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optimizer/optimize_pso_cryptoprices-1h.toml
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# 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