strategy_config.ini

[base]
path = ./strategy/
merge_path = ./merge_strategy/
report_path = ./report/
report_plot_path = ./report_plot/
report_plot_portfolio_path = ./report_plot/portfolio/
trading_day_date_path = ./backtesting/trading_day_date.txt
img_path = ./img/
tcri_risk_path = ./TCRI/tcri_risk.json
tcri_report_path = ./report/TCRI/
twa02_path = C:\\Users\\012480\\Documents\\Data\\twstocks\\TWA02.xlsm
file_type = .xlsx
year_days = 250
intraday_start_day = 2022-3-23
transaction_cost = 0.2
risk_free_rate = 0.01

[allocation]
total_asset = 50000000
risk_factor = 0.3
strategy_risk_factor = 0.7
stock_risk_factor = 0.3

[portfolio_threshold]
continue_loss_month = 3
portfolio_intraday_init_asset = 5000000

[intraday_threshold]
backtesting_years = 2.8
risk_reward_ratio = 3
profit_factor = 1.2
MDD = 30
tradingday_count = 250
tradingday_count_per_month = 5

[interday_threshold]
backtesting_years = 2.8
risk_reward_ratio = 3
profit_factor = 2
MDD = 30