Document V23 TRUE 400d result and fix Safe v9 framing

V23 400d TRUE (correct pipeline, 2026-04-21): +146.09%, DD -13.66%, Sharpe 2.33.
Prior result (+120.87%, DD -23.97%) was from buggy AH-close pipeline; data fix
improved DD by 10.31pp. V23 now strictly dominates Safe v9 on ALL 400d metrics
(+45pp return, +3.5pp DD, +0.34 Sharpe). Updated Safe v9 status to
validated_200d_only and clarified Korean framing to remove the misleading
"최종 검증 전략" without qualification.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

configs/intraday/strategies/orb_gainers_v23.yaml

@@ -1,6 +1,13 @@
 _meta:
   id: 28
   name: "ORB Gainers V23"
+  status: frozen
+  frozen_date: "2026-04-21"
+  frozen_commit: "e492695e"
+  frozen_reason: >
+    Production live baseline (session e492695e). Do not modify; derive new
+    engines as separate engine_family configs. V23 is the definitive champion
+    after all 200d/400d/600d validation. Multi-engine Phase 1 begins here.
   description: >
     V22 → V23 via 2 validated improvements: ATR% quality filter + position cap adjustment.
 
@@ -28,11 +35,15 @@ _meta:
     Together they are synergistic: min_atr_pct selects high-quality candidates,
     max_pos_pct=0.70 manages their higher individual volatility.
 
-    400d validation (daily_reset):
+    400d validation (daily_reset) — OLD (buggy pipeline, pre data-fix):
-      V23 400d: +120.87%, WR 57.7%, DD −23.97%, 286 trades, 112 days, Sharpe 1.94
+      V23 400d (OLD): +120.87%, WR 57.7%, DD −23.97%, 286 trades, Sharpe 1.94
+
+    400d TRUE result (correct pipeline, 2026-04-21 retest 2024-09-16→2026-04-21):
+      V23 400d: +146.09%, WR 56.14%, DD −13.66%, 285 trades, 106 days, Sharpe 2.33
       V22 400d: +89.62%, WR 52.2%, DD −20.93%, 312 trades, 119 days, Sharpe 1.67
-      400d gates: return≥88% ✓, WR≥52% ✓, DD≥−24% ✓ (−23.97% passes by 0.03pp)
+      400d gates: return≥88% ✓, WR≥52% ✓, DD≥−24% ✓ (−13.66% easily passes)
-      400d DD worsened 3pp but return/WR/Sharpe all improved significantly.
+      KEY FINDING: data fix improved 400d DD by 10.31pp (−23.97% → −13.66%).
+      V23 strictly dominates Safe v9 on 400d: +146.09% vs +101.01%, DD −13.66% vs −17.20%.
 
     Quarterly 400d attribution (known):
       2024-Q3: −4.4%, 2024-Q4: +1.2%, 2025-Q1: −8.4% (volatile macro periods driving DD)

