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docs: update changelog with dynamic rebalance threshold implementation

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DiTus
2025-12-20 11:56:39 +01:00
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doc/CHANGELOG.md
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All notable changes to this project will be documented in this file. 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] ## [2025-12-19]
### Added ### Added