# Quant-Rust-Strategist Memory

## Architecture Overview
- 50-symbol universe across 9 sectors
- Hybrid momentum + mean-reversion via composite signal scoring in `generate_signal()`
- 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

## Key Finding: Daily vs Hourly Parameter Sensitivity (2026-02-11)

### Daily Timeframe Optimization (Successful)
- Reduced momentum_period 252->63, ema_trend 200->50 in IndicatorParams::daily()
- Reduced warmup from 267 bars to ~70 bars
- Result: Sharpe 0.53->0.86 (+62%), Win rate 40%->50%, PF 1.32->1.52

### Hourly Timeframe: DO NOT CHANGE FROM BASELINE
- Hourly IndicatorParams: momentum=63, ema_trend=200 (long lookbacks filter IEX noise)
- Shorter periods (momentum=21, ema_trend=50): CATASTROPHIC -8% loss
- ADX threshold lowered 25->20 (shared const, helps both timeframes)

### Failed Experiments (avoid repeating)
1. Tighter ATR stop (2.0x): too many stop-outs on hourly. Keep 2.5x
2. Lower buy threshold (3.5): too many weak entries. Keep 4.5
3. More positions (8): spreads capital too thin. Keep 5
4. Higher risk per trade (1.0-1.2%): compounds losses. Keep 0.8%
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 dead_code warnings)
- No tests exist
- Backtests have stochastic variation from IEX data timing