Fix ORB intraday data pipeline and consolidate strategy configs
- screener: switch from non-existent single-ticker endpoint to multi-ticker
/alpaca/intraday batch calls (grouped by date, chunk ≤ 75); fixes 0-trades
- cache: bump version 2→3 to invalidate stale IEX Parquet files
- oracle_client: add get_multi_intraday_bars_today() for IEX real-time feed
- paper_trader: use /alpaca/intraday/today for live sessions, /alpaca/intraday
for historical (SIP)
- intraday.py: define _BUILTIN_STRATEGIES={} to fix /api/orb/strategies import
- delete orb_p1–p10_winner + variant configs; add strategies/orb_default.yaml
(Phase 10 params) as the single registered web strategy
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
main
I Luk Kim
4 months ago
parent
564bcba27c
commit
86419beeb0
@ -1,75 +0,0 @@
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# ORB Strategy — 5-min bars, Aggressive sizing
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# Same signals as orb_5min but 8x position sizing (2% risk, 60% cap)
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strategy_mode: orb
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orb_strategy:
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# ORB window
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orb_minutes: 5
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sim_bar_minutes: 5 # 5-min bars (raw, no aggregation)
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# Entry
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entry_direction: long_only
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order_timeout_minutes: 45
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# Universe quality filters
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min_price: 10.0
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min_avg_dollar_volume: 25000000
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min_atr_14: 0.50
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# RVOL-based candidate selection
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min_rvol: 1.0
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max_candidates: 20
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min_candidates_to_trade: 3
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# Composite ranking weights
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weight_rvol: 0.60
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weight_gap: 0.25
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weight_dollar_vol: 0.15
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# ATR-based stop management
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atr_stop_multiplier: 0.50
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breakeven_at_r: 1.0
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trailing_at_r: 2.0
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# AGGRESSIVE position sizing — 8x conservative
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risk_per_trade_pct: 0.02
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max_position_pct: 0.60
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daily_max_loss_pct: 0.06
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max_stops_per_day: 5
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# Exit
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exit_minutes_before_close: 5
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# Execution
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slippage_bps: 5.0
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initial_capital: 10000
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ticker_cooldown_days: 0
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# Cash account GFV constraint
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settlement_days: 1
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# Max opening gap filter
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max_gap_pct: 0.03
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# Market regime — ETF gap filter disabled
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market_regime_spy_threshold: null
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min_candidate_breadth: null
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universe:
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source: midlarge
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min_price: 10.0
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backtest:
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start_date: null
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end_date: null
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lookback_trading_days: 200
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pre_screen_threshold: 0.01
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cache:
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enabled: true
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dir: data/cache/intraday
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output:
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dir: runs/intraday_orb
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verbose: false
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@ -1,78 +0,0 @@
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# ORB Strategy — Aggressive Configuration (high-return target)
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# Same signals as orb_default (max_candidates=20, min_rvol=1.0)
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# Only changes: 8x position sizing (2% risk, 60% cap) and tighter SPY filter
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strategy_mode: orb
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orb_strategy:
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# ORB window
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orb_minutes: 5
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sim_bar_minutes: 30 # 30-min bars for breakout/stop management (ORB candle stays 5-min)
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# Entry — identical to default
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entry_direction: long_only
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order_timeout_minutes: 45
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# Universe quality filters — identical to default
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min_price: 10.0
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min_avg_dollar_volume: 25000000
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min_atr_14: 0.50
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# RVOL-based candidate selection — identical to default (keep the 51% WR edge)
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min_rvol: 1.0
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max_candidates: 20
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min_candidates_to_trade: 3
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# Composite ranking weights — identical to default
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weight_rvol: 0.60
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weight_gap: 0.25
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weight_dollar_vol: 0.15
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# ATR-based stop management — identical to default
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atr_stop_multiplier: 0.50
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breakeven_at_r: 1.0
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trailing_at_r: 2.0
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# AGGRESSIVE position sizing — 8x default
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risk_per_trade_pct: 0.02 # 2% risk per trade (vs 0.25% default)
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max_position_pct: 0.60 # 60% max per position (vs 20% default)
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daily_max_loss_pct: 0.06 # 6% daily loss limit (vs 1.25% default)
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max_stops_per_day: 5 # 5 stops (vs 3 default)
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# Exit — identical to default
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exit_minutes_before_close: 5
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# Execution
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slippage_bps: 5.0
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initial_capital: 10000
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ticker_cooldown_days: 0
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# Cash account GFV constraint (same as orb_default)
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settlement_days: 1
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# Max opening gap filter (same as orb_default)
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max_gap_pct: 0.03
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# Market regime — ETF gap filter disabled (breadth filter below is superior)
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market_regime_spy_threshold: null
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# Candidate breadth: disabled (per-trade risk controls sufficient, no filter = higher return)
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min_candidate_breadth: null
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universe:
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source: midlarge
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min_price: 10.0
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backtest:
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start_date: null
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end_date: null
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lookback_trading_days: 200
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pre_screen_threshold: 0.01
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cache:
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enabled: true
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dir: data/cache/intraday
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output:
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dir: runs/intraday_orb
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verbose: false
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@ -1,85 +0,0 @@
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# ORB Phase 2 Winner — Stop Management
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#
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# Phase 2 sweep (60 combos, IS 2022-2024 / OOS 2025-present):
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# Best OOS Sharpe: 1.56 (breakeven=1.0, trailing_at=2.0, trailing_atr=0.3)
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# OOS return: +27.1%, OOS max DD: -8.8%, OOS trades: 3533, OOS WR: 50.6%
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#
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# Note: Phase 2 showed minimal differentiation (~0.01 Sharpe spread across 60 combos,
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# identical trade counts). Entry selection dominates exit management — Phase 3 focus.
