Edit optimizer/optimize_exit_params_xrp_hourly.toml

# Exit Parameter Optimization for CryptoPrices (Hourly Events)
#
# Purpose: Optimize exit/risk-management parameters while keeping entry params
# fixed at current XRP hourly production values.
#
# Rationale: Live session shows 100% directional accuracy but only 41.7% win rate
# and breakeven P&L ($+0.02). Entry signal is working — exits need tuning.
#
# Entry params are FIXED (min == max) to current production values.
# Exit params have optimization ranges centered around current production values.
#
# Note: hold_to_maturity_seconds is not optimizable via the optimizer (set manually
# in the live config). It has been increased from 450s to 900s in production.

replay_dir = "replay_data/hourly_live_recording_20260209_211006"

# Use all hourly slugs to avoid overfitting exit params to XRP alone.
# Exit parameters (trailing stops, stop loss) should generalize across assets.
slugs = ["xrp-up-or-down-hourly"]

strategy_type = "cryptoprices"

# Joint mode: find exit params that work across all hourly assets
independent = false

[parameter_space.strategy]
# === EXIT PARAMS (to optimize) ===

# Stop loss percentage — current production: 0.55
# Wider range since 100% directional accuracy means we should give positions more room
stop_loss_pct = { min = 0.35, max = 0.70 }

# === ENTRY PARAMS (fixed to production values) ===

# min_pricing_edge = 0.13 (production)
min_pricing_edge = { min = 0.13, max = 0.13 }

# uncertain_zone_min = 0.0 (production)
uncertain_zone_min = { min = 0.00, max = 0.00 }

# uncertain_zone_max = 0.70 (production)
uncertain_zone_max = { min = 0.70, max = 0.70 }

# trade_cooldown_ticks = 400 (production)
trade_cooldown_ticks = { min = 400, max = 400 }

# min_time_to_expiry_seconds = 500 (production)
min_time_to_expiry_seconds = { min = 500, max = 500 }

[parameter_space.global]
# === ENTRY PARAMS (fixed to production values) ===

# abs_max_entry_price = 1.00 (production) — CRITICAL: default is 0.65 which blocks all ITM entries
abs_max_entry_price = { min = 1.00, max = 1.00 }

# === EXIT PARAMS (to optimize) ===

# Stop loss timeout — current production: 20s
# How long to wait before forcing stop loss exit after trigger
stop_loss_timeout = { min = 10, max = 60 }

# Stop loss recovery buffer — current production: 0.04
# Price buffer below stop loss that allows recovery
stop_loss_recovery_buffer = { min = 0.02, max = 0.08 }

# Base trailing stop — current production: 0.85
# Lower = more room for price swings before trailing stop triggers
base_trailing_pct = { min = 0.75, max = 0.92 }

# Medium profit trailing stop — current production: 0.92
# Tighter trailing when position reaches medium profit threshold
adaptive_medium_trailing_pct = { min = 0.85, max = 0.96 }

# High profit trailing stop — current production: 0.95
# Tightest trailing when position reaches high profit threshold
adaptive_high_trailing_pct = { min = 0.90, max = 0.98 }

# Medium profit threshold — current production: 0.15 (15% profit)
# When to switch from base to medium trailing stop
adaptive_medium_profit_threshold = { min = 0.05, max = 0.25 }

# High profit threshold — current production: 0.10 (10% profit)
# When to switch from medium to high trailing stop
# Previous run hit the lower bound (0.10) — expanded down to 0.03
adaptive_high_profit_threshold = { min = 0.03, max = 0.30 }

[objective]
# Sharpe ratio for risk-adjusted returns — better than raw profit for exit tuning
function = "sharpe_ratio"

[pso]
swarm_size = 20
max_iterations = 50
inertia_weight = 0.729
cognitive_coefficient = 1.49445
social_coefficient = 1.49445