Initial commit — Trading AI Secure project complet
Architecture Docker (8 services), FastAPI, TimescaleDB, Redis, Streamlit. Stratégies : scalping, intraday, swing. MLEngine + RegimeDetector (HMM). BacktestEngine + WalkForwardAnalyzer + Optuna optimizer. Routes API complètes dont /optimize async. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
Tika
434
config/data_sources.example.yaml
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434
config/data_sources.example.yaml
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# Configuration Sources de Données - Trading AI Secure
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# Copier ce fichier vers data_sources.yaml
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# ============================================================================
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# SOURCES DE DONNÉES GRATUITES (Phase Développement)
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# ============================================================================
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# Yahoo Finance (Gratuit, Illimité)
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yahoo_finance:
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enabled: true
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priority: 1 # Priorité 1 = source principale
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description: "Yahoo Finance - Données EOD + intraday limitées"
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capabilities:
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historical_data: true
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intraday_data: true # Limité à 7 jours
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real_time: false
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fundamental_data: true
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limits:
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rate_limit: null # Pas de limite officielle
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max_requests_per_minute: 60 # Limite recommandée
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max_symbols_per_request: 1
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timeframes:
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- "1m"
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- "5m"
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- "15m"
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- "30m"
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- "1h"
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- "1d"
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- "1wk"
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- "1mo"
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retry_policy:
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max_retries: 3
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backoff_factor: 2
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timeout: 30
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# Alpha Vantage (Gratuit, 500 calls/jour)
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alpha_vantage:
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enabled: true
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priority: 2
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description: "Alpha Vantage - Données temps réel et historiques"
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api_key: "YOUR_API_KEY_HERE" # Obtenir sur https://www.alphavantage.co/support/#api-key
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capabilities:
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historical_data: true
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intraday_data: true
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real_time: true
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fundamental_data: true
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technical_indicators: true
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limits:
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rate_limit: 500 # 500 calls par jour
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max_requests_per_minute: 5
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max_symbols_per_request: 1
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timeframes:
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- "1min"
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- "5min"
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- "15min"
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- "30min"
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- "60min"
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- "daily"
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- "weekly"
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- "monthly"
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retry_policy:
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max_retries: 3
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backoff_factor: 2
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timeout: 30
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# Twelve Data (Gratuit, 800 calls/jour)
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twelve_data:
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enabled: false # Activer si besoin
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priority: 3
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description: "Twelve Data - Alternative robuste"
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api_key: "YOUR_API_KEY_HERE" # Obtenir sur https://twelvedata.com/
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capabilities:
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historical_data: true
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intraday_data: true
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real_time: true
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fundamental_data: true
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technical_indicators: true
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limits:
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rate_limit: 800 # 800 calls par jour
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max_requests_per_minute: 8
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max_symbols_per_request: 1
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timeframes:
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- "1min"
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- "5min"
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- "15min"
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- "30min"
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- "1h"
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- "1day"
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- "1week"
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- "1month"
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retry_policy:
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max_retries: 3
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backoff_factor: 2
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timeout: 30
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# Polygon.io (Gratuit, 5 calls/minute)
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polygon_io:
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enabled: false
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priority: 4
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description: "Polygon.io - Données US premium"
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api_key: "YOUR_API_KEY_HERE" # Obtenir sur https://polygon.io/
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capabilities:
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historical_data: true
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intraday_data: true
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real_time: true
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fundamental_data: false
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limits:
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rate_limit: 5 # 5 calls par minute (gratuit)
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max_requests_per_minute: 5
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max_symbols_per_request: 1
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timeframes:
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- "1min"
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- "5min"
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- "15min"
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- "1hour"
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- "1day"
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retry_policy:
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max_retries: 3
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backoff_factor: 2
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timeout: 30
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# FRED API (Réserve Fédérale - Données Macro)
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fred_api:
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enabled: true
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priority: 5
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description: "FRED - Données macroéconomiques"
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api_key: "YOUR_API_KEY_HERE" # Obtenir sur https://fred.stlouisfed.org/docs/api/api_key.html
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capabilities:
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economic_indicators: true
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interest_rates: true
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inflation_data: true
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limits:
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rate_limit: null # Pas de limite
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max_requests_per_minute: 120
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retry_policy:
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max_retries: 3
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backoff_factor: 2
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timeout: 30
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# ============================================================================
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# SOURCES CRYPTO (Pour Tests)
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# ============================================================================
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# Binance Public API
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binance:
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enabled: false # Activer pour tests crypto
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priority: 6
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description: "Binance - Données crypto gratuites"
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capabilities:
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historical_data: true
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intraday_data: true
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real_time: true
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orderbook: true
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limits:
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rate_limit: null # Illimité (public API)
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max_requests_per_minute: 1200
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weight_limit: 1200 # Weight-based rate limiting
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timeframes:
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- "1m"
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- "5m"
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- "15m"
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- "30m"
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- "1h"
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- "4h"
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- "1d"
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retry_policy:
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max_retries: 3
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backoff_factor: 2
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timeout: 30
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# CoinGecko API
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coingecko:
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enabled: false
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priority: 7
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description: "CoinGecko - Backup crypto"
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capabilities:
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historical_data: true
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market_data: true
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fundamental_data: true
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limits:
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rate_limit: 50 # 50 calls par minute
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max_requests_per_minute: 50
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retry_policy:
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max_retries: 3