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#
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# Parameters fixed here vs orb_p1_winner.yaml:
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# breakeven_at_r: 1.0 (confirmed — 0.5 cuts winners too early)
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# trailing_at_r: 2.0 (unchanged — all top 10 converged here)
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# trailing_stop_atr_multiplier: 0.3 (slightly better than swing-low mode)
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strategy_mode: orb
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orb_strategy:
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# ORB window
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orb_minutes: 5
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sim_bar_minutes: 5 # Phase 1 winner
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# Entry
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entry_direction: long_only # Phase 1 winner
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order_timeout_minutes: 45 # Phase 3 will sweep this
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# Universe quality filters
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min_price: 10.0
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min_avg_dollar_volume: 25000000
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min_atr_14: 0.50
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# RVOL-based candidate selection
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min_rvol: 1.0 # Phase 3 will sweep this
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max_candidates: 20 # Phase 3 will sweep this
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min_candidates_to_trade: 3
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# Composite ranking weights
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weight_rvol: 0.60
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weight_gap: 0.25
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weight_dollar_vol: 0.15
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# ATR-based stop management (Phase 1+2 winner values)
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atr_stop_multiplier: 1.00 # Phase 1 winner
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breakeven_at_r: 1.0 # Phase 2 winner
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trailing_at_r: 2.0 # Phase 2 winner
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trailing_stop_atr_multiplier: 0.3 # Phase 2 winner
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# Risk-based position sizing
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risk_per_trade_pct: 0.0025
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max_position_pct: 0.20
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daily_max_loss_pct: 0.0125 # Phase 3 will sweep this
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max_stops_per_day: 3 # Phase 3 will sweep this
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# Exit
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exit_minutes_before_close: 5
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# Execution
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slippage_bps: 5.0
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initial_capital: 10000
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ticker_cooldown_days: 0
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# Cash account settlement
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settlement_days: 1
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# Gap filter
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max_gap_pct: 0.03 # Phase 3 will sweep this
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# Market regime filters (disabled)
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market_regime_spy_threshold: null
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min_candidate_breadth: null
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universe:
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source: midlarge
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backtest:
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start_date: null
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end_date: null
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lookback_trading_days: 200
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cache:
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enabled: true
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dir: data/cache/intraday
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output:
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dir: runs/intraday_orb
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verbose: false
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# ORB Phase 3 Winner — Universe Filters & Entry Timeout
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#
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# Phase 3b sweep (20 combos, IS 2022-2024 / OOS 2025-present):
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# Best OOS Sharpe: 1.663 (max_gap=0.05, order_timeout=20)
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# OOS return: +29.0%, OOS max DD: -8.54%, OOS trades: 3447, OOS WR: 51.3%
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#
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# vs Phase 2 winner (max_gap=0.03, timeout=45):
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# OOS Sharpe: 1.562, OOS return: +27.1%, OOS DD: -8.80%
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# Improvement: +0.10 Sharpe (+6.5%), +1.9pp return, -0.26pp DD
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#
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# Key insight: max_gap=0.05 is the sweet spot (0.03 too tight, 0.10/null too loose).
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# Note: IS Sharpe is slightly positive (0.067) vs Phase 2's -0.157 — better regime fit.
