_meta:
  id: 29
  name: "ORB Gainers V24 LossCap"
  description: >
    [DOCUMENTED FAILURE — NOT PROMOTED]
    V23 → V24 via single change: single_trade_loss_cap_pct=0.05

    Result: +92.6% (200d), WR 58.0%, Sharpe 3.00, DD -9.0% — return -55.5pp vs V23.
    Also tested cap=0.10 (-33pp) and streak_max=2.0 (-36pp). All failed.
    Root cause: streak sizing amplifies wins AND losses symmetrically.
    Capping losses also caps wins proportionally → unavoidable trade-off.
    V23 HIMS -4.63% loss is a designed -1R at streak×2.4 — not a fixable bug.

    Original hypothesis: streak_sizing_max=2.5 creates structural misalignment where a single -1R trade
    can consume 2.5× daily_max_loss_pct worth of capital (e.g. 2.4× streak → $1,200 loss on
    $10k initial, while daily_max_loss_pct=0.05 intent is $500 max).

    Fix: after all sizing boosts (governor + streak + rolling WR), clamp sizing_capital so
    that risk_per_trade_pct × sizing_capital ≤ single_trade_loss_cap_pct × initial_capital.
    With risk_per_trade_pct=0.05 and cap=0.05: max sizing = $10,000 = initial_capital.

    Example (2026-04-17 HIMS):
      Without cap: streak 2.4× → sizing $24k → risk $1,200 → loss -4.63% of portfolio
      With cap:    sizing clamped to $10k → risk $500 → loss ~-1.92% of portfolio

    Trade-off: streak bonus is capped for loss protection, but also for wins (smaller positions
    on winning streaks). Net effect on WR and return is the test hypothesis.

    Validation:
      V23 200d TRUE BASELINE: +109.32%, WR 58.1%, DD -12.91%, Sharpe 3.01, 160 trades
      Gates (200d): return ≥ +104%, single max loss ≤ $500, 2026-04-17 daily ≤ -2.5%
      Gates (400d): return ≥ +88%, WR ≥ 52%, DD ≤ -24%

strategy_mode: orb

orb_strategy:
  engine_family: gainers_leader
  live_readiness: live_ready

  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: -0.07
  max_simultaneous_entries: 3
  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

  risk_per_trade_pct: 0.05
  max_position_pct: 0.70
  daily_max_loss_pct: 0.05
  max_stops_per_day: 5
  exit_minutes_before_close: 5

  # === CHANGE: cap single-trade loss at 5% of initial_capital (= $500 on $10k) ===
  # Prevents streak boost from amplifying -1R losses beyond daily_max_loss intent.
  single_trade_loss_cap_pct: 0.05

  slippage_bps: 5.0
  initial_capital: 10000

  compound_returns: false
  daily_budget_reset: true
  settlement_days: 1

  drawdown_governor_threshold: 0.025
  drawdown_governor_min_scale: 0.30

  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