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@@ -12,6 +12,7 @@ TINVEST_REQUEST_TIMEOUT_SEC=10
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TINVEST_RETRY_COUNT=3
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TINVEST_RETRY_BACKOFF_SEC=2
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TINVEST_USE_SANDBOX=false
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TINVEST_TRADING_CALENDAR_EXCHANGE=MOEX
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DB_DSN=bot:change-me@tcp(db.example.internal:3306)/overnight_bot?parseTime=true&loc=UTC&multiStatements=true
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DB_MAX_OPEN_CONNS=20
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@@ -29,10 +30,14 @@ TELEGRAM_NOTIFY_REPORT=true
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STRATEGY_ROLLING_SHORT=60
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STRATEGY_ROLLING_LONG=252
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STRATEGY_EWMA_LAMBDA=0.08
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STRATEGY_ALLOCATION_METHOD=equal_weight
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STRATEGY_MIN_TSTAT_60=1.25
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STRATEGY_MIN_WIN_RATE_60=0.55
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STRATEGY_MIN_NET_EDGE_BPS=10
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STRATEGY_RISK_BUFFER_BPS=5
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STRATEGY_EXPECTED_ENTRY_SLIPPAGE_BPS=8
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STRATEGY_EXPECTED_EXIT_SLIPPAGE_BPS=8
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STRATEGY_INTERVAL_VOLUME_LOOKBACK_DAYS=20
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STRATEGY_MAX_POSITIONS=5
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EXEC_ENTRY_SIGNAL_TIME=18:10:00
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@@ -44,6 +49,7 @@ EXEC_EXIT_NOT_BEFORE=10:03:00
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EXEC_EXIT_WINDOW_START=10:05:00
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EXEC_EXIT_WINDOW_END=10:25:00
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EXEC_HARD_EXIT_DEADLINE=10:45:00
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EXEC_MARKET_CLOSE=18:50:00
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EXEC_MIN_TIME_TO_CLOSE_SEC=90
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EXEC_ALLOW_MARKET_ORDERS=false
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EXEC_MAX_ENTRY_ORDER_ATTEMPTS=3
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@@ -70,6 +76,9 @@ RISK_COMMISSION_TOLERANCE_RUB=0.01
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RISK_CASH_USAGE_BUFFER=0.95
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RISK_RISK_BUDGET_PER_INSTRUMENT_PCT=0.005
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RISK_MIN_ORDER_NOTIONAL_RUB=1000
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RISK_SIZE_REDUCTION_WINDOW_TRADES=20
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RISK_SIZE_REDUCTION_FACTOR=0.5
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RISK_SIZE_REDUCTION_TRIGGER_BPS=-10
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LIQ_MIN_ADV_RUB=5000000
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LIQ_MAX_PARTICIPATION_RATE=0.01
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