momentum devandClaude Opus 4.8
92985938e1
Sweep over 172 real gapper sessions (16 days) with a per-setup breakdown found the opening-range breakout is the ONLY profitable setup (+0.25R); every slow pattern loses (bull_flag -$78k @ ~42min is the worst). Running ORB-ONLY flips the book from -$95k to +$7.4k AND enters ~11 min earlier (23 vs 34 min avg). - classify_setup prefers the ORB when valid and honors STRATEGY_SETUPS env (comma-sep setup values) to restrict active setups; .env defaults to STRATEGY_SETUPS=opening_range_break (ORB-only). - BacktestEngine Trade.setup_type captured for per-setup attribution. - learn_params load_sessions filters to gapper sessions (mimics live scanner) so the backtest trades the same universe the system would. 75/75 tests green. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
93 lines
3.8 KiB
Bash
93 lines
3.8 KiB
Bash
# ============================================================
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# Momentum — environment configuration (copy to .env and fill)
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# ============================================================
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# ---- Database (PostgreSQL) — the single datastore (event store + bar warehouse)
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# Either a full URL:
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DATABASE_URL=postgresql://USER:PASSWORD@HOST:5432/momentum
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# ...or individual vars (used only if DATABASE_URL is unset):
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# PGHOST=127.0.0.1
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# PGPORT=5432
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# PGUSER=admin
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# PGPASSWORD=
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# PGDATABASE=momentum
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# ---- Alpaca (market data + paper broker) — REQUIRED for live paper trading
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ALPACA_API_KEY=
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ALPACA_SECRET_KEY=
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# Alpaca paper trading endpoint (default is fine)
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APCA_API_BASE_URL=https://paper-api.alpaca.markets
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# These two aliases are also read by the paper client:
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APCA_API_KEY_ID=
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APCA_API_SECRET_KEY=
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# ---- Schwab (live broker, Milestone 3) — OPTIONAL for paper trading
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SCHWAB_MARKET_DATA_APP_KEY=
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SCHWAB_MARKET_DATA_APP_SECRET=
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SCHWAB_BROKER_APP_KEY=
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SCHWAB_BROKER_APP_SECRET=
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SCHWAB_REDIRECT_URI=
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SCHWAB_TOKEN_PATH=data/schwab_tokens.json
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# ---- Optional research / news providers
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POLYGON_API_KEY=
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FINNHUB_API_KEY=
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Alpha_Vantage_Api_Key=
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# News-catalyst discovery (optional): RSS feeds as name=url, comma-separated.
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# When set, tickers mentioned in recent news ($TICKER or (NASDAQ:TICKER)) are
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# added to the watchlist. Unset = disabled (no effect on the loop).
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# NEWS_FEEDS=prnewswire=https://www.prnewswire.com/rss/news-releases-list.rss,businesswire=https://feed.businesswire.com/rss/home/?rss=G1QFDERJXkJeGVtRWQ==
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# ============================================================
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# Live paper-trading orchestrator (run_live_paper.py)
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# ============================================================
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# Execution destination: alpaca_paper (safe) or schwab_live (REAL MONEY)
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TRADING_EXECUTION_MODE=alpaca_paper
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TRADING_EXECUTION_ENABLED=1
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TRADING_EXECUTION_INTERVAL_SECONDS=30
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TRADING_AUTO_APPROVE=0 # 0 = manual approval in the dashboard, 1 = auto-arm (no approval)
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TRADING_MAX_ORDERS_PER_TICK=1
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TRADING_MAX_CONCURRENT_POSITIONS=3
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TRADING_RISK_PER_TRADE_PCT=0.01 # fraction of equity risked per trade
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# --- entry mechanism (Ross-Cameron-style auto-arm; all tunable) ---
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TRADING_REWARD_MULTIPLE=2.0 # target = entry + this * (entry - stop); 2R default
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TRADING_ENTRY_ORDER_TYPE=limit # limit = rest at trigger (cancellable); market = fill now
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TRADING_ENTRY_TIMEOUT_BARS=2 # cancel an unfilled entry after N minutes resting (0 = off)
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TRADING_ENTRY_INVALIDATE_PCT=0.0 # cancel if price breaks this far below entry (0 = any break; <0 = off)
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TRADING_ENTRY_GUARD_INTERVAL_SECONDS=5 # how often to re-check armed entries vs the LIVE last-trade price
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TRADING_MAX_DAILY_LOSS_PCT=0.03 # daily-loss circuit breaker
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# Intraday watcher (signal engine)
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WATCHER_ENABLED=1
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WATCHER_INTERVAL_SECONDS=60
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# WATCHER_EVENT_DB_PATH is legacy and ignored — the datastore is PostgreSQL (see DATABASE_URL above)
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WATCHER_MAX_SYMBOLS=25
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WATCHER_MIN_BARS=30
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WATCHER_MIN_QUALITY=0.30
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# Comma-separated symbols to follow all day. If empty, candidates are
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# discovered from whatever has minute bars in market.duckdb for today.
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WATCHER_SYMBOLS=AAPL,TSLA,NVDA,AMD,SOFI
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# Price band for auto-discovered candidates (Ross Cameron default 1-20).
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WATCHER_PRICE_MIN=1
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WATCHER_PRICE_MAX=20
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# Active strategy setups (comma-separated). The backtest sweep found the
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# opening-range breakout is the only profitable one; empty = all setups.
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STRATEGY_SETUPS=opening_range_break
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# Live minute-bar ingestion (feeds the watcher with active market data)
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LIVE_BARS_ENABLED=1
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LIVE_BARS_INTERVAL_SECONDS=60
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LIVE_BARS_LOOKBACK_MINUTES=120
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# Broker state sync
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ALPACA_PAPER_SYNC_ENABLED=1
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ALPACA_PAPER_SYNC_INTERVAL_SECONDS=60
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ACCOUNT_SYNC_ENABLED=0 # Schwab live account sync
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ORDER_SYNC_ENABLED=0 # Schwab live order sync
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# Dashboard
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DASHBOARD_HOST=0.0.0.0
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DASHBOARD_PORT=8010
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