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docs: add explanation of dynamic threshold log values to changelog

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DiTus
2025-12-20 12:29:35 +01:00
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doc/CHANGELOG.md
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@ -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). - **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. - **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. - **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 ### Documentation
- **Analysis**: Completed optimization analysis in `todo/optymalization rebalance_threshol.md` with technical justification for using StdDev over ATR. - **Analysis**: Completed optimization analysis in `todo/optymalization rebalance_threshol.md` with technical justification for using StdDev over ATR.