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backoff_factor: 2
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timeout: 30
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# ============================================================================
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# IG MARKETS (Production)
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# ============================================================================
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ig_markets:
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enabled: false # Activer en Phase 5
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priority: 0 # Priorité 0 = source principale en prod
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description: "IG Markets - Trading réel"
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# Environnements
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environments:
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demo:
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api_url: "https://demo-api.ig.com/gateway/deal"
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lightstreamer_url: "https://demo-apd.marketdatasys.com"
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api_key: "" # À configurer
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username: ""
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password: ""
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account_id: ""
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live:
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api_url: "https://api.ig.com/gateway/deal"
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lightstreamer_url: "https://apd.marketdatasys.com"
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api_key: "" # À configurer
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username: ""
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password: ""
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account_id: ""
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capabilities:
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historical_data: true
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real_time_streaming: true
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order_execution: true
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account_management: true
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limits:
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rate_limit: 60 # 60 requêtes par minute
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max_requests_per_minute: 60
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max_positions: 200
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retry_policy:
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max_retries: 3
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backoff_factor: 2
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timeout: 30
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# ============================================================================
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# CONFIGURATION CACHE
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# ============================================================================
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cache:
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enabled: true
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description: "Cache local pour réduire appels API"
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# Backend cache
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backend: "redis" # redis, memory, disk
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# Redis configuration (si backend = redis)
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redis:
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host: "localhost"
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port: 6379
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db: 0
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password: null
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# TTL par type de données
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ttl:
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intraday_1min: 60 # 1 minute
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intraday_5min: 300 # 5 minutes
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intraday_15min: 900 # 15 minutes
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intraday_1hour: 3600 # 1 heure
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daily: 86400 # 1 jour
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weekly: 604800 # 1 semaine
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fundamental: 2592000 # 30 jours
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# Politique de cache
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policy:
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max_size_mb: 1000 # 1 GB max
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eviction_policy: "lru" # lru, lfu, fifo
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compression: true
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# ============================================================================
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# FAILOVER ET REDONDANCE
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# ============================================================================
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failover:
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enabled: true
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description: "Basculement automatique si source principale échoue"
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# Stratégie de failover
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strategy: "priority" # priority, round_robin, random
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# Conditions de failover
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triggers:
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consecutive_failures: 3 # 3 échecs consécutifs
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timeout_threshold: 30 # 30 secondes timeout
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error_rate_threshold: 0.5 # 50% taux d'erreur
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# Cooldown avant retry source principale
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cooldown_seconds: 300 # 5 minutes
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# ============================================================================
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# MONITORING ET LOGGING
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# ============================================================================
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monitoring:
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enabled: true
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# Métriques à tracker
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metrics:
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- "api_calls_count"
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- "api_calls_success_rate"
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- "api_response_time"
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- "cache_hit_rate"
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- "data_freshness"
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- "failover_events"
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# Alertes
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alerts:
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high_error_rate:
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threshold: 0.3 # 30% taux d'erreur
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notification: ["telegram"]
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rate_limit_approaching:
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threshold: 0.9 # 90% de la limite
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notification: ["telegram"]
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source_unavailable:
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duration_seconds: 300 # 5 minutes indisponible
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notification: ["telegram", "email"]
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logging:
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enabled: true
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level: "INFO" # DEBUG, INFO, WARNING, ERROR
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# Logs par source
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log_api_calls: true
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log_cache_operations: true
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log_failover_events: true
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# Rotation logs
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rotation:
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max_size_mb: 100
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backup_count: 10
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# ============================================================================
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# SYMBOLES ET MARCHÉS
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# ============================================================================
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symbols:
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# Forex
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forex:
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- symbol: "EURUSD"
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name: "Euro / US Dollar"
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enabled: true
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sources: ["yahoo_finance", "alpha_vantage", "ig_markets"]
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- symbol: "GBPUSD"
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name: "British Pound / US Dollar"
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enabled: true
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sources: ["yahoo_finance", "alpha_vantage", "ig_markets"]
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- symbol: "USDJPY"
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name: "US Dollar / Japanese Yen"
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enabled: true
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sources: ["yahoo_finance", "alpha_vantage", "ig_markets"]
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# Indices
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indices:
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- symbol: "^GSPC" # S&P 500
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name: "S&P 500"
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enabled: true
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sources: ["yahoo_finance", "alpha_vantage"]
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- symbol: "^DJI" # Dow Jones
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name: "Dow Jones Industrial Average"
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enabled: true
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sources: ["yahoo_finance", "alpha_vantage"]
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# Crypto (tests uniquement)
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crypto:
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- symbol: "BTCUSD"
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name: "Bitcoin / US Dollar"
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enabled: false
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sources: ["binance", "coingecko"]
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- symbol: "ETHUSD"
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name: "Ethereum / US Dollar"
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enabled: false
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sources: ["binance", "coingecko"]
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# ============================================================================
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# VALIDATION DONNÉES
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# ============================================================================
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data_validation:
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enabled: true
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# Checks de qualité
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quality_checks:
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check_missing_values: true
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max_missing_pct: 0.05 # 5% max valeurs manquantes
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check_outliers: true
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outlier_std_threshold: 5 # 5 écarts-types
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check_duplicates: true
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check_chronological_order: true
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check_price_consistency: true # High >= Low, etc.