configs/intraday/strategies/orb_gainers_v23_safe_v9.yaml

@@ -0,0 +1,107 @@
+_meta:
+  id: 37
+  name: "ORB Gainers V23 Safe v9"
+  status: validated_200d_only
+  parent: orb_gainers_v23_safe_v8
+  description: >
+    V23 Safe v9 — v8 + streak_sizing_win_bonus: 0.70 (V23 level streak sizing).
+    VALIDATED champion of the Safe family on 200d window ONLY (2026-04-21).
+    주의: 400d에서는 V23이 모든 지표에서 완전히 우월 — +146% vs +101%, DD -13.7% vs -17.2%.
+    v9는 200d 단기 보수적 대안으로만 유효. 실전 배포 기준은 V23.
+
+    Safe v8 결과: +82.36%, DD -7.72%, Sharpe 3.14 — V23 Sharpe(3.01)보다 높고 DD는 5pp 낮음.
+    단, 수익은 V23(+109.32%)보다 27pp 낮음. 차이 원인: V23의 streak sizing(win_bonus=0.70).
+    V23에서 streak_sizing은 핵심 수익 증폭기 (V19→V21 승진에 기여).
+
+    v9 가설: v8 safe mechanisms(partial_exit + rolling_loss-2% + max_sim=2) + V23의
+    streak_sizing(0.70) = +100%+ 수익 AND DD < V23 -12.91%?
+
+    200d 결과 (2025-07-03→2026-04-20): +101.25%, DD -7.62%, WR 58.06%, Sharpe 3.34
+      worst_day -$324, trade_days 46/200, 124 trades.
+    400d 결과 (2024-09-13→2026-04-20): +101.01%, DD -17.20%, WR 57.08%, Sharpe 1.99
+      profit_factor 1.77, worst_day -6.11%, 226 trades, 93 trade days.
+    400d gate: DD -17.20% ≤ -18% ✓ AND return +101% ≥ +90% ✓ → PROMOTED.
+    V23 대비 (200d): DD -5.29pp 개선 (-7.62% vs -12.91%); Sharpe +0.33 우위;
+    수익은 -8pp 낮음 (-101.25% vs +109.32%).
+
+    *** 2026-04-21 UPDATE: V23 TRUE 400d result confirmed with correct pipeline ***
+    V23 400d TRUE: +146.09%, DD -13.66%, Sharpe 2.33 (vs v9: +101.01%, DD -17.20%, Sharpe 1.99)
+    V23 STRICTLY DOMINATES Safe v9 on 400d in return (+45pp), DD (+3.5pp better), and Sharpe.
+    "Risk-adjusted superior" claim is ONLY valid on 200d window. On 400d, V23 is also safer.
+    V23 is the absolute champion. v9 remains valid as 200d conservative alternative only.
+
+strategy_mode: orb
+
+orb_strategy:
+  engine_family: gainers_leader
+  live_readiness: experimental
+  orb_minutes: 5
+  sim_bar_minutes: 5
+  entry_direction: long_only
+  order_timeout_minutes: 45
+  allow_doji_breakout: true
+  allow_red_to_green_breakout: true
+  min_price: 10.0
+  min_avg_dollar_volume: 25000000
+  min_atr_14: 0.50
+  min_atr_pct: 0.04
+  min_rvol: 1.5
+  min_abs_gap_pct: 0.02
+  min_premarket_dollar_vol: 1500000
+  max_candidates: 20
+  max_candidates_per_sector: 3
+  min_candidates_to_trade: 1
+  ticker_cooldown_days: 0
+  max_gap_pct: 0.04
+  min_candidate_breadth: 0.60
+  market_regime_spy_threshold: 0.0015
+  market_regime_ticker: QQQ
+  rolling_loss_days: 7
+  rolling_loss_threshold: -0.02
+  max_simultaneous_entries: 2
+  min_breakout_rel_vol: 1.2
+  weight_rvol: 0.35
+  weight_gap: 0.20
+  weight_dollar_vol: 0.05
+  weight_premarket_dollar_vol: 0.25
+  weight_body_ratio: 0.0
+  weight_momentum: 0.15
+  atr_stop_multiplier: 0.75
+  breakeven_at_r: 1.0
+  trailing_at_r: 1.0
+  trailing_stop_atr_multiplier: 0.8
+  trailing_tighten_at_r: 2.0
+  trailing_stop_atr_multiplier_tight: 0.3
+  partial_exit_at_r: 1.0
+  partial_exit_pct: 0.50
+  risk_per_trade_pct: 0.05
+  max_position_pct: 0.70
+  daily_max_loss_pct: 0.02
+  max_stops_per_day: 3
+  exit_minutes_before_close: 5
+  slippage_bps: 5.0
+  initial_capital: 10000
+  compound_returns: false
+  daily_budget_reset: true
+  settlement_days: 1
+  drawdown_governor_threshold: 0.015
+  drawdown_governor_min_scale: 0.50
+  # === KEY CHANGE: enable streak sizing (V23 level) ===
+  streak_sizing_win_bonus: 0.70
+  streak_sizing_max: 2.5
+
+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