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#
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# Parameters changed vs orb_p2_winner.yaml:
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# max_gap_pct: 0.05 (was 0.03 — broader gap filter admits better momentum candidates)
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# order_timeout_minutes: 20 (was 45 — tighter timeout, fewer stale entries)
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strategy_mode: orb
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orb_strategy:
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# ORB window
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orb_minutes: 5
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sim_bar_minutes: 5 # Phase 1 winner
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# Entry
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entry_direction: long_only # Phase 1 winner
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order_timeout_minutes: 20 # Phase 3 winner (was 45)
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# Universe quality filters
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min_price: 10.0
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min_avg_dollar_volume: 25000000
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min_atr_14: 0.50
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# RVOL-based candidate selection
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min_rvol: 1.0 # Phase 3 confirmed
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max_candidates: 20 # Phase 3 confirmed
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min_candidates_to_trade: 3
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# Composite ranking weights
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weight_rvol: 0.60
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weight_gap: 0.25
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weight_dollar_vol: 0.15
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# ATR-based stop management (Phase 1+2 winner values)
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atr_stop_multiplier: 1.00 # Phase 1 winner
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breakeven_at_r: 1.0 # Phase 2 winner
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trailing_at_r: 2.0 # Phase 2 winner
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trailing_stop_atr_multiplier: 0.3 # Phase 2 winner
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# Risk-based position sizing
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risk_per_trade_pct: 0.0025
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max_position_pct: 0.20
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daily_max_loss_pct: 0.0125 # Phase 3 confirmed (limit rarely binding)
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max_stops_per_day: 3 # Phase 3 confirmed (limit rarely binding)
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# Exit
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exit_minutes_before_close: 5
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# Execution
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slippage_bps: 5.0
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initial_capital: 10000
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ticker_cooldown_days: 0
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# Cash account settlement
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settlement_days: 1
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# Gap filter — Phase 3 winner
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max_gap_pct: 0.05 # Phase 3 winner (was 0.03)
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# Market regime filters (disabled)
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market_regime_spy_threshold: null
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min_candidate_breadth: null
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universe:
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source: midlarge
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backtest:
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start_date: null
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end_date: null
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lookback_trading_days: 200
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cache:
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enabled: true
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dir: data/cache/intraday
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output:
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dir: runs/intraday_orb
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verbose: false
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@ -1,90 +0,0 @@
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# ORB Phase 4 Winner — Composite Ranking Weights
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#
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# Phase 4 sweep (81 combos, IS 2022-2024 / OOS 2025-present):
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# Best OOS Sharpe: 1.77 (weight_rvol=0.40, weight_gap=0.35)
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# OOS return: +31%, OOS max DD: -7.95%, OOS WR: ~51%
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#
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# vs Phase 3 winner (weight_rvol=0.60, weight_gap=0.25):
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# OOS Sharpe: 1.663, OOS return: +29.0%, OOS DD: -8.54%
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# Improvement: +0.11 Sharpe (+6.6%), +2pp return, -0.59pp DD
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#
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# Key insight: Lower RVOL weight (0.40 vs 0.60) + higher gap weight (0.35 vs 0.25)
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# - Less double-counting: RVOL and gap are correlated (both capture pre-market activity)
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# - Gap weight increase gives more direct pre-market demand signal
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# - weight_body_ratio=0.0 unchanged (no benefit from ORB candle body signal)
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#
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# Parameters changed vs orb_p3_winner.yaml:
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# weight_rvol: 0.40 (was 0.60)
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# weight_gap: 0.35 (was 0.25)
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strategy_mode: orb
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orb_strategy:
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# ORB window
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orb_minutes: 5
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sim_bar_minutes: 5 # Phase 1 winner
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# Entry
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entry_direction: long_only # Phase 1 winner
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order_timeout_minutes: 20 # Phase 3 winner
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# Universe quality filters
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min_price: 10.0
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min_avg_dollar_volume: 25000000
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min_atr_14: 0.50
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# RVOL-based candidate selection
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min_rvol: 1.0 # Phase 3 confirmed
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max_candidates: 20 # Phase 3 confirmed
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min_candidates_to_trade: 3
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# Composite ranking weights — Phase 4 winner
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weight_rvol: 0.40 # Phase 4 winner (was 0.60)
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weight_gap: 0.35 # Phase 4 winner (was 0.25)
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weight_dollar_vol: 0.15 # unchanged
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# ATR-based stop management (Phase 1+2 winner values)
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atr_stop_multiplier: 1.00 # Phase 1 winner
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breakeven_at_r: 1.0 # Phase 2 winner
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trailing_at_r: 2.0 # Phase 2 winner
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trailing_stop_atr_multiplier: 0.3 # Phase 2 winner
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# Risk-based position sizing
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risk_per_trade_pct: 0.0025 # Phase 4 confirmed
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max_position_pct: 0.20
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daily_max_loss_pct: 0.0125 # Phase 3 confirmed (limit rarely binding)
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max_stops_per_day: 3 # Phase 3 confirmed (limit rarely binding)
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# Exit
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exit_minutes_before_close: 5
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# Execution
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slippage_bps: 5.0
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initial_capital: 10000
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ticker_cooldown_days: 0
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# Cash account settlement
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settlement_days: 1
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# Gap filter — Phase 3 winner
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max_gap_pct: 0.05 # Phase 3 winner
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# Market regime filters (disabled)
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market_regime_spy_threshold: null
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min_candidate_breadth: null
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universe:
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source: midlarge
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backtest:
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start_date: null
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end_date: null
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lookback_trading_days: 200
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cache:
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enabled: true
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dir: data/cache/intraday
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output:
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dir: runs/intraday_orb
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verbose: false
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# ORB Phase 5 Winner — Momentum Signal Weight
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#
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# Phase 5 sweep (5 combos, IS 2022-2024 / OOS 2025-present):
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# Best OOS Sharpe: 2.253 (weight_momentum=0.0 — no momentum signal)
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# OOS return: +39.2%, OOS max DD: -9.04%, OOS trades: 3349, OOS WR: 52.3%
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#
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# Result: momentum signal (5-day prior return) HURTS OOS performance.
