new strat needed

.claude/agent-memory/quant-rust-strategist/MEMORY.md

@@ -1,33 +1,42 @@
 # Quant-Rust-Strategist Memory
 
 ## Architecture Overview
-- 50-symbol universe across 9 sectors (MAG7, semis, growth tech, healthcare, fintech, financials, industrials, consumer, energy)
+- 50-symbol universe across 9 sectors
-- Hybrid momentum + mean-reversion strategy via composite signal scoring in `generate_signal()`
+- Hybrid momentum + mean-reversion via composite signal scoring in `generate_signal()`
-- Backtester restricts buys to top 8 momentum stocks; live mode also uses TOP_MOMENTUM_COUNT=8
+- Backtester restricts buys to top 8 momentum stocks (TOP_MOMENTUM_COUNT=8)
 - Signal thresholds: StrongBuy>=6.0, Buy>=4.5, Sell<=-3.5, StrongSell<=-6.0
 
-## Critical Finding: Hourly Mode is Catastrophically Broken (2026-02-11)
+## Key Finding: Daily vs Hourly Parameter Sensitivity (2026-02-11)
-See [hourly-backtest-analysis-2026-02-11.md](hourly-backtest-analysis-2026-02-11.md) for full details.
 
-### Root Causes (Priority Order)
+### Daily Timeframe Optimization (Successful)
-1. **7x period scaling creates absurd indicator requirements**: RSI=98, MACD slow=182, EMA trend=350, momentum=441. min_bars()~450. Most indicators are NaN for majority of the data.
+- Reduced momentum_period 252->63, ema_trend 200->50 in IndicatorParams::daily()
-2. **Drawdown halt at 10% is terminal for short backtests**: After -11.44% in 8 days, system sat in 100% cash for 2+ months (Nov 21 to Feb 11). This made the loss permanent.
+- Reduced warmup from 267 bars to ~70 bars
-3. **Churning in opening days**: MU 3x, AMD 3x, GOOGL 3x in first 8 days. Cooldown helps but insufficient when all indicators trigger simultaneously on warmup.
+- Result: Sharpe 0.53->0.86 (+62%), Win rate 40%->50%, PF 1.32->1.52
-4. **IEX feed**: `feed=iex` gives thin volume, unreliable for hourly OHLCV.
-5. **Concentrated sector exposure**: MU, AMD, ASML all semis.
 
-### Previous Finding: Daily Churning (also 2026-02-11)
+### Hourly Timeframe: DO NOT CHANGE FROM BASELINE
-See [backtest-analysis-2026-02-11.md](backtest-analysis-2026-02-11.md) for daily mode analysis.
+- Hourly IndicatorParams: momentum=63, ema_trend=200 (long lookbacks filter IEX noise)
-- 12 whipsaw events cost $7,128, 16 same-day round-trips at 0% win rate
+- Shorter periods (momentum=21, ema_trend=50): CATASTROPHIC -8% loss
-- Fixed by: cooldown timer (7 bars), ATR stop widened to 2.0x, buy threshold raised to 4.5
+- ADX threshold lowered 25->20 (shared const, helps both timeframes)
 
-## Key Parameters (config.rs) - Current as of 2026-02-11
+### Failed Experiments (avoid repeating)
-- ATR Stop: 2.0x | ATR Trail: 1.5x distance, 1.5x activation
+1. Tighter ATR stop (2.0x): too many stop-outs on hourly. Keep 2.5x
-- Max-loss cap: 4% | Position sizing: 1% risk / ATR_stop_pct, capped at 22%
+2. Lower buy threshold (3.5): too many weak entries. Keep 4.5
-- Max 6 positions, max 2 per sector | Drawdown halt: 10% | Time exit: 30 bars
+3. More positions (8): spreads capital too thin. Keep 5
-- Cooldown: 7 bars | Slippage: 10bps
+4. Higher risk per trade (1.0-1.2%): compounds losses. Keep 0.8%
-- Hourly mode: ALL indicator periods multiplied by 7 (HOURS_PER_DAY=7)
+5. Wider trail (2.5x ATR): misses profit on hourly. Keep 1.5x
+6. Lower volume threshold (0.7): bad trades on IEX. Keep 0.8
+7. Lower cash reserve (3%): marginal, not worth risk. Keep 5%
+
+## Current Parameters (config.rs)
+- ATR Stop: 2.5x | Trail: 1.5x distance, 1.5x activation
+- Risk: 0.8%/trade, max 22% position, 5% cash reserve, 4% max loss
+- Max 5 positions, 2/sector | Drawdown halt: 10% (35 bars) | Time exit: 30
+- Cooldown: 7 bars | Ramp-up: 30 bars | Slippage: 10bps
+- Daily params: momentum=63, ema_trend=50
+- Hourly params: momentum=63, ema_trend=200
+- ADX: threshold=20, strong=35
 
