41 lines
1.2 KiB
Markdown
41 lines
1.2 KiB
Markdown
# Risk Parameters (stable defaults — edit sparingly, diffs matter)
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# Stage 03 reads this file; the strategy spec may override individual values.
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# Data window (v1)
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window:
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start: 2026-02-27 # ~6 months back; stage 01 narrows to contract reality
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end: 2026-08-27
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# Costs
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costs:
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slippage_model: mid_half_spread # each fill at mid ± half observed spread
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min_tick: 0.01 # options tick floor
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commissions_per_contract: 0.0 # 0 by default; operator may set
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# Sessions
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session:
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default: RTH # 09:30–16:00 ET
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hard_exit_et: "15:45" # house rule: flat before the close
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extended_allowed: false # only if strategy spec explicitly enables
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# Sizing
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sizing:
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mode: fixed_contract
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contracts: 1
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# Exits (defaults; spec overrides)
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exits:
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breakeven_after_t1: false
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# Cache
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cache:
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path: shared/data/backtest_cache.sqlite3
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key: (contract, timespan, window) # cache-first; never re-pull existing rows
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max_rows_per_table: 5000000
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# Validation
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validation:
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no_lookahead: true
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low_n_threshold: 30 # reports must flag results below this trade count
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split: none # optional in-sample/out-of-sample date split
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