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# weight_momentum=0.00: OOS Sharpe 2.2529 (WINNER)
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# weight_momentum=0.10: OOS Sharpe 2.2231 (-0.03)
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# weight_momentum=0.20: OOS Sharpe 2.1633 (-0.09)
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# weight_momentum=0.30: OOS Sharpe 2.1469 (-0.11)
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# weight_momentum=0.50: OOS Sharpe 2.1398 (-0.11)
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#
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# Conclusion: Momentum signal adds noise — the ORB breakout direction itself
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# is sufficient; pre-event momentum does not improve candidate ranking.
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# weight_momentum remains 0.0 (disabled).
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#
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# Parameters unchanged vs orb_p4_winner.yaml:
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# weight_momentum: 0.0 (confirmed, was default)
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strategy_mode: orb
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orb_strategy:
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# ORB window
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orb_minutes: 5
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sim_bar_minutes: 5 # Phase 1 winner
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# Entry
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entry_direction: long_only # Phase 1 winner
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order_timeout_minutes: 20 # Phase 3 winner
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# Universe quality filters
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min_price: 10.0
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min_avg_dollar_volume: 25000000
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min_atr_14: 0.50
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# RVOL-based candidate selection
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min_rvol: 1.0 # Phase 3 confirmed
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max_candidates: 20 # Phase 3 confirmed
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min_candidates_to_trade: 3
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# Composite ranking weights — Phase 4+5 winners
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weight_rvol: 0.40 # Phase 4 winner
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weight_gap: 0.35 # Phase 4 winner
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weight_dollar_vol: 0.15 # unchanged
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weight_body_ratio: 0.0 # Phase 4 confirmed (no benefit)
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weight_momentum: 0.0 # Phase 5 confirmed (no benefit)
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# ATR-based stop management (Phase 1+2 winner values)
|
||||
atr_stop_multiplier: 1.00 # Phase 1 winner
|
||||
breakeven_at_r: 1.0 # Phase 2 winner
|
||||
trailing_at_r: 2.0 # Phase 2 winner
|
||||
trailing_stop_atr_multiplier: 0.3 # Phase 2 winner
|
||||
|
||||
# Risk-based position sizing
|
||||
risk_per_trade_pct: 0.0025 # Phase 4 confirmed
|
||||
max_position_pct: 0.20
|
||||
daily_max_loss_pct: 0.0125 # Phase 3 confirmed
|
||||
max_stops_per_day: 3 # Phase 3 confirmed
|
||||
|
||||
# Exit
|
||||
exit_minutes_before_close: 5
|
||||
|
||||
# Execution
|
||||
slippage_bps: 5.0
|
||||
initial_capital: 10000
|
||||
ticker_cooldown_days: 0
|
||||
|
||||
# Cash account settlement
|
