arbitrage-engine/backend/strategies/v53_fast.json

61 lines
1.5 KiB
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{
"name": "v53_fast",
"version": "5.3-fast",
"description": "V5.3 Fast 实验变体: CVD 5m/30m 短窗口 + OBI正向加分 + accel独立触发。对照组: v53(30m/4h)。",
"threshold": 75,
"flip_threshold": 85,
"cvd_window_fast_ms": 300000,
"cvd_window_mid_ms": 1800000,
"weights": {
"direction": 55,
"crowding": 25,
"environment": 15,
"auxiliary": 5
},
"obi_scoring": {
"strong_threshold": 0.30,
"weak_threshold": 0.15,
"strong_score": 5,
"weak_score": 3
},
"accel_independent": {
"enabled": true,
"accel_percentile_threshold": 0.95,
"min_direction_score": 35
},
"tp_sl": {
"sl_multiplier": 2.0,
"tp1_multiplier": 1.5,
"tp2_multiplier": 3.0,
"tp_maker": true
},
"symbols": ["BTCUSDT", "ETHUSDT", "XRPUSDT", "SOLUSDT"],
"symbol_gates": {
"BTCUSDT": {
"min_vol_threshold": 0.002,
"whale_threshold_usd": 100000,
"whale_flow_threshold_pct": 0.5,
"obi_veto_threshold": 0.30,
"spot_perp_divergence_veto": 0.003
},
"ETHUSDT": {
"min_vol_threshold": 0.003,
"whale_threshold_usd": 50000,
"obi_veto_threshold": 0.35,
"spot_perp_divergence_veto": 0.005
},
"SOLUSDT": {
"min_vol_threshold": 0.006,
"whale_threshold_usd": 20000,
"obi_veto_threshold": 0.45,
"spot_perp_divergence_veto": 0.008
},
"XRPUSDT": {
"min_vol_threshold": 0.004,
"whale_threshold_usd": 30000,
"obi_veto_threshold": 0.40,
"spot_perp_divergence_veto": 0.006
}
}
}