_meta:
  id: 30
  name: "ORB Gainers V23 Safe v2"
  status: validated
  parent: orb_gainers_v23
  description: >
    V23 파생 전략 — "안전 투자자" v2. v1(+5.16%, DD -13.49%)보다 DD를 줄이는 것이 목표.

    핵심 발견 (v1 분석):
    - V23 손실일의 QQQ 갭: +0.3%~+3.4% → QQQ 임계값 강화는 효과 없음
    - 손실은 QQQ 방향이 아닌 개별 종목 실패에서 발생
    - DD는 손실 클러스터(Oct/Sep 2025)에서 집중 발생

    v2 접근법:
    1. Rolling loss governor 강화: 손실 직후 즉시 거래 중단 (-2% threshold)
    2. Partial exit 활성화: 1R(0.75ATR) 도달시 50% 이익 실현 → 많은 거래를 "무조건 수익"으로
    3. 포지션 축소: risk 5%→2% (손실 기회당 절대액 감소)
    4. 동시 포지션: 3→2 (손실 클러스터링 방지)
    5. QQQ 레짐: 유지 (효과 없음이 증명됨 — 더 강화해도 소용없음)
    6. Streak sizing 비활성화 (안전 우선)

    200d 검증 결과 (2025-07-03 → 2026-04-20):
    - 수익: +36.67% (V23 +109.32% 대비)
    - Max DD: -11.54% (고점 대비, 그러나 시작 자본 이하 0일!)
    - Sharpe: 2.24
    - 시작 자본($10k) 이하: 0일 (최저점 $10,017 on 2025-07-09)
    - 최악의 하루: -$344 (V23 -$981 대비)
    - 거래일: 49/200, 거래: 154건

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: 5
  # === KEY CHANGE: stop IMMEDIATELY after $200 loss (was -7%) ===
  rolling_loss_threshold: -0.02
  # === CHANGE: max 2 simultaneous (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

  # === KEY CHANGE: lock in 50% at 1R (was disabled at 99R) ===
  partial_exit_at_r: 1.0
  partial_exit_pct: 0.50

  # === CHANGE: smaller per-trade risk (was 0.05) ===
  risk_per_trade_pct: 0.02
  max_position_pct: 0.70
  # === CHANGE: tighter daily loss cut (was 0.05) ===
  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

  # === CHANGE: tighter portfolio governor (was 0.025) ===
  drawdown_governor_threshold: 0.015
  drawdown_governor_min_scale: 0.50

  # === CHANGE: no streak sizing (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