||||
settlement_days: 1
|
||||
|
||||
# Gap filter — Phase 3 winner
|
||||
max_gap_pct: 0.05 # Phase 3 winner
|
||||
|
||||
# Market regime filters (disabled)
|
||||
market_regime_spy_threshold: null
|
||||
min_candidate_breadth: null
|
||||
|
||||
universe:
|
||||
source: midlarge
|
||||
|
||||
backtest:
|
||||
start_date: null
|
||||
end_date: null
|
||||
lookback_trading_days: 200
|
||||
|
||||
cache:
|
||||
enabled: true
|
||||
dir: data/cache/intraday
|
||||
|
||||
output:
|
||||
dir: runs/intraday_orb
|
||||
verbose: false
|
||||
@ -1,90 +0,0 @@
|
||||
# ORB Phase 6 Winner — Fine-Grained Parameter Tuning
|
||||
#
|
||||
# Phase 6 sweep (81 combos, IS 2022-2024 / OOS 2025-present):
|
||||
# Best OOS Sharpe: 1.895 (min_rvol=1.0, atr_stop=1.25, max_gap=0.04, exit=10m)
|
||||
# OOS return: +25.0%, OOS max DD: -6.03%, OOS trades: 3295, OOS WR: 51.9%
|
||||
#
|
||||
# Key parameter insights (avg OOS Sharpe by value):
|
||||
# atr_stop: 0.75→1.747 | 1.00→1.768 | 1.25→1.815 (wider stop = trades breathe = better)
|
||||
# exit_min: 3m→1.752 | 5m→1.752 | 10m→1.803 (exit earlier avoids close-auction noise)
|
||||
# max_gap: 0.04→1.808 | 0.05→1.794 | 0.06→1.705 (tighter gap = cleaner breakouts)
|
||||
# min_rvol: 0.70→1.747 | 1.00→1.765 | 1.30→1.795 (mild improvement with stricter RVOL)
|
||||
#
|
||||
# Parameters changed vs orb_p5_winner.yaml:
|
||||
# atr_stop_multiplier: 1.25 (was 1.00 — wider stop reduces whipsaws)
|
||||
# exit_minutes_before_close: 10 (was 5 — avoids late-day volatility)
|
||||
# max_gap_pct: 0.04 (was 0.05 — tighter gap filter for cleaner candidates)
|
||||
|
||||
strategy_mode: orb
|
||||
|
||||
orb_strategy:
|
||||
# ORB window
|
||||
orb_minutes: 5
|
||||
sim_bar_minutes: 5 # Phase 1 winner
|
||||
|
||||
# Entry
|
||||
entry_direction: long_only # Phase 1 winner
|
||||
order_timeout_minutes: 20 # Phase 3 winner
|
||||
|
||||
# Universe quality filters
|
||||
min_price: 10.0
|
||||
min_avg_dollar_volume: 25000000
|
||||
min_atr_14: 0.50
|
||||
|
||||
# RVOL-based candidate selection
|
||||
min_rvol: 1.0 # Phase 6 confirmed
|
||||
max_candidates: 20 # Phase 3 confirmed
|
||||
min_candidates_to_trade: 3
|
||||
|
||||
# Composite ranking weights — Phase 4+5 winners
|
||||
weight_rvol: 0.40 # Phase 4 winner
|
||||
weight_gap: 0.35 # Phase 4 winner
|
||||
weight_dollar_vol: 0.15 # unchanged
|
||||
weight_body_ratio: 0.0 # Phase 4 confirmed (no benefit)
|
||||
weight_momentum: 0.0 # Phase 5 confirmed (no benefit)
|
||||
|
||||
# ATR-based stop management — Phase 6 winners
|
||||
atr_stop_multiplier: 1.25 # Phase 6 winner (was 1.00)
|
||||
breakeven_at_r: 1.0 # Phase 2 winner
|
||||
trailing_at_r: 2.0 # Phase 2 winner
|
||||
trailing_stop_atr_multiplier: 0.3 # Phase 2 winner
|
||||
|
||||
# Risk-based position sizing
|
||||
risk_per_trade_pct: 0.0025 # Phase 4 confirmed
|
||||
max_position_pct: 0.20
|
||||
daily_max_loss_pct: 0.0125 # Phase 3 confirmed
|
||||
max_stops_per_day: 3 # Phase 3 confirmed
|
||||
|
||||
# Exit — Phase 6 winner
|
||||
exit_minutes_before_close: 10 # Phase 6 winner (was 5)
|
||||
|
||||
# Execution
|
||||
slippage_bps: 5.0
|
||||
initial_capital: 10000
|
||||
ticker_cooldown_days: 0
|
||||
|
||||
# Cash account settlement
|
||||
settlement_days: 1
|
||||
|
||||
# Gap filter — Phase 6 winner
|
||||
max_gap_pct: 0.04 # Phase 6 winner (was 0.05)
|
||||
|
||||
# Market regime filters (disabled — Phase 7 will sweep these)
|
||||
market_regime_spy_threshold: null
|
||||
min_candidate_breadth: null
|
||||
|
||||
universe:
|
||||
source: midlarge
|
||||
|
||||
backtest:
|
||||
start_date: null
|
||||
end_date: null
|
||||
lookback_trading_days: 200
|
||||
|
||||
cache:
|
||||
enabled: true
|
||||
dir: data/cache/intraday
|
||||
|
||||
output:
