263 lines
12 KiB
Rust
263 lines
12 KiB
Rust
//! Configuration constants for the trading bot.
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// Stock Universe (~100 symbols across 14 sectors)
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pub const MAG7: &[&str] = &["AAPL", "MSFT", "GOOGL", "AMZN", "META", "NVDA", "TSLA"];
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pub const SEMIS: &[&str] = &["AVGO", "AMD", "ASML", "QCOM", "MU", "MRVL", "LRCX", "KLAC", "AMAT"];
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pub const GROWTH_TECH: &[&str] = &["NFLX", "CRM", "NOW", "UBER", "SNOW", "DDOG", "CRWD", "ZS", "WDAY"];
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pub const SOFTWARE: &[&str] = &["ADBE", "INTU", "PANW", "FTNT", "TEAM", "HUBS", "MNDY"];
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pub const HEALTHCARE: &[&str] = &["LLY", "UNH", "ISRG", "VRTX", "ABBV", "MRK", "PFE", "TMO", "ABT", "DHR"];
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pub const BIOTECH: &[&str] = &["GILD", "AMGN", "REGN", "BIIB", "MRNA"];
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pub const FINTECH_VOLATILE: &[&str] = &["V", "MA", "COIN", "PLTR", "MSTR", "SQ", "PYPL"];
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pub const SP500_FINANCIALS: &[&str] = &["JPM", "GS", "MS", "BLK", "AXP", "C", "SCHW", "ICE"];
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pub const SP500_INDUSTRIALS: &[&str] = &["CAT", "GE", "HON", "BA", "RTX", "LMT", "DE", "UNP", "UPS"];
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pub const SP500_CONSUMER: &[&str] = &["COST", "WMT", "HD", "NKE", "SBUX", "MCD", "DIS", "TGT", "LOW", "ABNB", "BKNG"];
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pub const SP500_ENERGY: &[&str] = &["XOM", "CVX", "COP", "SLB", "OXY", "EOG", "MPC"];
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pub const TELECOM_MEDIA: &[&str] = &["T", "VZ", "CMCSA", "TMUS", "NFLX"];
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pub const INTERNATIONAL: &[&str] = &["TSM", "BABA", "JD", "SHOP", "MELI"];
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pub const MATERIALS: &[&str] = &["FCX", "NEM", "LIN", "APD", "SHW"];
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/// Get all symbols in the trading universe (~100 stocks + SPY for regime).
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pub fn get_all_symbols() -> Vec<&'static str> {
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let mut symbols = Vec::new();
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symbols.extend_from_slice(MAG7);
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symbols.extend_from_slice(SEMIS);
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symbols.extend_from_slice(GROWTH_TECH);
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symbols.extend_from_slice(SOFTWARE);
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symbols.extend_from_slice(HEALTHCARE);
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symbols.extend_from_slice(BIOTECH);
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symbols.extend_from_slice(FINTECH_VOLATILE);
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symbols.extend_from_slice(SP500_FINANCIALS);
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symbols.extend_from_slice(SP500_INDUSTRIALS);
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symbols.extend_from_slice(SP500_CONSUMER);
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symbols.extend_from_slice(SP500_ENERGY);
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symbols.extend_from_slice(TELECOM_MEDIA);
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symbols.extend_from_slice(INTERNATIONAL);
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symbols.extend_from_slice(MATERIALS);
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// SPY is included for market regime detection (never traded directly)
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symbols.push(REGIME_SPY_SYMBOL);
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// Deduplicate (NFLX appears in both GROWTH_TECH and TELECOM_MEDIA)
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symbols.sort();
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symbols.dedup();
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symbols
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}
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// Strategy Parameters — Regime-Adaptive Dual Signal
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// RSI-14 for trend assessment, RSI-2 for mean-reversion entries (Connors)
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pub const RSI_PERIOD: usize = 14;
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pub const RSI_SHORT_PERIOD: usize = 2; // Connors RSI-2 for mean reversion
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pub const MACD_FAST: usize = 12;
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pub const MACD_SLOW: usize = 26;
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pub const MACD_SIGNAL: usize = 9;
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pub const MOMENTUM_PERIOD: usize = 63;
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pub const EMA_SHORT: usize = 9;
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pub const EMA_LONG: usize = 21;
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pub const EMA_TREND: usize = 50;
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// ADX — Regime Detection
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// ADX < RANGE_THRESHOLD = ranging (use mean reversion)
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// ADX > TREND_THRESHOLD = trending (use momentum/pullback)
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// Between = transition zone (reduce size, be cautious)
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pub const ADX_PERIOD: usize = 14;
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pub const ADX_TREND_THRESHOLD: f64 = 25.0; // Above this = trending
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// Bollinger Bands
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pub const BB_PERIOD: usize = 20;
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pub const BB_STD: f64 = 2.0;
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// ATR
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pub const ATR_PERIOD: usize = 14;
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pub const MIN_ATR_PCT: f64 = 0.005;
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// Volume filter
