# ORB v62 Sweep — Stop distance fix for compound_returns=True
#
# Problem: v61 uses atr_stop_multiplier=0.01 → stop≈$0.02 per trade
# 5bps slippage on $50 stock = $0.025/side → slippage > stop → unrealistic
# With compound_returns=True over 1,000 days: 1.027^1000 ≈ 3.8 trillion%
#
# Fix: Find realistic atr_stop_multiplier where stop >> slippage
# Benchmark: 5bps × 2 sides × $50 = $0.05 total slippage
# Typical ATR for mid-large cap: ~$1.50–$2.50
#   multiplier=0.05 → stop≈$0.09   (1.8× above total slippage — marginal)
#   multiplier=0.10 → stop≈$0.18   (3.6× buffer)
#   multiplier=0.20 → stop≈$0.36   (7× buffer)
#   multiplier=0.30 → stop≈$0.54   (10× buffer) ← practical minimum
#   multiplier=0.50 → stop≈$0.90   (18× buffer)
#
# compound_returns=True is fixed across all 5 combinations.
# 5 × 1 = 5 combinations
#
# Run: python -m apps.intraday_bt.run --config configs/intraday/strategies/orb_v61_trail01.yaml \
#               --sweep configs/intraday/sweep_orb_v62_stop.yaml --start 2022-01-01

base_config: configs/intraday/strategies/orb_v61_trail01.yaml

sweep:
  # Realistic stop distances: stop must exceed 2-way slippage ($0.05)
  atr_stop_multiplier: [0.05, 0.10, 0.20, 0.30, 0.50]

  # Force compound returns (this is what caused the 3.8T% result with v61's 0.01)
  compound_returns: [true]