|
||||
dir: runs/intraday_orb
|
||||
verbose: false
|
||||
@ -1,93 +0,0 @@
|
||||
# ORB Phase 7 Winner — Market Regime Filter + Ticker Cooldown
|
||||
#
|
||||
# Phase 7 sweep (12 combos, IS 2022-2024 / OOS 2025-present):
|
||||
# Best OOS Sharpe: 2.067 (ticker_cooldown_days=2, regime=any)
|
||||
# OOS return: +23.0%, OOS max DD: -3.99%, OOS trades: 2669, OOS WR: 52.3%
|
||||
#
|
||||
# SPY regime filter: ZERO effect — all thresholds (null/-0.3%/-0.5%/-1%) identical
|
||||
# → regime filter disabled (market_regime_spy_threshold: null)
|
||||
#
|
||||
# Ticker cooldown: STRONG effect (prevents chasing same stock repeatedly):
|
||||
# cooldown=0d: OOS 1.895, DD -6.03%, 3295 trades
|
||||
# cooldown=1d: OOS 1.968 (+3.8%), DD -4.18%, 2916 trades
|
||||
# cooldown=2d: OOS 2.067 (+9.1%), DD -3.99%, 2669 trades ← WINNER
|
||||
#
|
||||
# Mechanism: cooldown=2 avoids mean-reversion trap (stock pulls back after
|
||||
# initial breakout day). Also prevents overconcentration in popular names.
|
||||
#
|
||||
# Parameters changed vs orb_p6_winner.yaml:
|
||||
# ticker_cooldown_days: 2 (was 0)
|
||||
|
||||
strategy_mode: orb
|
||||
|
||||
orb_strategy:
|
||||
# ORB window
|
||||
orb_minutes: 5
|
||||
sim_bar_minutes: 5 # Phase 1 winner (Phase 8 will sweep this)
|
||||
|
||||
# Entry
|
||||
entry_direction: long_only # Phase 1 winner
|
||||
order_timeout_minutes: 20 # Phase 3 winner
|
||||
|
||||
# Universe quality filters
|
||||
min_price: 10.0
|
||||
min_avg_dollar_volume: 25000000
|
||||
min_atr_14: 0.50
|
||||
|
||||
# RVOL-based candidate selection
|
||||
min_rvol: 1.0 # Phase 6 confirmed
|
||||
max_candidates: 20 # Phase 3 confirmed
|
||||
min_candidates_to_trade: 3
|
||||
|
||||
# Composite ranking weights — Phase 4+5 winners
|
||||
weight_rvol: 0.40 # Phase 4 winner
|
||||
weight_gap: 0.35 # Phase 4 winner
|
||||
weight_dollar_vol: 0.15 # unchanged
|
||||
weight_body_ratio: 0.0 # Phase 4 confirmed (no benefit)
|
||||
weight_momentum: 0.0 # Phase 5 confirmed (no benefit)
|
||||
|
||||
# ATR-based stop management
|
||||
atr_stop_multiplier: 1.25 # Phase 6 winner
|
||||
breakeven_at_r: 1.0 # Phase 2 winner
|
||||
trailing_at_r: 2.0 # Phase 2 winner
|
||||
trailing_stop_atr_multiplier: 0.3 # Phase 2 winner
|
||||
|
||||
# Risk-based position sizing
|
||||
risk_per_trade_pct: 0.0025 # Phase 4 confirmed
|
||||
max_position_pct: 0.20
|
||||
daily_max_loss_pct: 0.0125 # Phase 3 confirmed
|
||||
max_stops_per_day: 3 # Phase 3 confirmed
|
||||
|
||||
# Exit
|
||||
exit_minutes_before_close: 10 # Phase 6 winner
|
||||
|
||||
# Execution
|
||||
slippage_bps: 5.0
|
||||
initial_capital: 10000
|
||||
ticker_cooldown_days: 2 # Phase 7 winner (was 0)
|
||||
|
||||
# Cash account settlement
|
||||
settlement_days: 1
|
||||
|
||||
# Gap filter
|
||||
max_gap_pct: 0.04 # Phase 6 winner
|
||||
|
||||
# Market regime filter — Phase 7: no effect, disabled
|
||||
market_regime_spy_threshold: null
|
||||
min_candidate_breadth: null
|
||||
|
||||
universe:
|
||||
source: midlarge
|
||||
|
||||
backtest:
|
||||
start_date: null
|
||||
end_date: null
|
||||
lookback_trading_days: 200
|
||||
|
||||
cache:
|
||||
enabled: true
|
||||
dir: data/cache/intraday
|
||||
|
||||
output:
