options-data-backtester/optimization_params.example.json at main · KushalAzza/options-data-backtester · GitHub

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
{
  "optimization_settings": {
    "n_trials": 200,
    "n_jobs": 7,
    "study_name": "nifty_options_optimization",
    "sampler_seed": 42
  },
  "parameter_ranges": {
    "entry_time": {
      "entry_hour": {
        "min": 9,
        "max": 12
      },
      "entry_minute": {
        "values": [0, 5, 10, 15, 20, 25, 30, 35, 40, 45, 50, 55],
        "excluded_for_hour_9": [0, 5, 10, 15]
      }
    },
    "stop_loss_percentage": {
      "min": 0,
      "max": 50,
      "step": 2
    },
    "target_percentage": {
      "min": 0,
      "max": 100,
      "step": 2
    },
    "vix_threshold": {
      "min": 12,
      "max": 26,
      "step": 2
    },
    "use_next_expiry": {
      "values": [true, false]
    },
    "reentry": {
      "enabled": {
        "values": [true, false]
      },
      "max_reentries": {
        "min": 1,
        "max": 5,
        "step": 1
      },
      "stop_loss_cooldown_minutes": {
        "min": 0,
        "max": 120,
        "step": 5
      }
    },
    "ema_signals": {
      "fast_ema": {
        "min": 2,
        "max": 24,
        "step": 2
      },
      "slow_ema": {
        "min": 12,
        "max": 60,
        "step": 2
      },
      "round_to_ema_interval": {
        "values": [true, false]
      },
      "time_interval": 5
    }
  }
}