| { |
| "model_type": "ppo_temporal", |
| "version": "5.0", |
| "name": "LACUNA", |
| "description": "Cross-market data fusion RL agent for prediction market trading", |
|
|
| "architecture": { |
| "type": "asymmetric_actor_critic", |
| "temporal_encoder": { |
| "history_length": 5, |
| "hidden_size": 128 |
| }, |
| "actor": { |
| "hidden_layers": [256, 128], |
| "activation": "tanh" |
| }, |
| "critic": { |
| "hidden_layers": [256, 128], |
| "activation": "tanh" |
| } |
| }, |
|
|
| "observation_space": { |
| "dimensions": 18, |
| "features": [ |
| {"name": "return_1m", "category": "momentum"}, |
| {"name": "return_5m", "category": "momentum"}, |
| {"name": "return_10m", "category": "momentum"}, |
| {"name": "l1_imbalance", "category": "order_flow"}, |
| {"name": "l5_imbalance", "category": "order_flow"}, |
| {"name": "trade_flow", "category": "order_flow"}, |
| {"name": "cvd_acceleration", "category": "order_flow"}, |
| {"name": "spread_pct", "category": "microstructure"}, |
| {"name": "trade_intensity", "category": "microstructure"}, |
| {"name": "large_trade_flag", "category": "microstructure"}, |
| {"name": "vol_5m", "category": "volatility"}, |
| {"name": "vol_expansion", "category": "volatility"}, |
| {"name": "has_position", "category": "position"}, |
| {"name": "position_side", "category": "position"}, |
| {"name": "position_pnl", "category": "position"}, |
| {"name": "time_remaining", "category": "position"}, |
| {"name": "vol_regime", "category": "regime"}, |
| {"name": "trend_regime", "category": "regime"} |
| ] |
| }, |
|
|
| "action_space": { |
| "type": "discrete", |
| "actions": ["HOLD", "BUY_UP", "BUY_DOWN"] |
| }, |
|
|
| "training": { |
| "algorithm": "PPO", |
| "entropy_coefficient": 0.10, |
| "learning_rate": 0.0003, |
| "gamma": 0.99, |
| "gae_lambda": 0.95, |
| "clip_range": 0.2, |
| "n_epochs": 10, |
| "batch_size": 64, |
| "buffer_size": 2048 |
| }, |
|
|
| "constraints": { |
| "position_size_usd": 500, |
| "max_exposure_usd": 2000, |
| "max_concurrent_positions": 4, |
| "markets": ["BTC", "ETH", "SOL", "XRP"], |
| "market_type": "15-minute crypto prediction" |
| }, |
|
|
| "performance": { |
| "total_pnl_usd": 50195, |
| "return_on_exposure_pct": 2510, |
| "sharpe_ratio": 4.13, |
| "profit_factor": 1.21, |
| "total_trades": 29176, |
| "win_rate_pct": 23.9, |
| "runtime_hours": 10 |
| } |
| } |
|
|