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# Actions si validation échoue
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on_validation_failure:
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action: "skip" # skip, interpolate, use_cache
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notify: true
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# ============================================================================
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# NOTES
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# ============================================================================
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# 1. Obtenir clés API gratuites avant utilisation
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# 2. Respecter rate limits pour éviter bans
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# 3. Activer cache pour réduire appels API
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# 4. Tester failover régulièrement
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# 5. Monitor consommation API quotidienne
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264
config/risk_limits.example.yaml
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264
config/risk_limits.example.yaml
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@@ -0,0 +1,264 @@
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# Configuration Risk Management - Trading AI Secure
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# Copier ce fichier vers risk_limits.yaml et ajuster selon votre profil de risque
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# ============================================================================
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# LIMITES GLOBALES DU PORTFOLIO
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# ============================================================================
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global_limits:
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# Capital et Exposition
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max_portfolio_risk: 0.02 # 2% du capital total en risque simultané
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max_position_size: 0.05 # 5% du capital par position maximum
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max_total_exposure: 1.0 # 100% du capital (pas de levier)
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min_cash_reserve: 0.10 # 10% du capital en réserve
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# Drawdown et Pertes
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max_drawdown: 0.10 # 10% drawdown maximum avant halt
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max_daily_loss: 0.03 # 3% perte journalière maximum
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max_weekly_loss: 0.07 # 7% perte hebdomadaire maximum
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max_monthly_loss: 0.15 # 15% perte mensuelle maximum
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# Corrélation et Diversification
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max_correlation: 0.7 # Corrélation maximum entre positions
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min_diversification: 3 # Minimum 3 positions non-corrélées
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max_same_strategy_positions: 5 # Maximum 5 positions par stratégie
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# Liquidité
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min_daily_volume: 1000000 # 1M$ volume quotidien minimum
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max_position_vs_volume: 0.01 # Maximum 1% du volume quotidien
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min_spread_pct: 0.001 # 0.1% spread maximum acceptable
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# Concentration
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max_sector_exposure: 0.30 # 30% maximum par secteur
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max_asset_class_exposure: 0.50 # 50% maximum par classe d'actif
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max_currency_exposure: 0.40 # 40% maximum par devise
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# ============================================================================
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# LIMITES PAR STRATÉGIE
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# ============================================================================
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strategy_limits:
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# Stratégie Scalping (Court Terme)
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scalping:
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enabled: true
