_meta:
  id: 37
  name: "VWAP Reclaim V1 High-Gap"
  status: aborted
  aborted_date: "2026-04-21"
  aborted_reason: >
    Orthogonal gap pool (≥4%) reduced trade overlap to 16.5% (passes ≤20%) but daily PnL
    corr=0.394 (fails ≤0.30). Correlation is purely regime-driven — both engines are
    long-momentum triggered by QQQ-positive days. Worst-20% day combined PnL is WORSE than
    V23 standalone (amplifies drawdowns). Baseline +13.82%/WR 48% fails G1 (WR<50%) and G3
    (corr). Phase 3 must use a directionally different approach to break regime correlation.
  description: >
    Diagnostic pass 2: high-gap pool (gap ≥ 4%) + VWAP reclaim entry.

    Problem with same-pool vwap_reclaim_v1: 57% trade overlap with V23 (same stocks, same days).
    Hypothesis: V23 uses max_gap_pct=0.04 (2-4% gap). Gap > 4% stocks are orthogonal by
    construction — V23 never touches them. These higher-gap stocks often exhibit genuine
    price discovery (initial dump then reclaim) rather than immediate continuation.

    Gate: base WR ≥ 45% AND portfolio overlap ≤ 30%.

strategy_mode: orb

orb_strategy:
  engine_family: vwap_reclaim_v1
  live_readiness: research_only

  orb_minutes: 5
  sim_bar_minutes: 5

  entry_direction: long_only
  order_timeout_minutes: 120  # not used for entry, but sets the timeout context

  allow_doji_breakout: true
  allow_red_to_green_breakout: true

  # === Candidate filters identical to V23 (gainers_leader pool) ===
  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: 0.04  # high-gap pool: ≥4% gap (orthogonal to V23's 2-4% range)
  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: null  # no upper cap — allow all high-gap stocks

  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: null  # disabled — VWAP reclaim bar is late-morning, not ORB

  # === Scoring weights identical to V23 ===
  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

  # === Stop / exit parameters (base ATR same as V23) ===
  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

  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

  # === VWAP reclaim window ===
  vwap_reclaim_window_start_min: 30   # 10:00 ET
  vwap_reclaim_window_end_min: 120    # 11:30 ET
  vwap_reclaim_require_prior_dip: false
  vwap_reclaim_min_clearance_pct: 0.0  # no clearance filter — enter on first close above VWAP
  vwap_reclaim_stop_mode: vwap         # structural stop: distance to VWAP floor
  vwap_reclaim_stop_vwap_buffer_pct: 0.002  # stop at VWAP × (1 - 0.2%)

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