options-implied-crypto-signals/config.yaml at main · TanvirCCC/options-implied-crypto-signals · GitHub

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
assets:
  signal_targets:    # Have Deribit options markets
    - BTC
    - ETH
  cross_asset:       # Test whether BTC/ETH IV predicts moves in broader universe
    - SOL
    - XRP
    - ADA
    - AVAX
    - LINK
    - DOT
    - DOGE
    - ATOM
    - ARB
    - NEAR
    - AAVE
    - UNI
    - LTC

binance:
  pairs:
    - BTCUSDT
    - ETHUSDT
    - SOLUSDT
    - XRPUSDT
    - ADAUSDT
    - AVAXUSDT
    - LINKUSDT
    - DOTUSDT
    - DOGEUSDT
    - ATOMUSDT
    - ARBUSDT
    - NEARUSDT
    - AAVEUSDT
    - UNIUSDT
    - LTCUSDT
  resolution: "1h"   # 1-hour bars (aligned with Deribit DVOL)
  start_date: "2022-01-01"
  end_date: "2026-06-01"

deribit:
  currencies:
    - BTC
    - ETH
  resolution: 3600   # seconds (1 hour)
  start_date: "2022-01-01"
  end_date: "2026-06-01"

signals:
  rolling_window: 30    # hours for z-score baseline
  cooldown_bars: 24     # 24-hour cooldown between signals
  d1:                   # DVOL z-score spike
    z_score_threshold: 2.0
    min_abs_change: 0.02   # 2% absolute change in log(DVOL)
  d2:                   # DVOL absolute jump
    min_abs_change: 0.05   # 5% absolute log change
  d3:                   # IV risk premium spike (DVOL - realized vol)
    z_score_threshold: 2.0
  d4:                   # D1 + high DVOL range (intrabar panic)
    z_score_threshold: 2.0
    min_abs_change: 0.02
    range_multiplier: 1.5  # z-score threshold for intrabar DVOL range (distinct subset of D1)

backtest:
  holding_periods: [1, 2, 4, 8, 24]   # hours
  position_size: 0.01
  commission: 0.00075
  slippage: 0.00025
  stop_loss_sigma: 1.5
  train_ratio: 0.60
  val_ratio: 0.20
  test_ratio: 0.20
  walk_forward:
    train_months: 12
    test_months: 3
    gap_days: 7
    n_windows: 5

lead_lag:
  max_lag_hours: 48     # Test lags -48h to +48h
  granger_max_lags: 48
  significance_level: 0.05
  bonferroni_correct: true

event_study:
  pre_window: 48        # hours before IV spike
  post_window: 72       # hours after IV spike
  car_threshold: 0.003  # 0.3% minimum CAR to proceed