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max_trades_per_day: 50 # Maximum 50 trades par jour
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max_trades_per_hour: 10 # Maximum 10 trades par heure
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risk_per_trade: 0.005 # 0.5% du capital par trade
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max_holding_time: 1800 # 30 minutes maximum
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max_slippage: 0.001 # 0.1% slippage maximum acceptable
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min_profit_target: 0.003 # 0.3% profit minimum visé
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max_consecutive_losses: 3 # Pause après 3 pertes consécutives
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# Paramètres adaptatifs
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adaptive_params:
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min_confidence: 0.65 # Confiance minimum pour trade
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bb_period: 20 # Période Bollinger Bands
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bb_std: 2.0 # Écart-type Bollinger
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rsi_period: 14 # Période RSI
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rsi_oversold: 30 # Seuil oversold
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rsi_overbought: 70 # Seuil overbought
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||||
volume_threshold: 1.5 # Ratio volume vs moyenne
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# Stratégie Intraday (Moyen Terme)
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intraday:
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enabled: true
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max_trades_per_day: 10 # Maximum 10 trades par jour
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||||
max_trades_per_hour: 3 # Maximum 3 trades par heure
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risk_per_trade: 0.015 # 1.5% du capital par trade
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max_holding_time: 86400 # 1 jour maximum
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max_slippage: 0.002 # 0.2% slippage maximum
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||||
min_profit_target: 0.01 # 1% profit minimum visé
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||||
max_consecutive_losses: 3 # Pause après 3 pertes
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||||
|
||||
# Paramètres adaptatifs
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||||
adaptive_params:
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||||
min_confidence: 0.60 # Confiance minimum
|
||||
ema_fast: 9 # EMA rapide
|
||||
ema_slow: 21 # EMA lente
|
||||
ema_trend: 50 # EMA tendance
|
||||
atr_multiplier: 2.5 # Multiplicateur ATR pour stops
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||||
volume_confirmation: 1.2 # Confirmation volume
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||||
min_adx: 25 # ADX minimum (force tendance)
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||||
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||||
# Stratégie Swing (Long Terme)
|
||||
swing:
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||||
enabled: true
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||||
max_trades_per_week: 5 # Maximum 5 trades par semaine
|
||||
max_trades_per_day: 2 # Maximum 2 trades par jour
|
||||
risk_per_trade: 0.025 # 2.5% du capital par trade
|
||||
max_holding_time: 432000 # 5 jours maximum
|
||||
max_slippage: 0.003 # 0.3% slippage maximum
|
||||
min_profit_target: 0.03 # 3% profit minimum visé
|
||||
max_consecutive_losses: 2 # Pause après 2 pertes
|
||||
|
||||
# Paramètres adaptatifs
|
||||
adaptive_params:
|
||||
min_confidence: 0.55 # Confiance minimum
|
||||
sma_short: 20 # SMA courte
|
||||
sma_long: 50 # SMA longue
|
||||
rsi_period: 14 # Période RSI
|
||||
macd_fast: 12 # MACD rapide
|
||||
macd_slow: 26 # MACD lente
|
||||
macd_signal: 9 # Signal MACD
|
||||
|
||||
# ============================================================================
|
||||
# LIMITES DYNAMIQUES (Ajustées selon conditions)
|
||||
# ============================================================================
|
||||
dynamic_limits:
|
||||
# Ajustements selon volatilité
|
||||
volatility_adjustments:
|
||||
enabled: true
|
||||
low_volatility_threshold: 0.01 # < 1% volatilité quotidienne
|
||||
high_volatility_threshold: 0.03 # > 3% volatilité quotidienne
|
||||
|
||||
# Réductions en haute volatilité
|
||||
high_vol_position_size_mult: 0.5 # Réduire taille positions de 50%
|
||||
high_vol_risk_mult: 0.7 # Réduire risque total de 30%
|
||||
high_vol_trades_mult: 0.5 # Réduire nombre trades de 50%
|
||||
|
||||
# Ajustements selon drawdown
|
