Adriano
45f273f591
Modulo paper_trading per forward-test virtuale Phase 3: - Portfolio multi-asset equal-weight sleeve, fees bp su round-trip - PaperExecutor compila strategia JSON e applica segnale a bar close - PaperRepository persiste runs/ticks/trades/equity in runs.db - CLI scripts/run_paper_trading.py: loop polling Cerbero, exec su nuovo bar Strategie deployate: - BTC fb63e851 (Sharpe OOS +0.50, mean rev RSI+ATR+hour gate) - ETH facd6af85d5d (Sharpe OOS +0.19, trend vol regime + SMA50/200) Capitale virtuale $1000 (sleeve $500 ciascuno), 2 settimane smoke. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
162 lines
3.3 KiB
JSON
162 lines
3.3 KiB
JSON
{
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"rules": [
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{
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"condition": {
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"op": "and",
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"args": [
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{
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"op": "gt",
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"args": [
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{
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"kind": "indicator",
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"name": "atr",
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"params": [
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14
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]
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},
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{
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"kind": "literal",
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"value": 0.02
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}
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]
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},
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{
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"op": "gt",
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"args": [
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{
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"kind": "indicator",
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"name": "realized_vol",
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"params": [
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20
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]
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},
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{
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"kind": "literal",
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"value": 0.03
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}
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]
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},
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{
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"op": "gt",
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"args": [
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{
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"kind": "indicator",
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"name": "sma",
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"params": [
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50
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]
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},
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{
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"kind": "indicator",
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"name": "sma",
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"params": [
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200
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]
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}
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]
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}
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]
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},
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"action": "entry-long"
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},
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{
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"condition": {
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"op": "and",
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"args": [
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{
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"op": "lt",
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"args": [
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{
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"kind": "indicator",
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"name": "atr",
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"params": [
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14
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]
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},
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{
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"kind": "literal",
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"value": 0.01
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}
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]
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},
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{
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"op": "lt",
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"args": [
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{
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"kind": "indicator",
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"name": "realized_vol",
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"params": [
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20
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]
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},
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{
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"kind": "literal",
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"value": 0.02
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}
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]
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},
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{
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"op": "lt",
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"args": [
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{
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"kind": "indicator",
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"name": "sma",
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"params": [
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50
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]
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},
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{
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"kind": "indicator",
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"name": "sma",
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"params": [
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200
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]
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}
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]
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}
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]
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},
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"action": "entry-short"
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},
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{
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"condition": {
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"op": "or",
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"args": [
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{
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"op": "crossover",
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"args": [
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{
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"kind": "indicator",
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"name": "rsi",
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"params": [
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14
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]
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},
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{
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"kind": "literal",
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"value": 70.0
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}
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]
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},
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{
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"op": "crossunder",
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"args": [
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{
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"kind": "indicator",
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"name": "rsi",
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"params": [
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14
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]
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},
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{
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"kind": "literal",
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"value": 30.0
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}
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]
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}
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]
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},
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"action": "exit"
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}
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]
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} |