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