# strategy.conservativa.yaml — Cerbero Bite, profilo CONSERVATIVO
#
# Profilo "premio sopra T-bill, drawdown contenuto, complessità minima".
# È identico per regole alla golden config v1.0.0; serve come ancora di
# riferimento per il confronto con `strategy.aggressiva.yaml`.
#
# Caratteristiche operative attese:
#   * Cap per trade 200 EUR (~215 USD)
#   * Max 1 posizione concorrente
#   * P/L stimato: +1.5% / +5% APR sul capitale totale
#   * Drawdown atteso: 10–20% del capitale impiegato in streak
#   * Adatto a: parcheggio capitale, premio modesto, niente sorprese
#
# Ricorda: dopo ogni edit, rigenerare il config_hash con
#   cerbero-bite config hash --file strategy.conservativa.yaml
# e bumpare config_version.

config_version: "1.1.0-conservativa"
config_hash: "188155fd0017a1353024151b8237f257b0c3156d2592ce89653d239b39fb69ce"
last_review: "2026-04-26"
last_reviewer: "Adriano"

asset:
  symbol: "ETH"
  exchange: "deribit"

entry:
  cron: "0 14 * * MON"
  skip_holidays_country: "IT"

  capital_min_usd: "720"
  dvol_min: "35"
  dvol_max: "90"
  funding_perp_abs_max_annualized: "0.80"
  eth_holdings_pct_max: "0.30"
  no_position_concurrent: true
  exclude_macro_severity: ["high"]
  exclude_macro_countries: ["US", "EU"]

  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"
  iron_condor_dvol_min: "55"
  iron_condor_adx_max: "20"
  iron_condor_trend_neutral_band_pct: "0.05"

  dealer_gamma_min: "0"
  dealer_gamma_filter_enabled: true
  liquidation_filter_enabled: true

  # IV richness gate (§2.9) — disabilitato finché non calibrato.
  iv_minus_rv_min: "0"
  iv_minus_rv_filter_enabled: false

structure:
  dte_target: 18
  dte_min: 14
  dte_max: 21

  short_strike:
    delta_target: "0.12"
    delta_min: "0.10"
    delta_max: "0.15"
    distance_otm_pct_min: "0.15"
    distance_otm_pct_max: "0.25"

  spread_width:
    target_pct_of_spot: "0.04"
    min_pct_of_spot: "0.03"
    max_pct_of_spot: "0.05"

  credit_to_width_ratio_min: "0.30"

liquidity:
  open_interest_min: 100
  volume_24h_min: 20
  bid_ask_spread_pct_max: "0.15"
  book_depth_top3_min: 5
  slippage_pct_of_credit_max: "0.08"

sizing:
  kelly_fraction: "0.13"

  cap_per_trade_eur: "200"
  cap_aggregate_open_eur: "1000"
  max_concurrent_positions: 1

  max_contracts_per_trade: 4

  dvol_adjustment:
    - {dvol_under: "45", multiplier: "1.00"}
    - {dvol_under: "60", multiplier: "0.85"}
    - {dvol_under: "80", multiplier: "0.65"}
  dvol_no_entry_threshold: "80"

exit:
  profit_take_pct_of_credit: "0.50"
  stop_loss_mark_x_credit: "2.50"
  vol_stop_dvol_increase: "10"
  time_stop_dte_remaining: 7
  time_stop_skip_if_close_to_profit_pct: "0.70"
  delta_breach_threshold: "0.30"
  adverse_move_4h_pct: "0.05"

  monitor_cron: "0 2,14 * * *"
  user_confirmation_timeout_min: 30

  escalate_on_timeout:
    - "CLOSE_STOP"
    - "CLOSE_VOL"
    - "CLOSE_DELTA"

execution:
  environment: "testnet"
  eur_to_usd: "1.075"
  combo_only: true
  initial_limit: "mid"
  reprice_step_ticks: 1
  reprice_max_steps: 3
  reprice_max_steps_urgent: 5
  order_tif: "GTC"
  order_expiry_min: 30
  ack_timeout_s: 300

monitoring:
  health_check_interval_s: 300
  health_failures_before_kill: 3
  health_failures_before_restart: 5

  daily_digest_cron: "0 8 * * *"
  monthly_report_cron: "0 12 1 * *"

storage:
  sqlite_path: "data/state.sqlite"
  log_path: "data/log/"
  log_retention_days: 365
  backup_path: "data/backups/"
  backup_retention_days: 30

mcp:
  config_file: "~/.config/cerbero-suite/mcp.json"
  call_timeout_s: 8
  retry_max: 3
  retry_base_delay_s: 1

  required_versions:
    cerbero-deribit: "^2.0.0"
    cerbero-hyperliquid: "^1.5.0"
    cerbero-memory: "^4.0.0"
    cerbero-portfolio: "^1.2.0"
    cerbero-macro: "^1.0.0"
    cerbero-sentiment: "^1.0.0"
    cerbero-telegram: "^1.0.0"
    cerbero-brain-bridge: "^1.0.0"

telegram:
  parse_mode: "MarkdownV2"
  confirmation_timeout_min: 60
  exit_confirmation_timeout_min: 30
  backup_channel_on_critical: true

kelly_recalibration:
  lookback_days: 365
  min_sample_low_confidence: 30
  min_sample_high_confidence: 100
  weight_when_medium_confidence: "0.50"