feat(entry): finestra evento macro configurabile, ridotta a 1g (config v1.6.0)

Il gate macro riusava structure.dte_target (18g) per decidere entro quanti
giorni un evento high-severity blocca l'entrata, accoppiando la protezione
di rischio-evento alla scelta delle scadenze opzioni. Disaccoppiato con un
parametro dedicato.

- schema: nuovo entry.exclude_macro_within_days (default 18 = comportamento storico)
- entry_validator: il gate macro usa il nuovo campo; rimosso structure_cfg inutilizzato
- entry_cycle: la fetch del calendario macro guarda avanti exclude_macro_within_days giorni
- strategy.yaml: exclude_macro_within_days=1, config_version 1.5.0->1.6.0, hash rigenerato

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-05-29 19:55:19 +00:00
parent 839285d75b
commit a5a39a6d27
4 changed files with 25 additions and 12 deletions
+18 -9
View File
@@ -6,9 +6,9 @@
# config hash), and lands as a separate commit with the motivation in
# the commit message.
config_version: "1.4.0"
config_hash: "22182814216190331e0b69b3bc99493e6d69cc813f7ed937394986eecc1f5d11"
last_review: "2026-04-26"
config_version: "1.6.0"
config_hash: "67df85f84ce6148b88f7eb9d96346145c1b9892a7250f5fc42619da3178dac86"
last_review: "2026-05-29"
last_reviewer: "Adriano"
asset:
@@ -16,7 +16,7 @@ asset:
exchange: "deribit"
entry:
cron: "0 14 * * *"
cron: "0 */2 * * *"
skip_holidays_country: "IT"
capital_min_usd: "720"
@@ -27,12 +27,15 @@ entry:
no_position_concurrent: true
exclude_macro_severity: ["high"]
exclude_macro_countries: ["US", "EU"]
# Finestra evento macro ridotta a 1 giorno: blocca l'entry solo se un
# evento high-severity cade entro 24h, invece dei 18gg (dte_target).
exclude_macro_within_days: 1
trend_window_days: 30
trend_bull_threshold_pct: "0.05"
trend_bear_threshold_pct: "-0.05"
funding_bull_threshold_annualized: "0.20"
funding_bear_threshold_annualized: "-0.20"
funding_bull_threshold_annualized: "0.10"
funding_bear_threshold_annualized: "-0.10"
iron_condor_dvol_min: "55"
iron_condor_adx_max: "20"
iron_condor_trend_neutral_band_pct: "0.05"
@@ -43,11 +46,17 @@ entry:
# per vendere credit spread. Soglia conservativa, da rifinire dopo
# paper trading.
dealer_gamma_min: "0"
dealer_gamma_filter_enabled: true
dealer_gamma_filter_enabled: false
liquidation_filter_enabled: true
# IV richness gate (§2.9). Disabilitato di default.
iv_minus_rv_min: "0"
iv_minus_rv_filter_enabled: false
iv_minus_rv_filter_enabled: true
# IV richness gate adattivo — soglia P25 rolling su 60 giorni
iv_minus_rv_adaptive_enabled: true
iv_minus_rv_percentile: "0.25"
iv_minus_rv_window_target_days: 60
iv_minus_rv_window_min_days: 30
structure:
@@ -107,7 +116,7 @@ exit:
# atomica. Pipeline runtime non ancora attiva (hook futuro).
profit_take_partial_levels: []
monitor_cron: "0 2,14 * * *"
monitor_cron: "0 * * * *"
user_confirmation_timeout_min: 30
escalate_on_timeout: