diff --git a/doc/CHANGELOG.md b/doc/CHANGELOG.md index f5b9ec1..d65c2ca 100644 --- a/doc/CHANGELOG.md +++ b/doc/CHANGELOG.md @@ -9,6 +9,10 @@ All notable changes to this project will be documented in this file. - **Volatility Metric**: Added `calculate_volatility()` using rolling Standard Deviation (5-minute window). - **Adaptive Logic**: Rebalance threshold now scales (1.0x - 3.0x) based on market volatility to reduce fee costs during "chop" (noise) while maintaining precision during trends. - **Safety Cap**: Threshold is capped at 20% of the range width to prevent dangerous unhedged exposure in tight ranges. + - **Log Explanation**: `(Vol: 0.029% x1.0 | Thresh: 7.4%)` + - **Vol:** Standard Deviation of last 300 prices relative to mean. + - **x1.0 (Multiplier):** Scales based on reference volatility (0.05%). Multiplier = `max(1.0, Vol / 0.05%)`. + - **Thresh:** The % of max delta deviation required to trigger a trade. Calculated as `Base (Range Dependent) * Multiplier`. ### Documentation - **Analysis**: Completed optimization analysis in `todo/optymalization rebalance_threshol.md` with technical justification for using StdDev over ATR.