87 lines
2.4 KiB
JSON
87 lines
2.4 KiB
JSON
{
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"portfolio_constraints": {
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"min_cash_reserve_ratio": 0.2,
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"max_cash_reserve_ratio": 0.3,
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"min_cash_reserve_amount": 1000000,
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"max_holdings_count": 20,
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"max_position_size_ratio": 0.04,
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"min_position_size_ratio": 0.02,
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"max_sector_concentration": 0.4,
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"leverage_etf_max_ratio": 0.20,
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"mean_reversion_max_capital": 0.30,
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"rebalance_threshold": 0.1
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},
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"risk_management": {
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"max_daily_loss": 0.03,
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"max_daily_trades": 10,
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"max_loss_per_trade": 0.08,
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"stop_loss_low_vol": -6.0,
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"stop_loss_high_vol": -10.0,
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"atr_stop_multiplier": 2.5,
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"atr_trailing_multiplier": 1.5,
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"trailing_stop_loss": 0.02,
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"daily_profit_target": 0.05,
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"mdd_pause_threshold": -10,
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"mdd_force_threshold": -20,
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"consecutive_loss_ban_count": 3,
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"consecutive_loss_ban_days": 30,
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"overheat_filter": {
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"enabled": true,
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"max_gain_3day": 15.0,
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"max_gain_5day": 20.0,
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"max_gain_10day": 30.0,
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"max_disparity_20ma": 108.0
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},
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"bear_market_filter": {
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"enabled": true,
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"description": "코스피 200일 MA 기반 하락장 방어 전략 (섹션 7.1)",
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"conditions": {
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"bull": "코스피 > MA200 AND MA200 기울기 양(+)",
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"bear": "위 조건 미충족"
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},
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"bearish_actions": {
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"min_score": 5,
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"max_trades_per_day": 3,
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"position_multiplier": 0.5
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},
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"strong_bearish_actions": {
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"min_score": 8,
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"max_trades_per_day": 1,
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"position_multiplier": 0.1
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}
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}
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},
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"rules": [
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{
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"name": "RSI+볼린저 평균회귀",
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"description": "RSI 과매도 + 볼린저 하단 평균회귀 전략 (CLAUDE.md 섹션 7)",
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"rule_type": "MEAN_REVERSION",
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"is_active": true,
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"priority": 1,
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"conditions": {
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"rsi_bull_max": 25,
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"rsi_bear_max": 35,
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"bb_proximity_pct": 1.0,
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"min_price_krw": 5000,
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"min_price_usd": 4.0,
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"min_volume_vs_avg": 1.0
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},
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"actions": {
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"action_type": "buy",
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"position_sizing": {
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"method": "fixed_ratio",
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"target_ratio": 0.04
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},
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"stop_loss_atr_mult": 2.5,
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"stop_loss_max_pct": -8.0,
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"take_profit": 5.0,
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"stop_loss": 6.0,
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"exit_1_rsi": 50,
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"exit_1_pct": 0.50,
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"exit_2_rsi_min": 60,
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"exit_2_rsi_max": 70
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}
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}
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]
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}
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