Edit optimizer/optimize_pso_cryptoprices-1h.toml

# PSO Optimization config for CryptoPrices Trading Strategy (1H events)
# This config defines parameter search spaces for optimizing the option-pricing based strategy
# Uses Black-Scholes (default) or Binomial pricing to detect mispriced binary options on crypto Up/Down markets

replay_dir = "replay_data/cryptoprices_all_slugs_20260213_210722"
slugs = [
        "solana-up-or-down-hourly",
        "eth-up-or-down-hourly",
        "xrp-up-or-down-hourly",
        "btc-up-or-down-hourly"
]

# Strategy type: cryptoprices
strategy_type = "cryptoprices"

# Maximum loops per optimization run (optional).
# If not specified, runs until all replay ticks are consumed.
# Example: max_loops = 50000
pricing_model = "blackscholes"

[parameter_space.strategy]
# Core CryptoPrices strategy parameters

# Pricing edge: how much the market must be underpriced vs theoretical
# UPDATED: Higher minimum for 1h events due to 78% SL rate - need more edge
# 0.12 = 12% edge required, 0.30 = 30% edge required
min_pricing_edge = { min = 0.12, max = 0.30 }

# Uncertain price zone: skip trades when market price falls in this range
# LOCKED: Standard range works for filtering low-quality setups
uncertain_zone_min = { min = 0.35, max = 0.35 }
uncertain_zone_max = { min = 0.65, max = 0.65 }

# Stop loss percentage (e.g., 0.30 = cut losses at 70% of position value)
# OPTIMIZED: 1h events need tighter stops - testing 25-40% range
stop_loss_pct = { min = 0.25, max = 0.40 }

# Trade cooldown (seconds to wait after exit before re-entering)
# LOCKED: 3 minute cooldown for hourly events
trade_cooldown_ticks = { min = 180, max = 180 }

# Minimum time to expiry required to enter trade (seconds)
# LOCKED: 8 minutes minimum for hourly events to avoid rushed trades
min_time_to_expiry_seconds = { min = 480, max = 480 }

[parameter_space.global]
# LOCKED: Signal detection parameters for hourly timeframes
stop_loss_timeout = { min = 20, max = 20 }
stop_loss_recovery_buffer = { min = 0.04, max = 0.04 }

# OPTIMIZED: Momentum threshold - critical for 1h entry quality
# Higher threshold (0.45-0.70) = much more selective on 1h trades

# LOCKED: Dynamic pricing parameters - fix to proven values

# LOCKED: Spread analysis

# LOCKED: Position sizing

# OPTIMIZED: Adaptive trailing stop for 1h events
# Need wider profit thresholds for longer timeframes
adaptive_high_profit_threshold = { min = 0.25, max = 0.40 }
adaptive_medium_profit_threshold = { min = 0.15, max = 0.25 }
adaptive_high_trailing_pct = { min = 0.75, max = 0.85 }
adaptive_medium_trailing_pct = { min = 0.75, max = 0.85 }
base_trailing_pct = { min = 0.70, max = 0.85 }

[objective]
# UPDATED: Using sharpe_ratio for risk-adjusted returns
# Prevents overtrading and focuses on consistent, quality trades
# Available: total_profit, sharpe_ratio, profit_per_trade, win_rate, avg_profit_per_trade
function = "sharpe_ratio"

[pso]
# PSO algorithm parameters
swarm_size = 20
max_iterations = 50
inertia_weight = 0.729
cognitive_coefficient = 1.49445
social_coefficient = 1.49445