|
||||
dir: runs/intraday_orb
|
||||
verbose: false
|
||||
@ -1,91 +0,0 @@
|
||||
# ORB Phase 8 Winner — Bar Size Confirmation
|
||||
#
|
||||
# Phase 8a (15 combos): 30/60/90m bars produced 0 trades due to
|
||||
# order_timeout_minutes=20 < sim_bar_minutes → order expires before first bar close.
|
||||
#
|
||||
# Phase 8b (8 combos, timeout=120): larger bars WORSE, not better:
|
||||
# sim=5m: OOS 1.84 (best)
|
||||
# sim=30m: OOS -3.26 (catastrophic)
|
||||
# sim=60m: OOS -4.92
|
||||
# sim=90m: OOS -6.06
|
||||
#
|
||||
# Root cause: atr_stop=1.25 (wide) + trailing_at_r=2.0 (tight) is incompatible
|
||||
# with large bars. Trailing stop only updates at bar close — within a 30m bar,
|
||||
# large reversals aren't caught. Original ORB worked with atr=0.30 (tight stop).
|
||||
#
|
||||
# Conclusion: sim_bar_minutes=5 is optimal for this strategy configuration.
|
||||
# No parameter changes vs orb_p7_winner.yaml.
|
||||
|
||||
strategy_mode: orb
|
||||
|
||||
orb_strategy:
|
||||
# ORB window
|
||||
orb_minutes: 5
|
||||
sim_bar_minutes: 5 # Phase 8 confirmed: 5m optimal for atr=1.25
|
||||
|
||||
# Entry
|
||||
entry_direction: long_only
|
||||
order_timeout_minutes: 20 # Phase 3 winner
|
||||
|
||||
# Universe quality filters
|
||||
min_price: 10.0
|
||||
min_avg_dollar_volume: 25000000
|
||||
min_atr_14: 0.50
|
||||
|
||||
# RVOL-based candidate selection
|
||||
min_rvol: 1.0
|
||||
max_candidates: 20
|
||||
min_candidates_to_trade: 3
|
||||
|
||||
# Composite ranking weights
|
||||
weight_rvol: 0.40 # Phase 4 winner
|
||||
weight_gap: 0.35 # Phase 4 winner
|
||||
weight_dollar_vol: 0.15
|
||||
weight_body_ratio: 0.0 # Phase 4 confirmed
|
||||
weight_momentum: 0.0 # Phase 5 confirmed
|
||||
|
||||
# ATR-based stop management
|
||||
atr_stop_multiplier: 1.25 # Phase 6 winner
|
||||
breakeven_at_r: 1.0 # Phase 2 winner (Phase 9 will fine-tune)
|
||||
trailing_at_r: 2.0 # Phase 2 winner (Phase 9 will fine-tune)
|
||||
trailing_stop_atr_multiplier: 0.3
|
||||
|
||||
# Risk-based position sizing
|
||||
risk_per_trade_pct: 0.0025 # Phase 4 confirmed
|
||||
max_position_pct: 0.20
|
||||
daily_max_loss_pct: 0.0125
|
||||
max_stops_per_day: 3
|
||||
|
||||
# Exit
|
||||
exit_minutes_before_close: 10 # Phase 6 winner
|
||||
|
||||
# Execution
|
||||
slippage_bps: 5.0
|
||||
initial_capital: 10000
|
||||
ticker_cooldown_days: 2 # Phase 7 winner
|
||||
|
||||
# Cash account settlement
|
||||
settlement_days: 1
|
||||
|
||||
# Gap filter
|
||||
max_gap_pct: 0.04 # Phase 6 winner
|
||||
|
||||
# Market regime filter
|
||||
market_regime_spy_threshold: null
|
||||
min_candidate_breadth: null
|
||||
|
||||
universe:
|
||||
source: midlarge
|
||||
|
||||
backtest:
|
||||
start_date: null
|
||||
end_date: null
|
||||
lookback_trading_days: 200
|
||||
|
||||
cache:
|
||||
enabled: true
|
||||
dir: data/cache/intraday
|
||||
|
||||
output:
