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194 lines (171 loc) · 3.64 KB
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# const.py
import os
from pathlib import Path
from dotenv import load_dotenv
BASE_DIR = Path(__file__).resolve().parent
DATA_DIR = BASE_DIR / "data"
MODEL_DIR = BASE_DIR / "src" / "models"
LOG_DIR = BASE_DIR / "logs"
CONFIG_DIR = BASE_DIR / "config"
load_dotenv(BASE_DIR / ".env")
HF_TOKEN = os.getenv("HF_TOKEN")
TRADING_DAYS_YEAR: int = 252
RISK_FREE_RATE: float = 0.03
TARGET_CLUSTER: int = 3
PROBA_THRESHOLD: float = 0.55 # Seuil de probabilité
PROBA_MIN: float = 0.50 # Position HOLD
# MANAGEMENT COST
TRANSACTION_COST: float = 0.0010
MANAGEMENT_FEE_ANNUAL: float = 0.02
MIN_STOCKS_OPTIM: int = 3
MAX_STOCKS_SELECT: int = 10
WEIGHT_BOUNDS: tuple = (0.03, 0.20)
SHARPE_THRESHOLD: float = 0.30
MAX_DD_THRESHOLD: float = -0.40
BACKTEST_YEARS: int = 2
# FEATURES
FEATURE_COLS: list[str] = [
"rsi_lag1",
"macd_lag1",
"bb_low_lag1",
"bb_mid_lag1",
"bb_high_lag1",
"atr_lag1",
"cluster_lag1",
"return_1m",
"return_2m",
"return_3m",
"return_6m",
"return_9m",
"return_12m",
"mom_12_1",
"mom_6_1",
"realized_vol_3m",
"realized_vol_12m",
"vol_ratio",
"sharpe_3m",
"sharpe_6m",
"sortino_6m",
"return_skew_6m",
"hist_var_5pct",
"cvar_5pct",
"amihud_illiquidity",
"volume_zscore",
"price_zscore_12",
"nearness_52w_high",
"mom_12_1_rank",
"sharpe_6m_rank",
"realized_vol_3m_rank",
"amihud_illiquidity_rank",
"Mkt-RF_lag1",
"SMB_lag1",
"HML_lag1",
"RMW_lag1",
"CMA_lag1",
"euro_volume_lag1",
"garman_klass_vol_lag1",
"month_sin",
"month_cos",
"is_q_end",
]
RSI_WINDOW: int = 20
BB_WINDOW: int = 20
BB_STD: int = 2
ATR_WINDOW: int = 14
MACD_SLOW: int = 26
MACD_FAST: int = 12
MACD_SIGN: int = 9
MIN_HISTORY_TA: int = 20
MIN_HISTORY_FF: int = 24
WINSOR_CUTOFF: float = 0.005
MOMENTUM_LAGS: list[int] = [1, 2, 3, 6, 9, 12]
VARS_TO_LAG: list[str] = [
"Mkt-RF",
"SMB",
"HML",
"RMW",
"CMA",
"euro_volume",
"garman_klass_vol",
]
FAMA_FRENCH_FACTORS: list[str] = ["Mkt-RF", "SMB", "HML", "RMW", "CMA"]
RESAMPLE_MEAN_COLS: list[str] = ["euro_volume"]
RESAMPLE_LAST_EXCLUDE: list[str] = [
"euro_volume",
"volume",
"open",
"high",
"low",
"close",
]
FEATURE_GROUPS = {
"momentum": [
"return_1m",
"return_2m",
"return_3m",
"return_6m",
"return_9m",
"return_12m",
"mom_12_1",
"mom_6_1",
"mom_3_1",
"mom_12_1_rank",
],
"volatility": [
"realized_vol_3m",
"realized_vol_12m",
"vol_ratio",
"realized_vol_3m_rank",
"garman_klass_vol_lag1",
"idio_vol",
],
"risk_adjusted": [
"sharpe_3m",
"sharpe_6m",
"sortino_6m",
"calmar_proxy",
"sharpe_6m_rank",
],
"tail_risk": [
"return_skew_6m",
"return_kurt_6m",
"hist_var_5pct",
"cvar_5pct",
],
"technical": [
"rsi_lag1",
"macd_lag1",
"bb_low_lag1",
"bb_mid_lag1",
"bb_high_lag1",
"atr_lag1",
"cluster_lag1",
"bb_position",
"rsi_divergence",
"macd_sign",
],
"liquidity": [
"amihud_illiquidity",
"volume_trend_3m",
"volume_zscore",
"amihud_illiquidity_rank",
"euro_volume_lag1",
],
"mean_reversion": [
"price_zscore_12",
"nearness_52w_high",
],
"macro": [
"Mkt-RF_lag1",
"SMB_lag1",
"HML_lag1",
"RMW_lag1",
"CMA_lag1",
],
"seasonality": [
"month_sin",
"month_cos",
"is_q_end",
"is_jan",
],
}