 ## Build Notes
-- `cargo build --release` compiles clean (only pre-existing dead_code warnings)
+- `cargo build --release` compiles clean (only dead_code warnings)
 - No tests exist
+- Backtests have stochastic variation from IEX data timing

src/config.rs

@@ -1,5 +1,4 @@
 //! Configuration constants for the trading bot.
-
 // Stock Universe
 pub const MAG7: &[&str] = &["AAPL", "MSFT", "GOOGL", "AMZN", "META", "NVDA", "TSLA"];
 pub const SEMIS: &[&str] = &["AVGO", "AMD", "ASML", "QCOM", "MU"];
@@ -10,7 +9,6 @@ pub const SP500_FINANCIALS: &[&str] = &["JPM", "GS", "MS", "BLK", "AXP", "C"];
 pub const SP500_INDUSTRIALS: &[&str] = &["CAT", "GE", "HON", "BA", "RTX", "LMT", "DE"];
 pub const SP500_CONSUMER: &[&str] = &["COST", "WMT", "HD", "NKE", "SBUX", "MCD", "DIS"];
 pub const SP500_ENERGY: &[&str] = &["XOM", "CVX", "COP", "SLB", "OXY"];
-
 /// Get all symbols in the trading universe (50 stocks).
 pub fn get_all_symbols() -> Vec<&'static str> {
     let mut symbols = Vec::new();
@@ -25,108 +23,65 @@ pub fn get_all_symbols() -> Vec<&'static str> {
     symbols.extend_from_slice(SP500_ENERGY);
     symbols
 }
-
+// Strategy Parameters - Further tweaked for better performance
-// Strategy Parameters
+pub const RSI_PERIOD: usize = 14; // Standard reliable period
-pub const RSI_PERIOD: usize = 14;
+pub const RSI_OVERSOLD: f64 = 30.0; // Standard to reduce false entries
-pub const RSI_OVERSOLD: f64 = 30.0;
+pub const RSI_OVERBOUGHT: f64 = 70.0; // Standard to reduce false signals
-pub const RSI_OVERBOUGHT: f64 = 70.0;
+pub const RSI_PULLBACK_LOW: f64 = 35.0; // Slight adjustment
-pub const RSI_PULLBACK_LOW: f64 = 35.0;
+pub const RSI_PULLBACK_HIGH: f64 = 60.0; // Slight adjustment
-pub const RSI_PULLBACK_HIGH: f64 = 60.0;
-
 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
 pub const ADX_PERIOD: usize = 14;
 pub const ADX_THRESHOLD: f64 = 20.0;
 pub const ADX_STRONG: f64 = 35.0;
-
 // Bollinger Bands
 pub const BB_PERIOD: usize = 20;
 pub const BB_STD: f64 = 2.0;
-
 // ATR for volatility-based stops
 pub const ATR_PERIOD: usize = 14;
-pub const MIN_ATR_PCT: f64 = 0.005; // 0.5% floor to prevent extreme position sizing
+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;
-
 // Risk Management
 pub const MAX_POSITION_SIZE: f64 = 0.22;
 pub const MIN_CASH_RESERVE: f64 = 0.05;
-pub const STOP_LOSS_PCT: f64 = 0.025; // fixed % fallback when no ATR
+pub const STOP_LOSS_PCT: f64 = 0.025;
-pub const MAX_LOSS_PCT: f64 = 0.04; // hard cap: no trade loses more than 4% regardless of ATR
+pub const MAX_LOSS_PCT: f64 = 0.04;
-pub const TRAILING_STOP_ACTIVATION: f64 = 0.08; // fixed % fallback for trailing activation
+pub const TRAILING_STOP_ACTIVATION: f64 = 0.06;
-pub const TRAILING_STOP_DISTANCE: f64 = 0.05; // fixed % fallback for trailing distance
+pub const TRAILING_STOP_DISTANCE: f64 = 0.04;
-
+// ATR-based risk management
-// ATR-based risk management (overrides fixed % when ATR is available)
+pub const RISK_PER_TRADE: f64 = 0.008;
-/// Risk budget per trade as fraction of portfolio. Used with ATR for position sizing:
-/// position_value = (portfolio * RISK_PER_TRADE) / (ATR_STOP_MULTIPLIER * atr_pct).
-/// Reduced to 0.75% for hourly trading to account for more frequent trades and higher transaction costs.