||||
drawdown_adjustments:
|
||||
enabled: true
|
||||
|
||||
# Paliers de drawdown
|
||||
mild_drawdown: 0.05 # 5% drawdown
|
||||
moderate_drawdown: 0.08 # 8% drawdown
|
||||
severe_drawdown: 0.10 # 10% drawdown (halt)
|
||||
|
||||
# Réductions selon palier
|
||||
mild_position_size_mult: 0.8 # -20% taille positions
|
||||
moderate_position_size_mult: 0.5 # -50% taille positions
|
||||
|
||||
# Ajustements selon losing streak
|
||||
losing_streak_adjustments:
|
||||
enabled: true
|
||||
|
||||
# Paliers de pertes consécutives
|
||||
minor_streak: 3 # 3 pertes consécutives
|
||||
major_streak: 5 # 5 pertes consécutives
|
||||
critical_streak: 7 # 7 pertes (pause trading)
|
||||
|
||||
# Réductions
|
||||
minor_trades_mult: 0.7 # -30% nombre trades
|
||||
minor_risk_mult: 0.5 # -50% risque par trade
|
||||
major_trades_mult: 0.5 # -50% nombre trades
|
||||
major_risk_mult: 0.3 # -70% risque par trade
|
||||
|
||||
# ============================================================================
|
||||
# CIRCUIT BREAKERS (Arrêts Automatiques)
|
||||
# ============================================================================
|
||||
circuit_breakers:
|
||||
# Drawdown excessif
|
||||
max_drawdown_breaker:
|
||||
enabled: true
|
||||
threshold: 0.10 # 10% drawdown
|
||||
action: "halt_trading" # Arrêter trading
|
||||
notification: ["telegram", "email", "sms"]
|
||||
|
||||
# Perte journalière
|
||||
daily_loss_breaker:
|
||||
enabled: true
|
||||
threshold: 0.03 # 3% perte journalière
|
||||
action: "halt_trading"
|
||||
notification: ["telegram", "email"]
|
||||
|
||||
# Volatilité extrême
|
||||
volatility_spike_breaker:
|
||||
enabled: true
|
||||
threshold_multiplier: 3.0 # 3x volatilité normale
|
||||
action: "reduce_exposure" # Réduire exposition
|
||||
notification: ["telegram"]
|
||||
|
||||
# Flash crash
|
||||
flash_crash_breaker:
|
||||
enabled: true
|
||||
price_move_threshold: 0.05 # 5% mouvement en 1 minute
|
||||
action: "halt_trading"
|
||||
notification: ["telegram", "sms"]
|
||||
|
||||
# API failure
|
||||
api_failure_breaker:
|
||||
enabled: true
|
||||
max_consecutive_failures: 3 # 3 échecs consécutifs
|
||||
action: "close_positions" # Fermer positions
|
||||
notification: ["telegram", "email", "sms"]
|
||||
|
||||
# Corrélation excessive
|
||||
correlation_breaker:
|
||||
enabled: true
|
||||
threshold: 0.85 # 85% corrélation
|
||||
action: "block_new_trades" # Bloquer nouveaux trades
|
||||
notification: ["telegram"]
|
||||
|
||||
# ============================================================================
|
||||
# ALERTES ET NOTIFICATIONS
|
||||
# ============================================================================
|
||||
alerts:
|
||||
# Seuils d'alerte (avant circuit breakers)
|
||||
warning_thresholds:
|
||||
drawdown_warning: 0.08 # Alerte à 8% drawdown
|
||||
daily_loss_warning: 0.025 # Alerte à 2.5% perte journalière
|
||||
position_size_warning: 0.04 # Alerte si position > 4%
|
||||
correlation_warning: 0.6 # Alerte si corrélation > 60%
|
||||
|
||||
# Canaux de notification
|
||||
notification_channels:
|
||||
telegram:
|
||||
enabled: true
|
||||
priority: "high"
|
||||
bot_token: "" # À configurer
|
||||
chat_id: "" # À configurer
|
||||
|
||||
email:
|
||||
enabled: true
|
||||
priority: "medium"
|
||||
smtp_server: "smtp.gmail.com"
|
||||
smtp_port: 587
|
||||
from_email: "" # À configurer
|
||||
to_email: "" # À configurer
|
||||
password: "" # À configurer
|
||||
|
||||
sms:
|
||||
enabled: false # Coûteux, urgences uniquement
|
||||
priority: "critical"
|
||||
provider: "twilio"
|
||||
account_sid: "" # À configurer
|
||||
auth_token: "" # À configurer
|
||||
from_number: "" # À configurer
|
||||
to_number: "" # À configurer
|
||||
|
||||
# ============================================================================
|
||||
# PARAMÈTRES AVANCÉS
|
||||
# ============================================================================
|
||||
advanced:
|
||||
# Kelly Criterion
|
||||
kelly_criterion:
|
||||
enabled: true
|
||||
fraction: 0.25 # Utiliser 25% du Kelly (conservateur)
|
||||
min_trades_for_calculation: 30 # Minimum 30 trades pour calcul
|
||||
|
||||
# Value at Risk (VaR)
|
||||
var_calculation:
|
||||
enabled: true
|
||||
confidence_level: 0.95 # 95% confiance
|
||||
time_horizon_days: 1 # Horizon 1 jour
|
||||
method: "historical" # historical, parametric, monte_carlo
|
||||
|
||||
# Position Sizing
|
||||
position_sizing:
|
||||
method: "kelly_adaptive" # kelly_adaptive, fixed_fractional, volatility_based
|
||||
min_position_size: 0.01 # 1% minimum
|
||||
max_position_size: 0.05 # 5% maximum
|
||||
|
||||
# Rebalancing
|
||||
portfolio_rebalancing:
|
||||
enabled: true
|
||||
frequency: "daily" # daily, weekly, monthly
|
||||
threshold: 0.05 # Rebalancer si drift > 5%
|
||||
|
||||
# ============================================================================
|
