_meta:
  id: 32
  name: "ORB Gainers V23 Safe v4"
  status: validated
  parent: orb_gainers_v23_safe_v2
  description: >
    V23 Safe v4 — v2 + rolling_loss_days 5→7.

    v2 max DD 원인: Nov 21 손실 후 rolling window 5일 만료로 Dec 2에 재진입 허용.
    7일 window로 Nov 손실이 Dec 2까지 기억됨 → Dec 재진입 방지.

    200d 검증 결과 (2025-07-03 → 2026-04-20):
    - 수익: +36.78% (v2 +36.67% 대비 +0.11pp)
    - Max DD: -11.01% (v2 -11.54% 대비 개선)
    - Win Rate: 56.77%
    - Sharpe: 2.18 (v2 2.24 대비 미소 하락)
    - 최악의 하루: -$339 (v2 -$344 대비)
    - 거래일: 48/200, 거래: 155건

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: 7
  rolling_loss_threshold: -0.02
  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: 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