config.yaml

# Discord (legacy — unused by web stack)
# guild_id: 1476735819522900031
# channel_id: 1476735820215091204
# recap_interval_minutes: 30
# recap_queue:
#   max_size: 3
# recap_timeframe: Daily
min_confidence: 60
show_signal_breakdown: false
charts:
  enabled: true
  stock_indicators:
  - supertrend
  lookback_bars: 60
  supertrend_period: 5
  supertrend_multiplier: 2.0
  lookback_by_timeframe:
    1d: 13
    1wk: 33
    1h: 60
  dpi: 120
indicator_weights:
  rsi: 1.5
  bollinger: 1.0
  trend: 1.5
  stochastic: 1.0
  williams_r: 1.0
  ema: 1.2
  volatility: 0.8
  news: 1.0
  expert: 1.0
  vwap: 1.0
  obv: 0.8
  cmf: 0.6
min_net_score: 0.5
data_sources:
  primary: yfinance
  fallbacks: [alpha_vantage, polygon]
  rate_limits:
    alpha_vantage: 12   # min_interval_sec
    polygon: 12
expert_input:
  enabled: true
hybrid:
  conflict_action: flat   # "flat" (Hold on conflict), "mr_priority", or "tf_priority"
ticker_profiles:
  SPY:
    strategy: hybrid
    min_net_score: 0.5
    min_confidence: 40
    indicator_weights:
      rsi: 2.0
      bollinger: 1.5
      stochastic: 1.0
      williams_r: 1.0
      trend: 0
      ema: 0
      vwap: 0
      obv: 0
      cmf: 0
    indicators:
      rsi_oversold: 30
      rsi_overbought: 70
    trend_following:
      donchian_period: 55
      adx_threshold: null
  QQQ:
    strategy: hybrid
    min_net_score: 0.5
    min_confidence: 0
    indicator_weights:
      rsi: 2.0
      trend: 2.0
    indicators:
      rsi_oversold: 30
      rsi_overbought: 60
    trend_following:
      donchian_period: 55
      adx_threshold: null
  IWM:
    strategy: hybrid
    min_net_score: 0.5
    min_confidence: 0
    indicator_weights:
      rsi: 2.0
      trend: 2.0
    indicators:
      rsi_oversold: 35
      rsi_overbought: 60
    trend_following:
      donchian_period: 55
      adx_threshold: null
  GLD:
    trend_following:
      donchian_period: 55
      adx_threshold: null
      gold_macro_filter: true
    backtest:
      trailing_stop_atr_multiplier: 2.0
      max_hold_bars: 40
    strategy: tf
  XLE:
    trend_following:
      donchian_period: 55
      adx_threshold: null
    backtest:
      trailing_stop_atr_multiplier: 2.0
      max_hold_bars: 40
    strategy: tf
  # GDX removed: gold miners are mean-reverting equity instruments, not suitable for TF.
  # Statistical validation showed p=0.512 (FAIL) and -4.2% avg OOS return vs B&H over 10y.
asset_class_profiles:
  sector_etf:
    min_net_score: 0.55
    indicator_weights:
      trend: 1.7
      rsi: 1.0
      bollinger: 1.0
  broad_etf:
    min_net_score: 0.5
    min_confidence: 65
  us_large_cap:
    min_net_score: 0.5
    min_confidence: 60
  us_tech:
    min_net_score: 0.5
    min_confidence: 60
  european_index:
    min_net_score: 0.52
    min_confidence: 58
  single_stock: {}
regime:
  method: vix_ensemble    # "vix_ensemble" (VIX + SMA-200) or "sma_200" (legacy)
  vix_low: 18             # VIX below this → MR favored (low vol, range-bound)
  vix_high: 25            # VIX above this → TF favored (high vol, trends persist)
regime_filter: true
regime_indicator_weights:
  bull:
    rsi: 1.6
    stochastic: 1.1
    williams_r: 1.1
    trend: 1.3
    ema: 1.0
    bollinger: 1.0
    volatility: 0.8
    news: 1.0
    vwap: 1.0
    obv: 0.8
    cmf: 0.6
  bear:
    rsi: 0.8
    stochastic: 0.5
    williams_r: 0.5
    trend: 1.8
    ema: 1.2
    bollinger: 0.5
    volatility: 0.8
    news: 1.0
    vwap: 1.2
    obv: 1.0
    cmf: 0.8
  mixed:
    rsi: 1.2
    stochastic: 0.8
    williams_r: 0.8
    trend: 1.5
    ema: 1.1
    bollinger: 0.8
    volatility: 0.8
