AgentQuant/config.yaml at main · OnePunchMonk/AgentQuant · GitHub

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# General project configuration
project_name: "AgentQuant"
log_level: "INFO"

# Data sources and storage
data_path: "data_store"
universe:
  - "SPY"
  - "QQQ"
  - "IWM"
  - "TLT"
  - "GLD"
reference_asset: "SPY"
vix_ticker: "^VIX"

data:
  yfinance_period: "5y"
  fred_series:
    DGS10: "10-Year Treasury Constant Maturity Rate"
    T10Y2Y: "10-Year Treasury Constant Maturity Minus 2-Year Treasury Constant Maturity"

cache:
  ttl_hours: 24
  enabled: true

# LLM configuration
llm:
  provider: "gemini"          # gemini | openai | ollama
  model: "gemini-2.5-flash"
  temperature: 0.2
  max_retries: 2

# Agent configuration
agent:
  max_iterations: 3           # max reflect-retry loops
  min_acceptable_sharpe: 0.3  # below this, agent retries
  run_interval: "daily"
  mode: "suggest_only"
  risk:
    max_drawdown: 0.20
    max_position_size: 0.50

# Backtest assumptions
backtest:
  initial_cash: 100000
  slippage: 0.0005
  commission: 0.0001
  market_impact_bps: 5.0      # square-root market impact basis points
  min_warmup_periods: 252

# Strategy definitions with parameter grids
strategies:
  - name: "momentum"
    default_params:
      fast_window: 21
      slow_window: 63
    grid:
      - { fast_window: 5, slow_window: 20 }
      - { fast_window: 10, slow_window: 30 }
      - { fast_window: 10, slow_window: 50 }
      - { fast_window: 15, slow_window: 80 }
      - { fast_window: 17, slow_window: 91 }
      - { fast_window: 20, slow_window: 60 }
      - { fast_window: 20, slow_window: 100 }
      - { fast_window: 50, slow_window: 150 }
      - { fast_window: 50, slow_window: 200 }
      - { fast_window: 63, slow_window: 252 }

  - name: "mean_reversion"
    default_params:
      window: 20
      num_std: 2.0
    grid:
      - { window: 10, num_std: 1.5 }
      - { window: 15, num_std: 2.0 }
      - { window: 20, num_std: 2.0 }
      - { window: 20, num_std: 2.5 }
      - { window: 30, num_std: 3.0 }

  - name: "volatility"
    default_params:
      window: 21
      vol_threshold: 0.2

  - name: "trend_following"
    default_params:
      short_window: 10
      medium_window: 50
      long_window: 100

  - name: "breakout"
    default_params:
      window: 20
      threshold_pct: 0.02

# Results storage
results_db_path: "experiments/results.db"