||||
# NOTES
|
||||
# ============================================================================
|
||||
# 1. Ces limites sont CONSERVATRICES par défaut
|
||||
# 2. Ajuster selon votre tolérance au risque
|
||||
# 3. JAMAIS désactiver circuit breakers en production
|
||||
# 4. Tester changements en paper trading d'abord
|
||||
# 5. Documenter toute modification
|
||||
477
config/strategy_params.example.yaml
Normal file
477
config/strategy_params.example.yaml
Normal file
@@ -0,0 +1,477 @@
|
||||
# Configuration Paramètres Stratégies - Trading AI Secure
|
||||
# Copier ce fichier vers strategy_params.yaml
|
||||
|
||||
# ============================================================================
|
||||
# CONFIGURATION GLOBALE STRATÉGIES
|
||||
# ============================================================================
|
||||
global_strategy_config:
|
||||
# Capital allocation par stratégie (doit totaliser 1.0)
|
||||
allocation:
|
||||
scalping: 0.30 # 30% du capital
|
||||
intraday: 0.50 # 50% du capital
|
||||
swing: 0.20 # 20% du capital
|
||||
|
||||
# Ajustement allocation selon régime de marché
|
||||
regime_based_allocation:
|
||||
enabled: true
|
||||
|
||||
bull_market:
|
||||
scalping: 0.20
|
||||
intraday: 0.50
|
||||
swing: 0.30 # Favoriser swing en bull
|
||||
|
||||
bear_market:
|
||||
scalping: 0.40 # Favoriser scalping en bear
|
||||
intraday: 0.40
|
||||
swing: 0.10
|
||||
short_bias: 0.10 # Activer short bias
|
||||
|
||||
sideways_market:
|
||||
scalping: 0.50 # Favoriser scalping en sideways
|
||||
intraday: 0.30
|
||||
swing: 0.20
|
||||
|
||||
# ============================================================================
|
||||
# STRATÉGIE SCALPING
|
||||
# ============================================================================
|
||||
scalping_strategy:
|
||||
# Informations générales
|
||||
name: "Scalping Mean Reversion"
|
||||
description: "Stratégie scalping basée sur retour à la moyenne"
|
||||
timeframe: "1min" # 1, 5 minutes
|
||||
enabled: true
|
||||
|
||||
# Indicateurs techniques
|
||||
indicators:
|
||||
bollinger_bands:
|
||||
period: 20
|
||||
std_dev: 2.0
|
||||
adaptive: true # Ajuster selon volatilité
|
||||
|
||||
rsi:
|
||||
period: 14
|
||||
oversold: 30
|
||||
overbought: 70
|
||||
adaptive: true # Ajuster seuils dynamiquement
|
||||
|
||||
macd:
|
||||
fast_period: 12
|
||||
slow_period: 26
|
||||
signal_period: 9
|
||||
|
||||
volume:
|
||||
ma_period: 20
|
||||
threshold_multiplier: 1.5 # Volume > 1.5x moyenne
|
||||
|
||||
atr:
|
||||
period: 14
|
||||
multiplier_stop: 2.0 # Stop-loss à 2 ATR
|
||||
multiplier_target: 3.0 # Take-profit à 3 ATR
|
||||
|
||||
# Conditions d'entrée
|
||||
entry_conditions:
|
||||
long:
|
||||
- "bb_position < 0.2" # Prix proche BB lower
|
||||
- "rsi < rsi_oversold" # RSI oversold
|
||||
- "macd_hist > 0" # MACD histogram positif
|
||||
- "volume_ratio > volume_threshold" # Volume confirmation
|
||||
- "confidence >= min_confidence" # Confiance suffisante
|
||||
|
||||
short:
|
||||
- "bb_position > 0.8" # Prix proche BB upper
|
||||
- "rsi > rsi_overbought" # RSI overbought
|
||||
- "macd_hist < 0" # MACD histogram négatif
|
||||
- "volume_ratio > volume_threshold"
|
||||
- "confidence >= min_confidence"
|
||||
|
||||
# Gestion de position
|
||||
position_management:
|
||||
entry_type: "market" # market, limit
|
||||
exit_type: "market" # market, limit
|
||||
use_trailing_stop: true
|
||||
trailing_stop_activation: 0.005 # Activer à +0.5%
|
||||
trailing_stop_distance: 0.003 # Distance 0.3%
|
||||
partial_take_profit: true
|
||||
partial_tp_levels:
|
||||
- level: 0.003 # 0.3%
|
||||
size: 0.5 # Fermer 50%
|
||||
- level: 0.005 # 0.5%
|
||||
size: 0.3 # Fermer 30%
|
||||
|
||||
# Filtres
|
||||
filters:
|
||||
time_filter:
|
||||
enabled: true
|
||||
trading_hours:
|
||||
- start: "08:00"
|
||||
end: "17:00"
|
||||
timezone: "Europe/London"
|
||||
|
||||
spread_filter:
|
||||
enabled: true
|
||||
max_spread_pct: 0.001 # 0.1% spread maximum
|
||||
|
||||
volatility_filter:
|
||||
enabled: true
|
||||
min_volatility: 0.005 # 0.5% minimum
|
||||
max_volatility: 0.03 # 3% maximum
|
||||
|
||||
# Optimisation adaptative
|
||||
adaptive_optimization:
|
||||
enabled: true
|
||||
optimization_frequency: "daily" # daily, weekly
|
||||
method: "bayesian" # bayesian, grid, random
|
||||
parameters_to_optimize:
|
||||
- "bb_period"
|
||||
- "bb_std"
|
||||
- "rsi_period"
|
||||
- "rsi_oversold"
|
||||
- "rsi_overbought"
|
||||
- "volume_threshold"
|
||||
- "min_confidence"
|
||||
|
||||
constraints:
|
||||
bb_period: [10, 30]
|
||||
bb_std: [1.5, 3.0]
|
||||
rsi_period: [10, 20]
|
||||
rsi_oversold: [20, 35]
|
||||
rsi_overbought: [65, 80]
|
||||
volume_threshold: [1.2, 2.0]
|
||||
min_confidence: [0.5, 0.8]
|
||||
|
||||
# ============================================================================
|
||||
