_meta:
  id: 38
  name: "Hypergap Failure V1"
  status: aborted
  aborted_date: "2026-04-21"
  aborted_reason: >
    3 tests all failed. Test 1 (quality filters + regime gate): -33%, WR ~27%.
    Test 2 (quality filters, no regime): -59%, WR ~25%.
    Test 3 (inverted quality - no rvol, no premarket_vol): -59.16%, WR 42.9%, DD -59.16%.
    Structural R/R problem: avg_win 3.55% < avg_loss 4.10%. Need WR ≥ 54% to break even at
    this R/R — unachievable. High-quality stocks fail hard but rarely; low-quality stocks fail
    often but with small moves. Neither profile yields positive expectancy on gap-failure shorts.
    Root cause: gap-up short positions have inherently adverse asymmetry (stocks rocket up when
    wrong, drift down slowly when right). No filter combination overcomes this.
  description: >
    Phase 3 / diagnostic: extreme-gap stocks (≥6%) that fail to hold the ORB.

    Hypothesis: V23's portfolio-level correlation (~0.40) with any long-momentum engine is
    regime-driven (both long-momentum, both triggered by QQQ-positive days). The only way to
    break regime correlation is to be directionally orthogonal.

    Gap failure = stock gaps up ≥6%, but ORB candle is bearish (sold off in first 5 min).
    Entry: short when price breaks below ORB low. On days when V23's stocks are succeeding
    (trend), these stocks should not be bearish-ORB (so no trades). On days when market
    reverses (V23 losing), gap stocks are more likely to fail → shorts enter → anti-correlation.

    Gate: WR ≥ 42% (shorts tolerate lower WR than longs due to asymmetric payout),
    total_return ≥ 0%, max_dd ≥ -20%.

strategy_mode: orb

orb_strategy:
  engine_family: hypergap_failure_v1
  live_readiness: research_only

  orb_minutes: 5
  sim_bar_minutes: 5

  entry_direction: short_only   # only trade bearish ORB candles (gap failure)
  order_timeout_minutes: 45

  allow_doji_breakout: false
  allow_red_to_green_breakout: false

  # === Candidate filters: extreme gap pool (≥6%), same quality bars as V23 ===
  min_price: 10.0
  min_avg_dollar_volume: 25000000
  min_atr_14: 0.50
  min_atr_pct: 0.04
  min_rvol: null           # inverted: allow low-rvol retail stocks (test #3: invert quality)
  min_abs_gap_pct: 0.06   # extreme gap: ≥6% (gap failure more likely above this threshold)
  min_premarket_dollar_vol: null  # inverted: allow low-premarket-vol retail stocks
  max_candidates: 20
  max_candidates_per_sector: 3
  min_candidates_to_trade: 1
  ticker_cooldown_days: 0
  max_gap_pct: null  # no cap

  min_candidate_breadth: null   # no breadth gate — operate on any breadth day
  market_regime_spy_threshold: null  # no QQQ regime gate — need to find own signal first
  market_regime_ticker: QQQ
  rolling_loss_days: 7
  rolling_loss_threshold: null  # no rolling loss kill — diagnostic mode
  max_simultaneous_entries: 3
  min_breakout_rel_vol: null

  # === Scoring weights (same as V23) ===
  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

  # === Stop / exit (conservative start for diagnostic) ===
  atr_stop_multiplier: 1.0      # wider stop for shorts (gap stocks can be volatile)
  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: 99.0
  partial_exit_pct: 0.50

  risk_per_trade_pct: 0.05
  max_position_pct: 0.70
  daily_max_loss_pct: 0.05
  max_stops_per_day: 5
  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: 0.025
  drawdown_governor_min_scale: 0.30

  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