Gahow Wang
e2b06f1b1c
rebalance treated only today's S&P 500 members as the strategy's, so a held name that left the index (or was renamed on Wikipedia) was never sold and its value shrank the investable amount, unlike quant-trading's engine, which sells non-members at the next rebalance. Now every USD stock/ETF position is managed except execution.unmanaged (AAOI); a holding without bars is priced from the account for its exit. On the paper account the managed set is unchanged (the 10 current members). Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
35 lines
1.8 KiB
TOML
35 lines
1.8 KiB
TOML
[ib]
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host = "127.0.0.1"
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port = 4002 # IB Gateway: paper 4002 / live 4001; TWS: paper 7497 / live 7496
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client_id = 17
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health_client_id = 18 # `ibkr-quant gateway` probe; differs so it never collides with a running job
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account = "" # empty = the single account managed by this login
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market_data_type = 3 # 1 = live (needs subscription), 3 = delayed (free, for testing)
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allow_live = false # refuse to connect to non-paper accounts unless true
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[data]
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universe = "data/universe.csv"
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bars = "data/bars/daily.csv"
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bars_duration = "2 Y" # the strategy needs > 252 sessions
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# overnight_recovery_top10, ported from quant-trading strategies/robust_momentum.py:
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# overnight-return momentum (12m, skip 1m) + distance from the 126-day low, signal on
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# sessions through yesterday's close, equal-weight top_n filled at today's close.
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[strategy]
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top_n = 10
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rebalance_every = 10 # sessions; nothing trades in between and weights drift
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buffer = 2.0 # keep a held name while ranked within top_n * (1 + buffer)
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anchor = 2026-09-29 # first rebalance session; then every rebalance_every sessions
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[execution]
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order_type = "MOC" # MOC (submit 09:30-15:45 ET) | LMT
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limit_offset_bps = 20 # LMT only: price = snapshot * (1 ± offset)
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cash_buffer = 0.02 # fraction of NAV kept in cash
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resize_band = 0.10 # leave a held name alone while within 10% of its target value
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min_trade_value = 50.0 # skip trades below max(min_trade_value, min_trade_fraction * NAV);
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min_trade_fraction = 0.001 # full exits always trade
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# IBKR symbols rebalance never trades; their value is set aside before sizing. Every
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# other USD stock/ETF position is the strategy's and is sold once it is not selected,
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# including a name that has left the index.
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unmanaged = ["AAOI"]
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