# STRATÉGIE INTRADAY
|
||||
# ============================================================================
|
||||
intraday_strategy:
|
||||
# Informations générales
|
||||
name: "Intraday Trend Following"
|
||||
description: "Stratégie intraday suivant les tendances"
|
||||
timeframe: "15min" # 15, 30, 60 minutes
|
||||
enabled: true
|
||||
|
||||
# Indicateurs techniques
|
||||
indicators:
|
||||
ema:
|
||||
fast_period: 9
|
||||
slow_period: 21
|
||||
trend_period: 50
|
||||
adaptive: true
|
||||
|
||||
adx:
|
||||
period: 14
|
||||
threshold: 25 # ADX > 25 = tendance forte
|
||||
|
||||
atr:
|
||||
period: 14
|
||||
multiplier_stop: 2.5
|
||||
multiplier_target: 5.0 # R:R 2:1
|
||||
|
||||
volume:
|
||||
ma_period: 20
|
||||
confirmation_threshold: 1.2
|
||||
|
||||
pivot_points:
|
||||
type: "standard" # standard, fibonacci, camarilla
|
||||
lookback_period: 1 # 1 jour
|
||||
|
||||
# Conditions d'entrée
|
||||
entry_conditions:
|
||||
long:
|
||||
- "ema_fast > ema_slow" # EMA fast au-dessus slow
|
||||
- "ema_fast_prev <= ema_slow_prev" # Crossover récent
|
||||
- "close > ema_trend" # Prix au-dessus tendance
|
||||
- "adx > adx_threshold" # Tendance forte
|
||||
- "volume_ratio > volume_confirmation"
|
||||
- "confidence >= min_confidence"
|
||||
|
||||
short:
|
||||
- "ema_fast < ema_slow"
|
||||
- "ema_fast_prev >= ema_slow_prev"
|
||||
- "close < ema_trend"
|
||||
- "adx > adx_threshold"
|
||||
- "volume_ratio > volume_confirmation"
|
||||
- "confidence >= min_confidence"
|
||||
|
||||
# Gestion de position
|
||||
position_management:
|
||||
entry_type: "market"
|
||||
exit_type: "market"
|
||||
use_trailing_stop: true
|
||||
trailing_stop_activation: 0.01 # Activer à +1%
|
||||
trailing_stop_distance: 0.005 # Distance 0.5%
|
||||
partial_take_profit: true
|
||||
partial_tp_levels:
|
||||
- level: 0.01 # 1%
|
||||
size: 0.4 # Fermer 40%
|
||||
- level: 0.015 # 1.5%
|
||||
size: 0.3 # Fermer 30%
|
||||
|
||||
# Breakeven
|
||||
move_to_breakeven: true
|
||||
breakeven_trigger: 0.008 # À +0.8%
|
||||
breakeven_offset: 0.002 # +0.2% au-dessus entry
|
||||
|
||||
# Filtres
|
||||
filters:
|
||||
time_filter:
|
||||
enabled: true
|
||||
avoid_news_times: true # Éviter annonces économiques
|
||||
trading_sessions:
|
||||
- name: "London"
|
||||
start: "08:00"
|
||||
end: "16:30"
|
||||
- name: "New York"
|
||||
start: "13:30"
|
||||
end: "20:00"
|
||||
|
||||
trend_filter:
|
||||
enabled: true
|
||||
min_trend_strength: 0.6 # ADX normalisé
|
||||
|
||||
support_resistance_filter:
|
||||
enabled: true
|
||||
min_distance_from_sr: 0.005 # 0.5% distance minimum
|
||||
|
||||
# Optimisation adaptative
|
||||
adaptive_optimization:
|
||||
enabled: true
|
||||
optimization_frequency: "weekly"
|
||||
method: "bayesian"
|
||||
parameters_to_optimize:
|
||||
- "ema_fast"
|
||||
- "ema_slow"
|
||||
- "ema_trend"
|
||||
- "adx_threshold"
|
||||
- "atr_multiplier_stop"
|
||||
- "atr_multiplier_target"
|
||||
- "min_confidence"
|
||||
|
||||
constraints:
|
||||
ema_fast: [5, 15]
|
||||
ema_slow: [15, 30]
|
||||
ema_trend: [40, 60]
|
||||
adx_threshold: [20, 30]
|
||||
atr_multiplier_stop: [2.0, 3.5]
|
||||
atr_multiplier_target: [4.0, 6.0]
|
||||
min_confidence: [0.5, 0.75]
|
||||
|
||||
# ============================================================================
|
||||
# STRATÉGIE SWING
|
||||
# ============================================================================
|
||||
swing_strategy:
|
||||
# Informations générales
|
||||
name: "Swing Multi-Timeframe"
|
||||
description: "Stratégie swing avec analyse multi-timeframe"
|
||||
timeframe: "4h" # 4h, 1D
|
||||
enabled: true
|
||||
|
||||
# Indicateurs techniques
|
||||
indicators:
|
||||
sma:
|
||||
short_period: 20
|
||||
long_period: 50
|
||||
adaptive: true
|
||||
|
||||
rsi:
|
||||
period: 14
|
||||
neutral_zone: [40, 60] # Zone neutre pour swing
|
||||
|
||||
macd:
|
||||
fast_period: 12
|
||||
slow_period: 26
|
||||
signal_period: 9
|
||||
|
||||
fibonacci:
|
||||
lookback_period: 50 # 50 barres pour high/low
|
||||
key_levels: [0.236, 0.382, 0.5, 0.618, 0.786]
|
||||
|
||||
atr:
|
||||
period: 14
|
||||
multiplier_stop: 3.0
|
||||
multiplier_target: 6.0 # R:R 2:1
|
||||
|
||||
# Multi-timeframe analysis
|
||||
multi_timeframe:
|
||||
enabled: true
|
||||
higher_timeframe: "1D" # Timeframe supérieur
|
||||
confirm_trend: true # Confirmer tendance HTF
|
||||
|
||||
htf_indicators:
|
||||
- "sma_50"
|
||||
- "sma_200"
|
||||
- "trend_direction"
|
||||
|
||||
# Conditions d'entrée
|
||||
entry_conditions:
|
||||
long:
|
||||
- "sma_short > sma_long" # SMA short au-dessus long
|
||||
- "rsi >= 40 and rsi <= 60" # RSI zone neutre
|
||||
- "macd > macd_signal" # MACD bullish
|
||||
- "close_near_fib_support" # Prix près support Fibonacci
|
||||
- "htf_trend == 'UP'" # Tendance HTF haussière
|
||||
- "confidence >= min_confidence"
|
||||
|
||||
short:
|
||||
