_meta:
  id: 31
  name: "ORB Gainers V23 Safe v3"
  status: experimental
  parent: orb_gainers_v23_safe_v2
  description: >
    V23 Safe v3 — "안전 투자자" 최적화.

    v2 분석 결과 (200d):
    - +36.67%, DD -11.54%, 시작 자본 이하: 0일 (최저 $10,017)
    - Max DD 원인: Nov-Dec 2025 손실 클러스터
      11/21(-$321) 후 rolling window(5일)가 만료되어 12월에 다시 거래 시작
      → COHR, TSLA, LITE, VST, CYTK 등 연속 손실

    v3 변경:
    1. rolling_loss_days: 5→10 (손실 기억 기간 연장 → Nov 손실 후 Dec 재진입 방지)
    2. rolling_loss_threshold: -0.02→-0.015 (더 빠른 중단: $150 누적 손실시 정지)
    3. 나머지는 v2 동일 (partial_exit@1R, risk=2%, max_entries=2)

    목표: 고점 대비 DD를 -8% 이하로 줄이면서 시작 자본 이하 0일 유지

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
  # === KEY CHANGE: longer loss memory (was 5) ===
  rolling_loss_days: 10
  # === KEY CHANGE: stop sooner — $150 loss triggers pause (was -0.02) ===
  rolling_loss_threshold: -0.015
  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

  # 50% partial exit at 1R (lock in gains early)
  partial_exit_at_r: 1.0
  partial_exit_pct: 0.50

  risk_per_trade_pct: 0.02
  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

  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