tune: daily weekday rebalancer eval (35 14 * * 1-5, REBALANCE_DAYS=1)

Switch from weekly to daily (weekday) evaluation for faster risk response — the leverage (vol-target
+ drawdown CB + corr de-risk) re-evaluates each day so a vol spike de-levers within a day vs a week.
Hysteresis (3% NLV) still gates actual trades, so turnover stays low (in-band days = no-ops). No
return impact; tighter risk only. Weekends excluded (US market closed).

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This commit is contained in:
jgrusewski
2026-06-08 00:51:20 +02:00
parent 7662d82232
commit 1cdbc81390

View File

@@ -62,7 +62,7 @@ metadata:
app: multistrat-rebalancer
app.kubernetes.io/part-of: foxhunt
spec:
schedule: "35 14 * * 1" # Monday 14:35 UTC (~1h after US equity open 13:30 UTC)
schedule: "35 14 * * 1-5" # weekdays 14:35 UTC (~1h after US open) — daily risk re-eval; hysteresis prevents churn
concurrencyPolicy: Forbid
startingDeadlineSeconds: 3600
successfulJobsHistoryLimit: 5
@@ -96,7 +96,7 @@ spec:
- {name: IB_CLIENT_ID, value: "11"}
- {name: MULTISTRAT_MAXLEV, value: "1.0"}
- {name: MULTISTRAT_HYST, value: "0.03"}
- {name: MULTISTRAT_REBALANCE_DAYS, value: "7"}
- {name: MULTISTRAT_REBALANCE_DAYS, value: "1"} # daily eval (weekday cron); hysteresis (3%) gates actual trades
- {name: MULTISTRAT_DD_HALT, value: "0.20"}
- {name: MULTISTRAT_MAX_ORDER, value: "0.30"}
- {name: MULTISTRAT_EXECUTE, value: "true"} # ARMED: places paper orders (account DU* paper-guarded; live needs MULTISTRAT_ALLOW_LIVE_CONFIRMED)