# ORB Phase 3b — Focused sweep: max_gap × order_timeout
#
# Phase 3 showed ranking by IS Sharpe buried best OOS combos.
# Phase 3 top-9 (IS +6.6%, OOS +23.1%) are WORSE OOS than Phase 2
# winner (OOS +27.1%). Need OOS-sorted evaluation.
#
# Strategy: fix all Phase 3 winners except max_gap & timeout,
# run top-N=all so every combo gets OOS validated, then sort by OOS.
#
# 4 × 5 = 20 combinations (all get OOS eval via --top-n 20)
#
# Run:
#   python -m apps.intraday_bt.evaluate \
#     --config configs/intraday/orb_p2_winner.yaml \
#     --sweep configs/intraday/sweep_orb_p3b_maxgap_timeout.yaml \
#     --start 2022-01-01 --split-date 2025-01-01 \
#     --top-n 20 \
#     --output runs/intraday_orb/phase3b_eval.json

base_config: configs/intraday/orb_p2_winner.yaml

sweep:
  # Fixed at Phase 3 winner values (these don't affect results meaningfully)
  max_candidates: [20]
  min_rvol: [1.0]
  max_stops_per_day: [3]
  daily_max_loss_pct: [0.0125]
  compound_returns: [false]

  # Key dimensions: gap filter vs none, and entry timeout
  max_gap_pct: [0.03, 0.05, 0.10, null]
  order_timeout_minutes: [20, 30, 45, 60, 90]