_meta:
  id: 37
  name: "ORB Gainers V23 Safe v9"
  status: validated_200d_only
  parent: orb_gainers_v23_safe_v8
  description: >
    V23 Safe v9 — v8 + streak_sizing_win_bonus: 0.70 (V23 level streak sizing).
    VALIDATED champion of the Safe family on 200d window ONLY (2026-04-21).
    주의: 400d에서는 V23이 모든 지표에서 완전히 우월 — +146% vs +101%, DD -13.7% vs -17.2%.
    v9는 200d 단기 보수적 대안으로만 유효. 실전 배포 기준은 V23.

    Safe v8 결과: +82.36%, DD -7.72%, Sharpe 3.14 — V23 Sharpe(3.01)보다 높고 DD는 5pp 낮음.
    단, 수익은 V23(+109.32%)보다 27pp 낮음. 차이 원인: V23의 streak sizing(win_bonus=0.70).
    V23에서 streak_sizing은 핵심 수익 증폭기 (V19→V21 승진에 기여).

    v9 가설: v8 safe mechanisms(partial_exit + rolling_loss-2% + max_sim=2) + V23의
    streak_sizing(0.70) = +100%+ 수익 AND DD < V23 -12.91%?

    200d 결과 (2025-07-03→2026-04-20): +101.25%, DD -7.62%, WR 58.06%, Sharpe 3.34
      worst_day -$324, trade_days 46/200, 124 trades.
    400d 결과 (2024-09-13→2026-04-20): +101.01%, DD -17.20%, WR 57.08%, Sharpe 1.99
      profit_factor 1.77, worst_day -6.11%, 226 trades, 93 trade days.
    400d gate: DD -17.20% ≤ -18% ✓ AND return +101% ≥ +90% ✓ → PROMOTED.
    V23 대비 (200d): DD -5.29pp 개선 (-7.62% vs -12.91%); Sharpe +0.33 우위;
    수익은 -8pp 낮음 (-101.25% vs +109.32%).

    *** 2026-04-21 UPDATE: V23 TRUE 400d result confirmed with correct pipeline ***
    V23 400d TRUE: +146.09%, DD -13.66%, Sharpe 2.33 (vs v9: +101.01%, DD -17.20%, Sharpe 1.99)
    V23 STRICTLY DOMINATES Safe v9 on 400d in return (+45pp), DD (+3.5pp better), and Sharpe.
    "Risk-adjusted superior" claim is ONLY valid on 200d window. On 400d, V23 is also safer.
    V23 is the absolute champion. v9 remains valid as 200d conservative alternative only.

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: 0.05
  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
  # === KEY CHANGE: enable streak sizing (V23 level) ===
  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