From 080acf829d87767bd17f4f4da1654be38449c1ca Mon Sep 17 00:00:00 2001 From: root Date: Fri, 8 May 2026 23:11:46 +0000 Subject: [PATCH] feat(config): profilo Aggressiva attiva gate IV-RV adattivo + VoV P25 rolling 60g, warmup a finestra disponibile, VoV guard 5pt. Conservativa e golden invariati (default disabled). Co-Authored-By: Claude Opus 4.7 (1M context) --- strategy.aggressiva.yaml | 17 +++++++++++++++-- 1 file changed, 15 insertions(+), 2 deletions(-) diff --git a/strategy.aggressiva.yaml b/strategy.aggressiva.yaml index 4279c20..552d9d2 100644 --- a/strategy.aggressiva.yaml +++ b/strategy.aggressiva.yaml @@ -65,9 +65,22 @@ entry: dealer_gamma_min: "0" dealer_gamma_filter_enabled: true liquidation_filter_enabled: true - # IV richness gate (§2.9) — abilitato a 3 pt vol per profilo aggressivo. - iv_minus_rv_min: "3" + # IV richness gate (§2.9). In Aggressiva il gate è in modalità + # adattiva: la soglia è il P25 rolling sui market_snapshots + # (warmup: usa la storia disponibile finché < 30g, poi finestra 30g + # fino a 60g, poi fissa 60g). `iv_minus_rv_min: 0` = floor zero, + # lascia decidere al P25. iv_minus_rv_filter_enabled: true + iv_minus_rv_adaptive_enabled: true + iv_minus_rv_min: "0" + iv_minus_rv_percentile: "0.25" + iv_minus_rv_window_target_days: 60 + iv_minus_rv_window_min_days: 30 + + # Vol-of-Vol guard: blocca entry su shift bruschi DVOL. + vol_of_vol_guard_enabled: true + vol_of_vol_threshold_pt: "5" + vol_of_vol_lookback_hours: 24 structure: