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config.yml
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# Configuration File
# VIXM Algoritmic Trading Signal
# Key parameters of the model
seed: 19
start_date: 2011-01-05
end_date: 2025-01-05
# Min return to set up a positive signal
threshold: 0.00
# Min correlation with the VIXM to keep the series
key_column: VIXM
min_corr: 0.05
# Split of data
training_period_months: 120
# Adaboost parameters
adaboost_estimators: 6
max_depth: 2
learning_rate_adaboost: 1.7
# Inclusion of the first ppal components lagged
number_of_pca_lag_component_to_include: 5
num_pca_components: 40
# Definition of demo mode or development mode
demo_mode: False
tuning_mode: True
run_multiple_tuning_iterations: False
# Ticker List: VIXM must be in first position
ticker_list:
- VIXM
- ^VIX
- SPY
- GBPUSD=X
- BRLUSD=X
- DX-Y.NYB
- USDJPY=X
- ^TNX
- ZF=F
- NQ=F
- NKD=F
- LQD
- AAPL
- AMZN
- MU
- MSFT
- BMY
- PLD
- FXI
- FEZ
- ^FTSE
- ^FCHI
- ^GSPC
- GLD
- SLV
- ES=F
- QM=F
- BIO=F
- AGG
garch_not_to_include:
- BIO=F
windows_for_volatility_lags: # in days
- 10
- 20
- 30
- 60
- 90
- 120
- 180
- 200
- 260
#Some of the less familiar tickers are listed below, together with others that can be good to try again in the future
#Bristol-Myers Squibb Company (BMY)
#E-Mini Nasdaq (BIO=F)
#Euro spot (EURUSD)
#E-Mini S&P500 (ES=F)
#CAC 40 (^FCHI)
#FTSE 100 (^FTSE)
#SPDR EURO STOXX 50 ETF (FEZ)
#FEDEX CORP (FDX)
#The Goldman Sachs Group, Inc.(GS)
#DAX PERFORMANCE-INDEX (^GDAXI)
#S&P500 Index (^GSPC)
#HANG SENG INDEX (^HSI)
#13 Week Treasury Bill (^IRX)
#iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD)
#Micron Technology, Inc. (MU)
#Microsoft Corporation (MSFT)
#Nikkei/USD Futures,Dec-2021 (NKD=F)
#Nasdaq 100 Dec 21 (NQ=F)
#NVIDIA Corporation (NVDA)
#E-Mini oil (QM=F)
#Prologis, Inc. (PLD)
#Treasury Yield 10 Years (^TNX) -- 1985
#Yen Denominated TOPIX Futures,D (TPY=F)
#American Funds U.S. Government Securities Fund Class C (UGSCX) - 2001
#Energy Select Sector SPDR Fund (XLE)
#Financial Select Sector SPDR Fund (XLF)
#U.S. Treasury Bond Futures,Dec- (ZB=F) - 2000
#Five-Year US Treasury Note Futu (ZF=F) - 2000