    news: 1.0
    vwap: 1.0
    obv: 0.8
    cmf: 0.6
timeframe_confidence_factors:
  Daily: 1.0
  1W: 0.95
  1H: 0.85
timeframe_indicator_weights:
  Daily:
    rsi: 1.6
    stochastic: 1.1
    williams_r: 1.1
    trend: 1.3
    ema: 1.0
    bollinger: 1.0
    volatility: 0.8
    news: 1.0
  1W:
    rsi: 1.6
    stochastic: 1.1
    williams_r: 1.1
    trend: 1.3
    ema: 1.0
    bollinger: 1.0
    volatility: 0.8
    news: 1.0
  1H:
    rsi: 1.2
    stochastic: 0.8
    williams_r: 0.8
    trend: 1.7
    ema: 1.4
    bollinger: 1.0
    volatility: 0.8
    news: 1.0
news:
  enabled: true
  max_headlines: 5
  show_in_stock: true
  weight: 1.0
  sentiment_provider: vader
  recap_top_volume: 15
  market_news_ticker: SPY
graham:
  enabled: true
  default_bond_yield: 0.045  # fallback if live ^TNX fetch fails
data_period_days: 60
indicators:
  rsi_period: 14
  rsi_oversold: 35
  rsi_overbought: 65
  macd_fast: 12
  macd_slow: 26
  macd_signal: 9
  bb_period: 20
  bb_std: 2
  supertrend_period: 10
  supertrend_multiplier: 3
  stoch_window: 14
  stoch_smooth: 3
  stoch_oversold: 20
  stoch_overbought: 80
  willr_period: 14
  willr_oversold: -80
  willr_overbought: -20
  ema_fast: 9
  ema_slow: 21
  atr_period: 14
  atr_avg_period: 20
  vwap_deviation_threshold: 1.5
  cmf_threshold: 0.1
  obv_sma_period: 20
daytrade:
  atr_stop_multiplier: 2.0
  atr_tp_multiplier: 2.0
trend_following:
  donchian_period: 55
  atr_period: 14
  adx_period: 14
  adx_threshold: null
backtest:
  commission_pct: 0.2
  slippage_pct: 0.05
  stop_pct: 5
  take_profit_pct: 8
  trailing_stop_pct: 0
  trailing_stop_atr_multiplier: 0
  max_hold_bars: 0
  default_period: 1y
  default_interval: 1d
  min_confidence: 0
walk_forward:
  optimize_metric: profit_factor
  # PBO: default off — compute_pbo assumes Sharpe-like CSCV; IS grid scores use optimize_metric.
  show_pbo: false
  train_bars: 252
  test_bars: 126
  step_bars: 126
  embargo_bars: 5
  # Daily TF only: minimum train length in bars (overrides per-timeframe also use tf_train_bars).
  # Weekly/hourly: set tf_train_bars under timeframe_overrides for that timeframe.
  tf_train_bars: 756
  # Heuristic WFO warnings (P2): sparse OOS trades — see docs/CLAUDE_SONNET_REVIEW_VERIFIED_ROADMAP.md
  low_power_oos_trades_total: 20
  low_power_oos_trades_per_fold: 3
  # Reduced from 48 to 4 combos. RSI thresholds fixed at 30/70 (symmetric, literature standard).
  # trend_weight fixed at 0 (pure MR — trend indicators fight mean-reversion thesis).
  # DSR noise ceiling: sqrt(2*ln(4)) = 1.66 (was 2.78 with 48 combos).
  # Free dimensions: min_net_score (selectivity) and rsi_weight (RSI emphasis).
  param_grid:
    rsi_oversold:
    - 30
    rsi_overbought:
    - 70
    min_net_score:
    - 0.4
    - 0.5
    rsi_weight:
    - 1.5
    - 2.0
    trend_weight:
    - 0
  # Reduced from 4 to 2 combos. donchian_period fixed at 55 (literature-established,
  # Turtle System 2). Optimizing lookbacks creates isolated peaks with no plateau — WFO chases noise.
  # Expected noise Sharpe: sqrt(2*ln(2)) = 1.18 (was 1.66 with 4 combos).
  trend_following_param_grid:
    atr_multiplier:
    - 2.0
    - 3.0
    adx_threshold:
    - null
    max_hold_bars:
    - 0
  timeframe_overrides:
    1H:
      train_bars: 336
      test_bars: 168
      step_bars: 168
    1W:
      train_bars: 52
      test_bars: 13
      step_bars: 13
      tf_train_bars: 104
      param_grid:
        rsi_oversold:
        - 30
        - 35
        rsi_overbought:
        - 65
        - 70
        min_net_score:
        - 0.5
        - 0.6
        min_confidence:
        - 0