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pub const VOLUME_MA_PERIOD: usize = 20;
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pub const VOLUME_THRESHOLD: f64 = 0.8;
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// Momentum Ranking
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pub const TOP_MOMENTUM_COUNT: usize = 10; // Top decile: Jegadeesh-Titman (1993) strongest effect
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// Risk Management
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pub const MAX_POSITION_SIZE: f64 = 0.25; // Slightly larger for concentrated bets
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pub const MIN_CASH_RESERVE: f64 = 0.05;
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pub const STOP_LOSS_PCT: f64 = 0.025;
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pub const MAX_LOSS_PCT: f64 = 0.08; // Gap protection only — ATR stop handles normal exits
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pub const TRAILING_STOP_ACTIVATION: f64 = 0.04; // Activate earlier to protect profits
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pub const TRAILING_STOP_DISTANCE: f64 = 0.05; // Wider trail to let winners run
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// ATR-based risk management
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pub const RISK_PER_TRADE: f64 = 0.01; // Conservative per-trade risk, compensated by more positions
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pub const ATR_STOP_MULTIPLIER: f64 = 3.0; // Wider stops — research shows tighter stops hurt
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pub const ATR_TRAIL_MULTIPLIER: f64 = 2.5; // Wide trail from HWM so winners have room to breathe
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pub const ATR_TRAIL_ACTIVATION_MULTIPLIER: f64 = 1.5; // Activate earlier (1.5x ATR gain) to protect profits
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// Portfolio-level controls
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pub const MAX_CONCURRENT_POSITIONS: usize = 10; // More diversification reduces idiosyncratic risk
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pub const MAX_SECTOR_POSITIONS: usize = 2;
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// Old single-tier drawdown constants (replaced by tiered system below)
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// pub const MAX_DRAWDOWN_HALT: f64 = 0.15;
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// pub const DRAWDOWN_HALT_BARS: usize = 10;
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// Time-based exit
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pub const TIME_EXIT_BARS: usize = 60; // Patient — now only exits losers, winners use trailing stop
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pub const REENTRY_COOLDOWN_BARS: usize = 5; // Shorter cooldown
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pub const RAMPUP_PERIOD_BARS: usize = 15; // Faster ramp-up
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// ═══════════════════════════════════════════════════════════════════════
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// Market Regime Filter (SPY-based)
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// ═══════════════════════════════════════════════════════════════════════
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// Uses SPY as a broad market proxy to detect bull/caution/bear regimes.
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// Based on the dual moving average framework (Faber 2007, "A Quantitative
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// Approach to Tactical Asset Allocation"): price vs 200-day SMA is the
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// single most effective regime filter in academic literature.
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//
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// Bull: SPY > EMA-200 AND EMA-50 > EMA-200 → trade normally
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// Caution: SPY < EMA-50 but SPY > EMA-200 → reduce size, raise thresholds
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// Bear: SPY < EMA-200 AND EMA-50 < EMA-200 → no new buys, manage exits only
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pub const REGIME_SPY_SYMBOL: &str = "SPY";
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pub const REGIME_EMA_SHORT: usize = 50; // Fast regime EMA
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pub const REGIME_EMA_LONG: usize = 200; // Slow regime EMA (the "golden cross" line)
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/// In Caution regime, multiply position size by this factor (50% reduction).
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pub const REGIME_CAUTION_SIZE_FACTOR: f64 = 0.5;
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/// In Caution regime, add this to buy thresholds (require stronger signals).
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pub const REGIME_CAUTION_THRESHOLD_BUMP: f64 = 2.0;
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// ═══════════════════════════════════════════════════════════════════════
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// Scaled Drawdown Circuit Breaker
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// ═══════════════════════════════════════════════════════════════════════
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// The old fixed 10-bar cooldown is inadequate for real bear markets.
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// Scale the halt duration with severity so that deeper drawdowns force
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// longer cooling periods. At 25%+ DD, also require bull regime to resume.
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pub const DRAWDOWN_TIER1_PCT: f64 = 0.15; // 15% → 10 bars
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pub const DRAWDOWN_TIER1_BARS: usize = 10;
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pub const DRAWDOWN_TIER2_PCT: f64 = 0.20; // 20% → 30 bars
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pub const DRAWDOWN_TIER2_BARS: usize = 30;
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pub const DRAWDOWN_TIER3_PCT: f64 = 0.25; // 25%+ → 50 bars + require bull regime
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pub const DRAWDOWN_TIER3_BARS: usize = 50;
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/// If true, after a Tier 3 drawdown (>=25%), require bull market regime
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/// before resuming new entries even after the bar cooldown expires.
