_meta:
  id: 29
  name: "ORB Gainers V23 Safe"
  status: experimental
  parent: orb_gainers_v23
  description: >
    V23 파생 전략 — "안전 투자자" 버전. 수익률을 희생해서 손실을 최소화하는 것이 목표.
    V23 대비 5가지 방향으로 보수화:

    1. 레짐 필터 강화: QQQ 갭 0.15% → 0.30% (더 강한 상승 장세만 진입)
    2. 진입 품질 상향: min_rvol 1.5→2.0, min_candidate_breadth 0.60→0.70
    3. 포지션 크기 축소: risk_per_trade 5%→3%, max_simultaneous 3→2
    4. 손실 governor 강화: rolling_loss -7%→-3%, drawdown_governor 2.5%→1.5%
    5. 일일 손실 컷: daily_max_loss 5%→3%, max_stops_per_day 5→3

    streak_sizing 비활성화 (승리 시 포지션 키우지 않음 — 안전 우선)

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

  # === SAFE CHANGE: higher rvol requirement (was 1.5) ===
  min_rvol: 2.0
  # === SAFE CHANGE: slightly higher gap floor (was 0.02) ===
  min_abs_gap_pct: 0.025
  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

  # === SAFE CHANGE: higher breadth requirement (was 0.60) ===
  min_candidate_breadth: 0.70
  # === SAFE CHANGE: stronger QQQ regime required (was 0.0015 = 0.15%) ===
  market_regime_spy_threshold: 0.003
  market_regime_ticker: QQQ
  rolling_loss_days: 7
  # === SAFE CHANGE: stop much sooner on bad streaks (was -0.07) ===
  rolling_loss_threshold: -0.03
  # === SAFE CHANGE: max 2 simultaneous positions (was 3) ===
  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: 99.0
  partial_exit_pct: 0.50

  # === SAFE CHANGE: smaller position risk (was 0.05) ===
  risk_per_trade_pct: 0.03
  max_position_pct: 0.70
  # === SAFE CHANGE: cut daily losses sooner (was 0.05) ===
  daily_max_loss_pct: 0.03
  # === SAFE CHANGE: stop the day after 3 stops (was 5) ===
  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

  # === SAFE CHANGE: tighter portfolio DD governor (was 0.025) ===
  drawdown_governor_threshold: 0.015
  drawdown_governor_min_scale: 0.30

  # === SAFE CHANGE: no streak sizing boost (was bonus=0.70, max=2.5) ===
  streak_sizing_win_bonus: 0.0
  streak_sizing_max: 1.0

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