# 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