From 98bda8d71a53228551eb86bb42dd83231ea877e0 Mon Sep 17 00:00:00 2001 From: DiTus Date: Sat, 20 Dec 2025 11:56:39 +0100 Subject: [PATCH] docs: update changelog with dynamic rebalance threshold implementation --- doc/CHANGELOG.md | 11 +++++++++++ 1 file changed, 11 insertions(+) diff --git a/doc/CHANGELOG.md b/doc/CHANGELOG.md index 8f035a4..f5b9ec1 100644 --- a/doc/CHANGELOG.md +++ b/doc/CHANGELOG.md @@ -2,6 +2,17 @@ All notable changes to this project will be documented in this file. +## [2025-12-20] + +### Added +- **Dynamic Rebalance Threshold**: Implemented volatility-based threshold adjustment in `clp_hedger.py`. + - **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. + +### Documentation +- **Analysis**: Completed optimization analysis in `todo/optymalization rebalance_threshol.md` with technical justification for using StdDev over ATR. + ## [2025-12-19] ### Added