# ORB Rebuild Phase 3 — Universe, Risk & Filters
#
# After Phase 2 determines best stop management, update base_config
# to the Phase 2 winner, then sweep universe/risk parameters.
#
# 3 × 3 × 3 × 3 × 3 × 2 = 486 combinations (단리)
#
# IMPORTANT: Update base_config to Phase 2 winner before running!
#
# Run:
#   python -m apps.intraday_bt.evaluate \
#     --config configs/intraday/strategies/orb_rebuild_p2_winner.yaml \
#     --sweep configs/intraday/sweep_orb_rebuild_p3.yaml \
#     --start 2022-01-01 --split-date 2025-01-01

base_config: configs/intraday/orb_p2_winner.yaml  # Phase 2 winner: breakeven=1.0, trailing=2.0, trailing_atr=0.3

sweep:
  # Candidates per day: fewer = higher quality, more = broader coverage
  max_candidates: [20, 30, 50]

  # Minimum RVOL: higher = stronger volume signal, fewer candidates
  min_rvol: [0.5, 1.0, 2.0]

  # Order timeout: how long to wait for breakout fill
  order_timeout_minutes: [20, 45, 90]

  # Daily risk limits
  max_stops_per_day: [3, 10, 20]
  daily_max_loss_pct: [0.0125, 0.02, 0.05]

  # Max opening gap filter
  max_gap_pct: [0.03, 0.10, null]

  compound_returns: [false]