Adriano
f4faef6fd1
Integra due nuovi filtri dal pacchetto quant indicators rilasciato in Cerbero_mcp (commit a13e3fe). 335 test pass, mypy strict pulito, ruff clean. Filtri (§2.8 — nuovo): - dealer-gamma: blocca entry quando total_net_dealer_gamma < dealer_gamma_min (default 0). Long-gamma regime favorisce credit spread (vol-suppressing dealer flow); short-gamma flow lo amplifica ed è da evitare. - liquidation-heatmap: blocca entry quando il segnale euristico di cerbero-sentiment riporta long o short squeeze risk = "high" (cluster di liquidations imminenti entro 24h). Entrambi sono best-effort: se il tool MCP fallisce o restituisce dati anomali l'entry_cycle popola EntryContext con None e validate_entry salta il gate per non bloccare entry su problemi infrastrutturali. Wrapper: - DeribitClient.dealer_gamma_profile_eth → DealerGammaSnapshot. - SentimentClient.liquidation_heatmap → LiquidationHeatmap con property has_high_squeeze_risk. Schema: - EntryConfig.dealer_gamma_min, dealer_gamma_filter_enabled, liquidation_filter_enabled. - EntryContext.dealer_net_gamma, liquidation_squeeze_risk_high opzionali. - strategy.yaml: nuovi campi documentati con commento + hash ricalcolato (4c2be4c5...). Documentazione: - docs/04-mcp-integration.md riscritto al modello attuale (HTTP REST, no mcp SDK, no memory/brain-bridge, place_combo_order documentato, environment_info al boot). Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
161 lines
4.0 KiB
YAML
161 lines
4.0 KiB
YAML
# strategy.yaml — Cerberus Bite golden config v1.0.0
|
|
#
|
|
# Source of truth for every threshold consumed by the rule engine.
|
|
# Modifying this file is an explicit decision of Adriano. Each change
|
|
# bumps `config_version`, regenerates `config_hash` (cerbero-bite
|
|
# config hash), and lands as a separate commit with the motivation in
|
|
# the commit message.
|
|
|
|
config_version: "1.0.0"
|
|
config_hash: "4c2be4c51c849ed58fa22ec2b302016c453894dd0964b6d05445ab1b723e2d10"
|
|
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"
|
|
|
|
# Quant filters (§2.8) — gates aggiuntivi via i nuovi tool MCP.
|
|
# dealer_gamma_min: scarta entry se dealer net gamma < soglia.
|
|
# Long-gamma regime (>0) = dealer hedge vol-suppressing, ideale
|
|
# per vendere credit spread. Soglia conservativa, da rifinire dopo
|
|
# paper trading.
|
|
dealer_gamma_min: "0"
|
|
dealer_gamma_filter_enabled: true
|
|
liquidation_filter_enabled: true
|
|
|
|
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" # testnet|mainnet — kill switch on broker mismatch
|
|
eur_to_usd: "1.075" # default FX rate for sizing engine; override at boot
|
|
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"
|