Strategy Configuration
# Production ensemble name: advanced_composite_system symbols: ["SPY"] timeframe: "5m" strategy: [ # Trend component (35% weight) { weight: 0.35, strategy: [ {sma_crossover: {fast_period: 10, slow_period: 30, weight: 0.6}}, {momentum: {period: 14, weight: 0.4}} ], constraints: "signal > 0.5 AND intraday AND volume > sma(volume, 50) * 0.8" }, # Mean reversion component (35% weight) { weight: 0.35, bollinger_bands: {period: 20, std: 2.0}, constraints: "volatility_percentile(50) < 0.7", risk: {stop_loss: 0.0015} }, # Breakout component (30% weight) { weight: 0.3, breakout_strategy: {lookback: 20, constraints: 0.002}, constraints: "volatility_regime() == 'high'" }, # Overall system requires minimum signal {constraints: signal > 0.5} ]
Signal Correlation
sma_cross momentum bollinger breakout 1.00 0.23 -0.41 0.15 0.23 1.00 -0.18 0.34 -0.41 -0.18 1.00 -0.07 0.15 0.34 -0.07 1.00
Regime Performance
High Vol: +0.85% daily avg Low Vol: +0.23% daily avg Trending: +1.12% daily avg Choppy: -0.15% daily avg Best: Trend + High Vol Worst: Mean Rev + Choppy
Parameter Robustness
SMA Fast (8-12): Stable ±5% SMA Slow (25-35): Stable ±8% BB Period (15-25): Stable ±3% BB Std (1.5-2.5): Sensitive ±15% → Consider wider BB std range
Stop Loss Analysis
No SL: +0.64% avg, -8.2% MDD 0.001 SL: +0.51% avg, -4.1% MDD 0.0015 SL: +0.48% avg, -3.2% MDD 0.002 SL: +0.42% avg, -2.8% MDD → 0.0015 optimal risk/reward