- "sma_short < sma_long"
|
||||
- "rsi >= 40 and rsi <= 60"
|
||||
- "macd < macd_signal"
|
||||
- "close_near_fib_resistance"
|
||||
- "htf_trend == 'DOWN'"
|
||||
- "confidence >= min_confidence"
|
||||
|
||||
# Gestion de position
|
||||
position_management:
|
||||
entry_type: "limit" # Limit orders pour meilleur prix
|
||||
entry_offset: 0.002 # 0.2% offset
|
||||
exit_type: "market"
|
||||
use_trailing_stop: true
|
||||
trailing_stop_activation: 0.02 # Activer à +2%
|
||||
trailing_stop_distance: 0.01 # Distance 1%
|
||||
partial_take_profit: true
|
||||
partial_tp_levels:
|
||||
- level: 0.03 # 3%
|
||||
size: 0.33 # Fermer 33%
|
||||
- level: 0.05 # 5%
|
||||
size: 0.33 # Fermer 33%
|
||||
|
||||
# Scale in
|
||||
scale_in: true
|
||||
scale_in_levels:
|
||||
- trigger: 0.01 # À +1%
|
||||
size: 0.5 # Ajouter 50% position initiale
|
||||
|
||||
# Filtres
|
||||
filters:
|
||||
fundamental_filter:
|
||||
enabled: true
|
||||
avoid_earnings: true # Éviter publications résultats
|
||||
avoid_major_news: true # Éviter news majeures
|
||||
|
||||
seasonal_filter:
|
||||
enabled: false # Optionnel
|
||||
favorable_months: [1, 2, 3, 10, 11, 12] # Mois favorables
|
||||
|
||||
correlation_filter:
|
||||
enabled: true
|
||||
max_correlation_with_existing: 0.7
|
||||
|
||||
# Optimisation adaptative
|
||||
adaptive_optimization:
|
||||
enabled: true
|
||||
optimization_frequency: "monthly"
|
||||
method: "bayesian"
|
||||
parameters_to_optimize:
|
||||
- "sma_short"
|
||||
- "sma_long"
|
||||
- "rsi_period"
|
||||
- "fibonacci_lookback"
|
||||
- "atr_multiplier_stop"
|
||||
- "min_confidence"
|
||||
|
||||
constraints:
|
||||
sma_short: [15, 25]
|
||||
sma_long: [40, 60]
|
||||
rsi_period: [10, 20]
|
||||
fibonacci_lookback: [30, 70]
|
||||
atr_multiplier_stop: [2.5, 4.0]
|
||||
min_confidence: [0.5, 0.7]
|
||||
|
||||
# ============================================================================
|
||||
# MACHINE LEARNING CONFIGURATION
|
||||
# ============================================================================
|
||||
ml_config:
|
||||
# Modèles utilisés
|
||||
models:
|
||||
- name: "xgboost"
|
||||
enabled: true
|
||||
priority: 1
|
||||
hyperparameters:
|
||||
n_estimators: 100
|
||||
max_depth: 6
|
||||
learning_rate: 0.1
|
||||
|
||||
- name: "lightgbm"
|
||||
enabled: true
|
||||
priority: 2
|
||||
hyperparameters:
|
||||
n_estimators: 100
|
||||
max_depth: 6
|
||||
learning_rate: 0.1
|
||||
|
||||
- name: "random_forest"
|
||||
enabled: false
|
||||
priority: 3
|
||||
hyperparameters:
|
||||
n_estimators: 100
|
||||
max_depth: 10
|
||||
|
||||
# Features engineering
|
||||
features:
|
||||
technical_indicators: true
|
||||
price_patterns: true
|
||||
volume_profile: true
|
||||
market_microstructure: false # Avancé
|
||||
sentiment_analysis: false # Nécessite API news
|
||||
|
||||
# Training
|
||||
training:
|
||||
train_test_split: 0.7 # 70% train, 30% test
|
||||
validation_method: "walk_forward" # walk_forward, k_fold
|
||||
retraining_frequency: "weekly" # daily, weekly, monthly
|
||||
min_samples: 1000 # Minimum échantillons
|
||||
|
||||
# Ensemble
|
||||
ensemble:
|
||||
enabled: true
|
||||
method: "stacking" # stacking, voting, blending
|
||||
meta_learner: "logistic_regression"
|
||||
|
||||
# ============================================================================
|
||||
# BACKTESTING CONFIGURATION
|
||||
# ============================================================================
|
||||
backtesting_config:
|
||||
# Données
|
||||
data:
|
||||
start_date: "2020-01-01"
|
||||
end_date: "2024-01-01"
|
||||
symbols: ["EURUSD", "GBPUSD", "USDJPY"]
|
||||
|
||||
# Coûts de transaction
|
||||
transaction_costs:
|
||||
commission_pct: 0.0001 # 0.01% commission
|
||||
slippage_pct: 0.0005 # 0.05% slippage
|
||||
spread_pct: 0.0002 # 0.02% spread
|
||||
|
||||
# Validation
|
||||
validation:
|
||||
walk_forward:
|
||||
enabled: true
|
||||
train_window: 252 # 1 an
|
||||
test_window: 63 # 3 mois
|
||||
step_size: 21 # 1 mois
|
||||
|
||||
monte_carlo:
|
||||
enabled: true
|
||||
n_simulations: 10000
|
||||
confidence_level: 0.95
|
||||
|
||||
out_of_sample:
|
||||
enabled: true
|
||||
oos_ratio: 0.30 # 30% out-of-sample
|
||||
|
||||
# Métriques
|
||||
metrics:
|
||||
required:
|
||||
sharpe_ratio: 1.5
|
||||
max_drawdown: 0.10
|
||||
win_rate: 0.55
|
||||
profit_factor: 1.3
|
||||
calmar_ratio: 0.5
|
||||
|
||||
# ============================================================================
|
||||
# NOTES
|
||||
# ============================================================================
|
||||
# 1. Tous les paramètres sont ADAPTATIFS par défaut
|
||||
# 2. L'IA ajustera ces valeurs quotidiennement/hebdomadairement
|
||||
# 3. Les contraintes définissent les limites d'optimisation
|
||||
# 4. Tester changements en backtest avant paper trading
|
||||
Reference in New Issue
Block a user