# ============================================================
# Statistical Arbitrage — Configuration
# ============================================================

data:
  universe: "sp100"              # universe tag
  start_date: "2018-01-01"
  end_date: "2024-12-31"
  cache_dir: "data"              # local cache for downloaded prices
  min_history_pct: 0.95          # drop tickers with >5% missing days

pair_selection:
  formation_window: 252          # trading days
  trading_window: 63
  roll_step: 21                  # roll monthly
  coint_pvalue: 0.05             # Engle-Granger threshold
ou_model:
  method: "mle"                  # parameter estimation method

signals:
  entry_z: 2.0                   # z-score entry (will be refined with OU-optimal)
  exit_z: 0.0                    # z-score exit (mean)
  stop_z: 4.0                    # stop-loss z-score

backtest:
  transaction_cost_bps: 5        # round-trip, in basis points
  initial_capital: 1_000_000