root
6ff021fbf4
Crypto opera 24/7: la cadenza settimanale lunedì-only era un retaggio TradFi senza giustificazione. La nuova cadenza è giornaliera (cron 0 14 * * *), con i gate quantitativi a decidere se entrare o saltare. Cambiamenti principali: * runtime/orchestrator.py — _CRON_ENTRY 0 14 * * * (era MON) * runtime/auto_pause.py — pause_until(days=) (era weeks=); minimo clamp 1 giorno (era 1 settimana) * core/backtest.py — MondayPick→DailyPick, monday_picks→daily_picks (1 pick per calendar-day all'ora target); Sharpe annualization su ~120 trade/anno (era 52) * config/schema.py — default cron daily; max_concurrent_positions 1→5; AutoPauseConfig.pause_weeks→pause_days, default 14 * runtime/option_chain_snapshot_cycle.py + orchestrator — cron */15 per accumulo continuo dataset di backtest empirico Strategy yamls (config_version 1.3.0 → 1.4.0, hash rigenerati): * strategy.yaml — max_concurrent 1→5, cap_aggregate coerente * strategy.aggressiva.yaml — max_concurrent 2→8, cap_aggregate 3200→6400, max_contracts_per_trade invariato a 16 * strategy.conservativa.yaml — max_concurrent 1→3 * tutti — pause_weeks→pause_days: 14 GUI (pages/7_📚_Strategia.py): * slider Trade/anno: range 20-200 (era 8-30), default 110, help riallineato sulla math 365 candidature × pass-rate 30-40% * card profili: versione letta dinamicamente da config_version invece che hard-coded "v1.2.0" * warning "entrambi perdono soldi" ora valuta i P/L effettivi (cons['annual_pl'], aggr['annual_pl']) invece del win_rate grezzo; aggiunto stato intermedio quando solo conservativo è in perdita Tests (450/450 passati): * test_auto_pause: pause_days, clamp ≥1 giorno * test_backtest: rinomina + ridisegno daily picks (assert su calendar-day dedupe e hour filter) * test_sizing_engine: other_open_positions=5 per cap default * test_config_loader: version 1.4.0 Docs (README + 9 file in docs/) — tutti i riferimenti weekly/lunedì allineati a daily/24-7, volume option_chain ricalcolato per cron */15 (~1.1 MB/giorno, ~400 MB/anno). Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
178 lines
4.4 KiB
YAML
178 lines
4.4 KiB
YAML
# strategy.conservativa.yaml — Cerbero Bite, profilo CONSERVATIVO
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#
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# Profilo "premio sopra T-bill, drawdown contenuto, complessità minima".
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# È identico per regole alla golden config v1.0.0; serve come ancora di
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# riferimento per il confronto con `strategy.aggressiva.yaml`.
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#
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# Caratteristiche operative attese:
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# * Cap per trade 200 EUR (~215 USD)
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# * Max 1 posizione concorrente
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# * P/L stimato: +1.5% / +5% APR sul capitale totale
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# * Drawdown atteso: 10–20% del capitale impiegato in streak
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# * Adatto a: parcheggio capitale, premio modesto, niente sorprese
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#
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# Ricorda: dopo ogni edit, rigenerare il config_hash con
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# cerbero-bite config hash --file strategy.conservativa.yaml
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# e bumpare config_version.
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config_version: "1.4.0-conservativa"
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config_hash: "b6af7b041508a67846eba5985e27e655526fe89105653f86bc88b8a4a437ac3a"
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last_review: "2026-04-26"
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last_reviewer: "Adriano"
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asset:
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symbol: "ETH"
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exchange: "deribit"
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entry:
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cron: "0 14 * * *"
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skip_holidays_country: "IT"
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capital_min_usd: "720"
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dvol_min: "35"
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dvol_max: "90"
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funding_perp_abs_max_annualized: "0.80"
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eth_holdings_pct_max: "0.30"
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no_position_concurrent: true
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exclude_macro_severity: ["high"]
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exclude_macro_countries: ["US", "EU"]
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trend_window_days: 30
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trend_bull_threshold_pct: "0.05"
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trend_bear_threshold_pct: "-0.05"
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funding_bull_threshold_annualized: "0.20"
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funding_bear_threshold_annualized: "-0.20"
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iron_condor_dvol_min: "55"
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iron_condor_adx_max: "20"
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iron_condor_trend_neutral_band_pct: "0.05"
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dealer_gamma_min: "0"
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dealer_gamma_filter_enabled: true
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liquidation_filter_enabled: true
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# IV richness gate (§2.9). Disabilitato di default.