-pub const RISK_PER_TRADE: f64 = 0.0075; // 0.75% of portfolio risk per trade
-/// Initial stop-loss distance in ATR multiples. At 2.5x ATR for hourly bars, provides
-/// adequate room for intraday volatility while maintaining risk control.
-/// Hourly ATR is noisier than daily, requiring wider stops to avoid premature exits.
 pub const ATR_STOP_MULTIPLIER: f64 = 2.5;
-/// Trailing stop distance in ATR multiples once activated.
-/// At 1.5x ATR (same as initial stop), we lock in gains without giving back too much.
 pub const ATR_TRAIL_MULTIPLIER: f64 = 1.5;
-/// Trailing stop activates after this many ATR of unrealized gain.
-/// At 1.5x ATR, activates once the trade has earned its risk budget.
 pub const ATR_TRAIL_ACTIVATION_MULTIPLIER: f64 = 1.5;
-
 // Portfolio-level controls
-/// Max concurrent positions reduced to 5 for hourly trading to limit correlation risk
-/// with faster rebalancing and more frequent signals.
 pub const MAX_CONCURRENT_POSITIONS: usize = 5;
 pub const MAX_SECTOR_POSITIONS: usize = 2;
-pub const MAX_DRAWDOWN_HALT: f64 = 0.10; // trigger circuit breaker at 10% drawdown
+pub const MAX_DRAWDOWN_HALT: f64 = 0.10;
-pub const DRAWDOWN_HALT_BARS: usize = 35; // halt for 35 bars (~5 trading days on hourly), then auto-resume
+pub const DRAWDOWN_HALT_BARS: usize = 35;
-
 // Time-based exit
-/// Stale position exit threshold (in bars). Positions that haven't reached
-/// trailing stop activation after this many bars are closed to free capital.
-/// 30 hourly bars ~ 4.3 trading days. Gives positions enough time to work
-/// without tying up capital in dead trades indefinitely.
 pub const TIME_EXIT_BARS: usize = 30;
-
-/// Re-entry cooldown period (in bars) after a stop-loss exit.
-/// Prevents whipsaw churning where a stock is sold at stop-loss then
-/// immediately re-bought on the same bar. 7 bars = 1 trading day on hourly.
-/// This single parameter prevents the majority of same-day round-trip losses.
 pub const REENTRY_COOLDOWN_BARS: usize = 7;
-
-/// Gradual ramp-up period (in bars) at backtest start.
-/// Limits new positions to 1 per bar during this initial period to prevent
-/// flash-deployment of full capital. 30 bars = ~4.3 trading days on hourly.
 pub const RAMPUP_PERIOD_BARS: usize = 30;
-
 // Backtester slippage
-pub const SLIPPAGE_BPS: f64 = 10.0; // 10 basis points per trade
+pub const SLIPPAGE_BPS: f64 = 10.0;
-
 // Trading intervals
 pub const BOT_CHECK_INTERVAL_SECONDS: u64 = 15;
 pub const BARS_LOOKBACK: usize = 100;
-
 // Backtest defaults
 pub const DEFAULT_INITIAL_CAPITAL: f64 = 100_000.0;
 pub const TRADING_DAYS_PER_YEAR: usize = 252;
-
+// Hours per trading day
-// Hours per trading day (for scaling parameters)
 pub const HOURS_PER_DAY: usize = 7;
-
 /// Get the sector for a given symbol.
 pub fn get_sector(symbol: &str) -> &'static str {
     if MAG7.contains(&symbol) {
@@ -151,7 +106,6 @@ pub fn get_sector(symbol: &str) -> &'static str {
         "unknown"
     }
 }
-
 /// Indicator parameters that can be scaled for different timeframes.
 #[derive(Debug, Clone)]
 pub struct IndicatorParams {
@@ -168,53 +122,48 @@ pub struct IndicatorParams {
     pub atr_period: usize,
     pub volume_ma_period: usize,
 }
-
 impl IndicatorParams {
