# ORB (Opening Range Breakout) Strategy — Default Configuration
# Strategy: Buy breakout of first 5-min candle high (bullish candles only).
# Uses ATR-based stops, risk-based position sizing, 15:55 ET time exit.
# Based on ORB academic research adapted for available data infrastructure.

strategy_mode: orb

orb_strategy:
  # ORB window
  orb_minutes: 5                   # 9:30–9:35 ET opening range
  sim_bar_minutes: 30              # 30-min bars for breakout/stop management (ORB candle stays 5-min)

  # Entry
  entry_direction: long_only       # bullish candle only (V1; 'candle' for both directions)
  order_timeout_minutes: 45        # cancel if no fill by 10:15 ET

  # Universe quality filters (applied during pre-screening)
  min_price: 10.0                  # $10+ stocks only
  min_avg_dollar_volume: 25000000  # $25M 30-day avg daily dollar volume
  min_atr_14: 0.50                 # ATR(14) > $0.50 (sufficient range to trade)

  # RVOL-based candidate selection
  min_rvol: 1.0                    # minimum approx RVOL at open (see note in features.py)
  max_candidates: 20               # top N candidates per day
  min_candidates_to_trade: 3       # skip day if fewer qualify

  # Composite ranking weights (must sum to 1.0)
  weight_rvol: 0.60                # relative volume (main signal)
  weight_gap: 0.25                 # gap% (proxy for premarket activity)
  weight_dollar_vol: 0.15          # first-bar dollar volume

  # ATR-based stop management
  atr_stop_multiplier: 0.50        # initial stop = ATR(14) × 50% from entry
  breakeven_at_r: 1.0              # move stop to entry at +1R
  trailing_at_r: 2.0               # activate trailing stop (3-bar swing low) at +2R

  # Risk-based position sizing
  risk_per_trade_pct: 0.0025       # 0.25% of equity per trade
  max_position_pct: 0.20           # cap at 20% of equity per position
  daily_max_loss_pct: 0.0125       # stop trading at -1.25% daily loss
  max_stops_per_day: 3             # stop trading after 3 full-R stops

  # Exit
  exit_minutes_before_close: 5    # time exit at 15:55 ET

  # Execution
  slippage_bps: 5.0                # 0.05% one-way slippage (both entry and exit)
  initial_capital: 10000           # $10,000 starting capital
  ticker_cooldown_days: 0          # no cooldown (ORB trades daily runners)

  # Cash account GFV (Good Faith Violation) constraint
  # Unsettled proceeds can buy but not same-day sell → ORB always exits same day
  # → only settled cash is usable. 0=disabled, 1=T+1 (US since May 2024), 2=T+2
  settlement_days: 1

  # Max opening gap filter: exclude stocks that gapped up more than this at open.
  # Stocks with large gaps are over-extended and show low breakout continuation rate.
  # Sweep result: 3% >> 5% >> 10% in Sharpe (5.59 vs 4.50 vs 3.74).
  max_gap_pct: 0.03

  # Market regime: skip days when index gaps down > threshold at open
  # Sweep result: SPY -0.5% filter hurts absolute return with minimal Sharpe gain.
  # Individual ORB candidates can surge even on weak-SPY days (e.g. sector rotation).
  market_regime_spy_threshold: null     # disabled — breadth filter below is superior

  # Candidate breadth filter: skip day if <N% of candidates opened above prev close.
  # Sweep: Breadth≥30% → Sharpe 19.86 but return +520% vs +676% with no filter.
  # Existing per-trade risk controls (ATR stop, daily loss limit) are sufficient.
  min_candidate_breadth: null

universe:
  source: midlarge                 # 971-ticker mid+large cap universe
  min_price: 10.0                  # redundant with orb_strategy.min_price but explicit

backtest:
  start_date: null                 # null = auto (today - lookback_trading_days)
  end_date: null
  lookback_trading_days: 200       # ~10 months
  pre_screen_threshold: 0.01       # not used by ORB mode (kept for config compatibility)

cache:
  enabled: true
  dir: data/cache/intraday

output:
  dir: runs/intraday_orb
  verbose: false