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iv_minus_rv_min: "0"
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iv_minus_rv_filter_enabled: false
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structure:
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dte_target: 18
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dte_min: 14
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dte_max: 21
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short_strike:
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delta_target: "0.12"
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delta_min: "0.10"
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delta_max: "0.15"
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distance_otm_pct_min: "0.15"
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distance_otm_pct_max: "0.25"
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spread_width:
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target_pct_of_spot: "0.04"
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min_pct_of_spot: "0.03"
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max_pct_of_spot: "0.05"
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credit_to_width_ratio_min: "0.30"
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liquidity:
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open_interest_min: 100
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volume_24h_min: 20
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bid_ask_spread_pct_max: "0.15"
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book_depth_top3_min: 5
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slippage_pct_of_credit_max: "0.08"
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sizing:
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kelly_fraction: "0.13"
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cap_per_trade_eur: "200"
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cap_aggregate_open_eur: "1000" # 3 posizioni × ~200 + headroom (entry daily, profilo conservativo)
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max_concurrent_positions: 3
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max_contracts_per_trade: 4
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dvol_adjustment:
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- {dvol_under: "45", multiplier: "1.00"}
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- {dvol_under: "60", multiplier: "0.85"}
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- {dvol_under: "80", multiplier: "0.65"}
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dvol_no_entry_threshold: "80"
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exit:
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profit_take_pct_of_credit: "0.50"
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stop_loss_mark_x_credit: "2.50"
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vol_stop_dvol_increase: "10"
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time_stop_dte_remaining: 7
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time_stop_skip_if_close_to_profit_pct: "0.70"
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delta_breach_threshold: "0.30"
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adverse_move_4h_pct: "0.05"
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vol_harvest_dvol_decrease: "0"
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profit_take_partial_levels: []
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monitor_cron: "0 2,14 * * *"
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user_confirmation_timeout_min: 30
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escalate_on_timeout:
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- "CLOSE_STOP"
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- "CLOSE_VOL"
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- "CLOSE_DELTA"
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auto_pause:
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enabled: false
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lookback_trades: 5
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max_drawdown_pct: "0.10"
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pause_days: 14
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execution:
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environment: "testnet"
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eur_to_usd: "1.075"
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combo_only: true
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initial_limit: "mid"
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reprice_step_ticks: 1
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reprice_max_steps: 3
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reprice_max_steps_urgent: 5
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order_tif: "GTC"
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order_expiry_min: 30
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ack_timeout_s: 300
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monitoring:
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health_check_interval_s: 300
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health_failures_before_kill: 3
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health_failures_before_restart: 5
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daily_digest_cron: "0 8 * * *"
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monthly_report_cron: "0 12 1 * *"
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storage:
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sqlite_path: "data/state.sqlite"
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log_path: "data/log/"
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log_retention_days: 365
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backup_path: "data/backups/"
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backup_retention_days: 30
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mcp:
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config_file: "~/.config/cerbero-suite/mcp.json"
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call_timeout_s: 8
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retry_max: 3
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retry_base_delay_s: 1
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required_versions:
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cerbero-deribit: "^2.0.0"
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cerbero-hyperliquid: "^1.5.0"
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cerbero-memory: "^4.0.0"
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cerbero-portfolio: "^1.2.0"
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cerbero-macro: "^1.0.0"
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cerbero-sentiment: "^1.0.0"
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cerbero-telegram: "^1.0.0"
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cerbero-brain-bridge: "^1.0.0"
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telegram:
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parse_mode: "MarkdownV2"
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confirmation_timeout_min: 60
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exit_confirmation_timeout_min: 30
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backup_channel_on_critical: true
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kelly_recalibration:
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lookback_days: 365
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min_sample_low_confidence: 30
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min_sample_high_confidence: 100
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weight_when_medium_confidence: "0.50"
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