 30.0; // Standard to reduce false entries
-pub const RSI_OVERBOUGHT: f64 = 70.0; // Standard to reduce false signals
-pub const RSI_PULLBACK_LOW: f64 = 35.0; // Slight adjustment
-pub const RSI_PULLBACK_HIGH: f64 = 60.0; // Slight adjustment
+// Strategy Parameters — Regime-Adaptive Dual Signal
+// 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;
 pub const MOMENTUM_PERIOD: usize = 63;
-pub const EMA_SHORT: usize = 9; // Standard short EMA
+pub const EMA_SHORT: usize = 9;
 pub const EMA_LONG: usize = 21;
 pub const EMA_TREND: usize = 50;
-// ADX - Trend Strength
+// ADX — Regime Detection
+// ADX < RANGE_THRESHOLD = ranging (use mean reversion)
+// ADX > TREND_THRESHOLD = trending (use momentum/pullback)
+// Between = transition zone (reduce size, be cautious)
 pub const ADX_PERIOD: usize = 14;
-pub const ADX_THRESHOLD: f64 = 20.0;
-pub const ADX_STRONG: f64 = 35.0;
+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;
-// ATR for volatility-based stops
+// ATR
 pub const ATR_PERIOD: usize = 14;
 pub const MIN_ATR_PCT: f64 = 0.005;
 // Volume filter
 pub const VOLUME_MA_PERIOD: usize = 20;
 pub const VOLUME_THRESHOLD: f64 = 0.8;
 // Momentum Ranking
-pub const TOP_MOMENTUM_COUNT: usize = 8;
+pub const TOP_MOMENTUM_COUNT: usize = 10; // Wider pool for more opportunities
 // Risk Management
-pub const MAX_POSITION_SIZE: f64 = 0.22;
+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 = 0.04;
+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;
 // ATR-based risk management
-pub const RISK_PER_TRADE: f64 = 0.008;
-pub const ATR_STOP_MULTIPLIER: f64 = 2.5;
-pub const ATR_TRAIL_MULTIPLIER: f64 = 1.5;
-pub const ATR_TRAIL_ACTIVATION_MULTIPLIER: f64 = 1.5;
+pub const RISK_PER_TRADE: f64 = 0.012; // More aggressive sizing for higher conviction
+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
 // Portfolio-level controls
-pub const MAX_CONCURRENT_POSITIONS: usize = 5;
+pub const MAX_CONCURRENT_POSITIONS: usize = 7; // More positions for diversification
 pub const MAX_SECTOR_POSITIONS: usize = 2;
-pub const MAX_DRAWDOWN_HALT: f64 = 0.10;
-pub const DRAWDOWN_HALT_BARS: usize = 35;
+pub const MAX_DRAWDOWN_HALT: f64 = 0.12; // Wider drawdown tolerance
+pub const DRAWDOWN_HALT_BARS: usize = 20; // Shorter cooldown to get back in
 // Time-based exit
-pub const TIME_EXIT_BARS: usize = 30;
-pub const REENTRY_COOLDOWN_BARS: usize = 7;
-pub const RAMPUP_PERIOD_BARS: usize = 30;
+pub const TIME_EXIT_BARS: usize = 40; // Longer patience for mean reversion
+pub const REENTRY_COOLDOWN_BARS: usize = 5; // Shorter cooldown
+pub const RAMPUP_PERIOD_BARS: usize = 15; // Faster ramp-up
 // Backtester slippage
 pub const SLIPPAGE_BPS: f64 = 10.0;
 // Trading intervals
@@ -110,6 +116,7 @@ pub fn get_sector(symbol: &str) -> &'static str {
 #[derive(Debug, Clone)]
 pub struct IndicatorParams {
     pub rsi_period: usize,
+    pub rsi_short_period: usize, // RSI-2 for mean reversion
     pub macd_fast: usize,
     pub macd_slow: usize,
     pub macd_signal: usize,
@@ -126,7 +133,8 @@ impl IndicatorParams {
     /// Create parameters for daily timeframe.
     pub fn daily() -> Self {
         Self {
-            rsi_period: 14, // Standard
+            rsi_period: 14,
+            rsi_short_period: 2, // Connors RSI-2
             macd_fast: 12,
             macd_slow: 26,
             macd_signal: 9,
@@ -143,8 +151,9 @@ impl IndicatorParams {
     /// Create parameters for hourly timeframe.
     pub fn hourly() -> Self {
         Self {
-            rsi_period: 14, // Standard even for intraday to reduce noise
-            macd_fast: 12, // Standard for balance
+            rsi_period: 14,
+            rsi_short_period: 3, // Slightly longer for hourly noise
+            macd_fast: 12,
             macd_slow: 26,
             macd_signal: 9,
             momentum_period: 63,