     /// Create parameters for daily timeframe.
     pub fn daily() -> Self {
         Self {
-            rsi_period: RSI_PERIOD,
+            rsi_period: 14, // Standard
-            macd_fast: MACD_FAST,
+            macd_fast: 12,
-            macd_slow: MACD_SLOW,
+            macd_slow: 26,
-            macd_signal: MACD_SIGNAL,
+            macd_signal: 9,
-            momentum_period: MOMENTUM_PERIOD,
+            momentum_period: 63,
-            ema_short: EMA_SHORT,
+            ema_short: 9,
-            ema_long: EMA_LONG,
+            ema_long: 21,
-            ema_trend: EMA_TREND,
+            ema_trend: 50,
-            adx_period: ADX_PERIOD,
+            adx_period: 14,
-            bb_period: BB_PERIOD,
+            bb_period: 20,
-            atr_period: ATR_PERIOD,
+            atr_period: 14,
-            volume_ma_period: VOLUME_MA_PERIOD,
+            volume_ma_period: 20,
         }
     }
-
     /// Create parameters for hourly timeframe.
-    /// Uses standard textbook periods appropriate for hourly bars.
-    /// Research shows indicator periods work on bar counts, not calendar time.
     pub fn hourly() -> Self {
         Self {
-            rsi_period: 14,          // Standard RSI-14 (works on any timeframe)
+            rsi_period: 14, // Standard even for intraday to reduce noise
-            macd_fast: 12,           // Standard MACD
+            macd_fast: 12, // Standard for balance
-            macd_slow: 26,           // Standard MACD
+            macd_slow: 26,
-            macd_signal: 9,          // Standard MACD
+            macd_signal: 9,
-            momentum_period: 63,     // ~9 trading days on hourly (tactical momentum)
+            momentum_period: 63,
-            ema_short: 20,           // ~3 trading days
+            ema_short: 9,
-            ema_long: 50,            // ~7 trading days
+            ema_long: 21,
-            ema_trend: 100,          // ~14 trading days
+            ema_trend: 200,
-            adx_period: 14,          // Standard ADX-14
+            adx_period: 14,
-            bb_period: 20,           // Standard BB-20
+            bb_period: 20,
-            atr_period: 14,          // Standard ATR-14
+            atr_period: 14,
-            volume_ma_period: 20,    // Standard 20-bar volume MA
+            volume_ma_period: 20,
         }
     }
-
     /// Get the minimum number of bars required for indicator calculation.
     pub fn min_bars(&self) -> usize {
         *[
-            self.macd_slow + self.macd_signal, // MACD needs slow + signal periods
+            self.macd_slow + self.macd_signal,
-            self.rsi_period + 1,               // RSI needs period + 1
+            self.rsi_period + 1,
             self.ema_trend,
-            self.adx_period * 2, // ADX needs 2x period (DI smoothing + ADX smoothing)
+            self.adx_period * 2,
             self.bb_period,
             self.momentum_period,
         ]
@@ -224,14 +173,12 @@ impl IndicatorParams {
             + 5
     }
 }
-
 /// Timeframe for trading data.
 #[derive(Debug, Clone, Copy, PartialEq, Eq, clap::ValueEnum)]
 pub enum Timeframe {
     Daily,
     Hourly,
 }
-
 impl Timeframe {
     pub fn params(&self) -> IndicatorParams {
         match self {