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pub const DRAWDOWN_TIER3_REQUIRE_BULL: bool = true;
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// ═══════════════════════════════════════════════════════════════════════
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// Trailing Equity Curve Stop
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// ═══════════════════════════════════════════════════════════════════════
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// If the portfolio equity drops below its own N-bar moving average, stop
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// all new entries. This is a secondary defense independent of the drawdown
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// breaker. Uses a 200-bar SMA of the equity curve (roughly 200 trading
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// days for daily, ~29 trading days for hourly).
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pub const EQUITY_CURVE_SMA_PERIOD: usize = 50; // Shorter window so bot can recover
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// Backtester slippage
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pub const SLIPPAGE_BPS: f64 = 10.0;
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// Trading intervals
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pub const BOT_CHECK_INTERVAL_SECONDS: u64 = 15;
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pub const BARS_LOOKBACK: usize = 100;
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// Backtest defaults
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pub const DEFAULT_INITIAL_CAPITAL: f64 = 100_000.0;
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pub const TRADING_DAYS_PER_YEAR: usize = 252;
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// Hours per trading day
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pub const HOURS_PER_DAY: usize = 7;
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/// Get the sector for a given symbol.
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pub fn get_sector(symbol: &str) -> &'static str {
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if MAG7.contains(&symbol) {
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"mag7"
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} else if SEMIS.contains(&symbol) {
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"semis"
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} else if GROWTH_TECH.contains(&symbol) {
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"growth_tech"
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} else if SOFTWARE.contains(&symbol) {
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"software"
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} else if HEALTHCARE.contains(&symbol) {
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"healthcare"
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} else if BIOTECH.contains(&symbol) {
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"biotech"
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} else if FINTECH_VOLATILE.contains(&symbol) {
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"fintech_volatile"
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} else if SP500_FINANCIALS.contains(&symbol) {
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"financials"
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} else if SP500_INDUSTRIALS.contains(&symbol) {
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"industrials"
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} else if SP500_CONSUMER.contains(&symbol) {
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"consumer"
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} else if SP500_ENERGY.contains(&symbol) {
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"energy"
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} else if TELECOM_MEDIA.contains(&symbol) {
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"telecom_media"
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} else if INTERNATIONAL.contains(&symbol) {
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"international"
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} else if MATERIALS.contains(&symbol) {
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"materials"
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} else {
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"unknown"
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}
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}
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/// Indicator parameters that can be scaled for different timeframes.
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#[derive(Debug, Clone)]
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pub struct IndicatorParams {
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pub rsi_period: usize,
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pub rsi_short_period: usize, // RSI-2 for mean reversion
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pub macd_fast: usize,
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pub macd_slow: usize,
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pub macd_signal: usize,
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pub momentum_period: usize,
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pub ema_short: usize,
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pub ema_long: usize,
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pub ema_trend: usize,
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pub adx_period: usize,
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pub bb_period: usize,
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pub atr_period: usize,
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pub volume_ma_period: usize,
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}
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impl IndicatorParams {
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/// Create parameters for daily timeframe.
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pub fn daily() -> Self {
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Self {
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rsi_period: 14,
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rsi_short_period: 2, // Connors RSI-2
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macd_fast: 12,
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macd_slow: 26,
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macd_signal: 9,
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momentum_period: 63,
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ema_short: 9,
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ema_long: 21,
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ema_trend: 50,
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adx_period: 14,
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bb_period: 20,
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atr_period: 14,
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volume_ma_period: 20,
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}
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}
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/// Create parameters for hourly timeframe.
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pub fn hourly() -> Self {
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Self {
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rsi_period: 14,
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rsi_short_period: 3, // Slightly longer for hourly noise
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macd_fast: 12,
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macd_slow: 26,
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macd_signal: 9,
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momentum_period: 63,
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ema_short: 9,
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ema_long: 21,
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ema_trend: 200,
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adx_period: 14,
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bb_period: 20,
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atr_period: 14,
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volume_ma_period: 20,
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}
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}
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/// Get the minimum number of bars required for indicator calculation.
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pub fn min_bars(&self) -> usize {
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*[
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self.macd_slow + self.macd_signal,
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self.rsi_period + 1,
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self.ema_trend,
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self.adx_period * 2,
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self.bb_period,
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self.momentum_period,
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]
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.iter()
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.max()
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.unwrap()
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+ 5
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}
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}
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/// Timeframe for trading data.
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#[derive(Debug, Clone, Copy, PartialEq, Eq, clap::ValueEnum)]
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pub enum Timeframe {
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Daily,
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Hourly,
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}
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impl Timeframe {
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pub fn params(&self) -> IndicatorParams {
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match self {
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Timeframe::Daily => IndicatorParams::daily(),
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Timeframe::Hourly => IndicatorParams::hourly(),
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}
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}
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}
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