|
||||
dir: runs/intraday_orb
|
||||
verbose: false
|
||||
@ -1,94 +0,0 @@
|
||||
# ORB Phase 9 Winner — Stop Management Fine-Tune
|
||||
#
|
||||
# Phase 9 sweep (20 combos, IS 2022-2024 / OOS 2025-present):
|
||||
# Best OOS Sharpe: 2.119 (breakeven_at_r=1.0, trailing_at_r=3.0)
|
||||
# OOS return: +23.8%, OOS max DD: -3.86%, OOS trades: 2669, OOS WR: 52.3%
|
||||
#
|
||||
# Key findings:
|
||||
# trailing=3.0R: avg 2.068 (BEST) — gives trades more room to run
|
||||
# trailing=5.0R: avg 2.028
|
||||
# trailing=2.0R: avg 2.013 (was default)
|
||||
# trailing=0.0R: avg 1.485 (catastrophic — no trailing = no profit lock)
|
||||
#
|
||||
# breakeven=1.0R: avg 1.931 (BEST) — protect against reversal after first R gain
|
||||
# breakeven=0.0R: avg 1.837 (worst — no protection)
|
||||
#
|
||||
# Mechanism: ticker_cooldown=2 makes each trade precious → wider trailing (3R)
|
||||
# lets winners run before locking profits. BE=1.0 guards against reversals.
|
||||
#
|
||||
# Parameters changed vs orb_p8_winner.yaml:
|
||||
# trailing_at_r: 3.0 (was 2.0 — wider trailing to let trades run)
|
||||
|
||||
strategy_mode: orb
|
||||
|
||||
orb_strategy:
|
||||
# ORB window
|
||||
orb_minutes: 5
|
||||
sim_bar_minutes: 5 # Phase 8 confirmed optimal
|
||||
|
||||
# Entry
|
||||
entry_direction: long_only
|
||||
order_timeout_minutes: 20 # Phase 3 winner
|
||||
|
||||
# Universe quality filters
|
||||
min_price: 10.0
|
||||
min_avg_dollar_volume: 25000000
|
||||
min_atr_14: 0.50
|
||||
|
||||
# RVOL-based candidate selection
|
||||
min_rvol: 1.0
|
||||
max_candidates: 20
|
||||
min_candidates_to_trade: 3
|
||||
|
||||
# Composite ranking weights
|
||||
weight_rvol: 0.40 # Phase 4 winner
|
||||
weight_gap: 0.35 # Phase 4 winner
|
||||
weight_dollar_vol: 0.15
|
||||
weight_body_ratio: 0.0 # Phase 4 confirmed
|
||||
weight_momentum: 0.0 # Phase 5 confirmed
|
||||
|
||||
# ATR-based stop management — Phase 9 winners
|
||||
atr_stop_multiplier: 1.25 # Phase 6 winner
|
||||
breakeven_at_r: 1.0 # Phase 9 confirmed (was already optimal)
|
||||
trailing_at_r: 3.0 # Phase 9 winner (was 2.0)
|
||||
trailing_stop_atr_multiplier: 0.3
|
||||
|
||||
# Risk-based position sizing
|
||||
risk_per_trade_pct: 0.0025 # Phase 4 confirmed
|
||||
max_position_pct: 0.20
|
||||
daily_max_loss_pct: 0.0125
|
||||
max_stops_per_day: 3
|
||||
|
||||
# Exit
|
||||
exit_minutes_before_close: 10 # Phase 6 winner
|
||||
|
||||
# Execution
|
||||
slippage_bps: 5.0
|
||||
initial_capital: 10000
|
||||
ticker_cooldown_days: 2 # Phase 7 winner
|
||||
|
||||
# Cash account settlement
|
||||
settlement_days: 1
|
||||
|
||||
# Gap filter
|
||||
max_gap_pct: 0.04 # Phase 6 winner
|
||||
|
||||
# Market regime filter (no effect — Phase 7)
|
||||
market_regime_spy_threshold: null
|
||||
min_candidate_breadth: null
|
||||
|
||||
universe:
|
||||
source: midlarge
|
||||
|
||||
backtest:
|
||||
start_date: null
|
||||
end_date: null
|
||||
lookback_trading_days: 200
|
||||
|
||||
cache:
|
||||
enabled: true
|
||||
dir: data/cache/intraday
|
||||
|
||||
output:
|
||||
dir: runs/intraday_orb
|
||||
verbose: false
|
||||
@ -1,50 +0,0 @@
|
||||
_meta:
|
||||
name: ORB P9 Champion (copy)
|
||||
description: '10-phase IS/OOS optimized: OOS Sharpe 2.12, MaxDD -3.86%, 2025 holdout.'
|
||||
id: 2
|
||||
strategy_mode: orb
|
||||
orb_strategy:
|
||||
orb_minutes: 5
|
||||
sim_bar_minutes: 5
|
||||
entry_direction: long_only
|
||||
order_timeout_minutes: 20
|
||||
min_price: 10.0
|
||||
min_avg_dollar_volume: 25000000
|
||||
min_atr_14: 0.5
|
||||
min_rvol: 0.5
|
||||
max_candidates: 20
|
||||
min_candidates_to_trade: 3
|
||||
weight_rvol: 0.6
|
||||
weight_gap: 0.25
|
||||
weight_dollar_vol: 0.15
|
||||
atr_stop_multiplier: 1.25
|
||||
breakeven_at_r: 1.0
|
||||
trailing_at_r: 3.0
|
||||
trailing_stop_atr_multiplier: 0.3
|
||||
risk_per_trade_pct: 0.0025
|
||||
max_position_pct: 0.2
|
||||
daily_max_loss_pct: 0.0125
|
||||
max_stops_per_day: 3
|
||||
exit_minutes_before_close: 5
|
||||
slippage_bps: 5.0
|
||||
initial_capital: 10000.0
|
||||
ticker_cooldown_days: 0
|
||||
market_regime_spy_threshold: null
|
||||
min_candidate_breadth: null
|
||||
settlement_days: 1
|
||||
max_gap_pct: 0.04
|
||||
compound_returns: false
|
||||
universe:
|
||||
source: midlarge
|
||||
min_price: 10.0
|
||||
backtest:
|
||||
start_date: null
|
||||
end_date: null
|
||||
lookback_trading_days: 200
|
||||
pre_screen_threshold: 0.01
|
||||
cache:
|
||||
enabled: true
|
||||
dir: data/cache/intraday
|
||||
output:
|
||||
dir: runs/intraday_orb
|
||||
verbose: false
|
||||
Loading…
Reference in New Issue