# ORB Phase 2 Winner — Stop Management
#
# Phase 2 sweep (60 combos, IS 2022-2024 / OOS 2025-present):
#   Best OOS Sharpe: 1.56 (breakeven=1.0, trailing_at=2.0, trailing_atr=0.3)
#   OOS return: +27.1%, OOS max DD: -8.8%, OOS trades: 3533, OOS WR: 50.6%
#
# Note: Phase 2 showed minimal differentiation (~0.01 Sharpe spread across 60 combos,
# identical trade counts). Entry selection dominates exit management — Phase 3 focus.
#
# Parameters fixed here vs orb_p1_winner.yaml:
#   breakeven_at_r: 1.0 (confirmed — 0.5 cuts winners too early)
#   trailing_at_r: 2.0 (unchanged — all top 10 converged here)
#   trailing_stop_atr_multiplier: 0.3 (slightly better than swing-low mode)

strategy_mode: orb

orb_strategy:
  # ORB window
  orb_minutes: 5
  sim_bar_minutes: 5               # Phase 1 winner

  # Entry
  entry_direction: long_only       # Phase 1 winner
  order_timeout_minutes: 45        # Phase 3 will sweep this

  # Universe quality filters
  min_price: 10.0
  min_avg_dollar_volume: 25000000
  min_atr_14: 0.50

  # RVOL-based candidate selection
  min_rvol: 1.0                    # Phase 3 will sweep this
  max_candidates: 20               # Phase 3 will sweep this
  min_candidates_to_trade: 3

  # Composite ranking weights
  weight_rvol: 0.60
  weight_gap: 0.25
  weight_dollar_vol: 0.15

  # ATR-based stop management (Phase 1+2 winner values)
  atr_stop_multiplier: 1.00        # Phase 1 winner
  breakeven_at_r: 1.0              # Phase 2 winner
  trailing_at_r: 2.0               # Phase 2 winner
  trailing_stop_atr_multiplier: 0.3  # Phase 2 winner

  # Risk-based position sizing
  risk_per_trade_pct: 0.0025
  max_position_pct: 0.20
  daily_max_loss_pct: 0.0125       # Phase 3 will sweep this
  max_stops_per_day: 3             # Phase 3 will sweep this

  # Exit
  exit_minutes_before_close: 5

  # Execution
  slippage_bps: 5.0
  initial_capital: 10000
  ticker_cooldown_days: 0

  # Cash account settlement
  settlement_days: 1

  # Gap filter
  max_gap_pct: 0.03                # Phase 3 will sweep this

  # Market regime filters (disabled)
  market_regime_spy_threshold: null
  min_candidate_breadth: null

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