|
|
_meta:
|
|
|
id: 30
|
|
|
name: "ORB × Leader Momentum Hybrid V2"
|
|
|
description: >
|
|
|
V1 버그 수정 버전. V23 파라미터 정렬(max_position_pct 0.70, max_total_deployment_pct
|
|
|
2.10, max_candidates_per_sector 3). Dual-trigger(ORB + 09:45 momo confirm) +
|
|
|
Leader overlay(5d ≥ +15%) 유지.
|
|
|
Parents: orb_gainers_v23 + leader_intraday_momentum_high_wr_intraday_first.
|
|
|
*** ACTUAL 200d result (2026-04-21 retest): +85.68%, WR 60%, DD -11.56%, Sharpe 2.67 ***
|
|
|
(Stale description claimed +116.34% — was from old pipeline/data. V23 TRUE baseline is
|
|
|
+109.32%. Hybrid V2 is WORSE than V23 by 23.64pp. REJECTED. status: research_only.)
|
|
|
Note: confounded by permissive risk params (max_sim=5, daily_max_loss=5%); dual-trigger
|
|
|
did not compensate. V23 remains definitive champion.
|
|
|
|
|
|
strategy_mode: orb
|
|
|
|
|
|
orb_strategy:
|
|
|
engine_family: gainers_leader
|
|
|
live_readiness: research_only
|
|
|
|
|
|
# ── Dual-trigger ──
|
|
|
dual_trigger_enabled: true
|
|
|
momo_entry_minutes_after_open: 10
|
|
|
momo_confirmation_minutes_after_entry: 5
|
|
|
momo_confirm_window_minutes: 55
|
|
|
momo_min_confirmation_return_pct: 0.005
|
|
|
momo_min_morning_gain_pct: 0.015
|
|
|
momo_max_morning_gain_pct: 0.06
|
|
|
|
|
|
# ── ORB trigger (V23) ──
|
|
|
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_breakout_rel_vol: 1.2
|
|
|
|
|
|
# ── Universe / quality (V23) ──
|
|
|
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_gap_pct: 0.04
|
|
|
max_candidates: 20
|
|
|
max_candidates_per_sector: 3
|
|
|
min_candidates_to_trade: 1
|
|
|
ticker_cooldown_days: 0
|
|
|
|
|
|
# ── Candidate overlays ──
|
|
|
candidate_seed_leader_overlay_slots: 1
|
|
|
candidate_seed_leader_min_gap_pct: -0.025
|
|
|
candidate_seed_leader_max_gap_pct: 0.01
|
|
|
candidate_seed_leader_min_avg_dollar_vol_30d: 500000000.0
|
|
|
candidate_seed_leader_min_ret_5d: 0.15
|
|
|
candidate_seed_leader_min_atr_pct: 0.06
|
|
|
candidate_seed_leader_max_entropy_20d: 0.75
|
|
|
candidate_seed_liquid_overlay_slots: 3
|
|
|
candidate_seed_liquid_min_gap_pct: 0.005
|
|
|
candidate_seed_liquid_max_gap_pct: 0.025
|
|
|
candidate_seed_liquid_min_avg_dollar_vol_30d: 5000000000.0
|
|
|
candidate_seed_liquid_min_ret_5d: 0.0
|
|
|
candidate_seed_liquid_max_entropy_20d: 0.87
|
|
|
|
|
|
# ── Ranking weights (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
|
|
|
|
|
|
# ── Exit discipline (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
|
|
|
exit_minutes_before_close: 5
|
|
|
|
|
|
# ── Portfolio / risk ──
|
|
|
max_simultaneous_entries: 5
|
|
|
risk_per_trade_pct: 0.05
|
|
|
max_position_pct: 0.70
|
|
|
max_total_deployment_pct: 2.10
|
|
|
daily_max_loss_pct: 0.05
|
|
|
max_stops_per_day: 5
|
|
|
slippage_bps: 5.0
|
|
|
initial_capital: 10000
|
|
|
compound_returns: false
|
|
|
daily_budget_reset: true
|
|
|
settlement_days: 1
|
|
|
|
|
|
# ── Regime gates ──
|
|
|
market_regime_spy_threshold: 0.0015
|
|
|
market_regime_ticker: QQQ
|
|
|
min_candidate_breadth: 0.60
|
|
|
rolling_loss_days: 7
|
|
|
rolling_loss_threshold: -0.07
|
|
|
max_vix: 30.0
|
|
|
|
|
|
# ── Drawdown governor / streak (V23) ──
|
|
|
drawdown_governor_threshold: 0.025
|
|
|
drawdown_governor_min_scale: 0.30
|
|
|
streak_sizing_win_bonus: 0.70
|
|
|
streak_sizing_max: 2.5
|
|
|
|
|
|
# ── Entropy size scaler (disabled — V1 버그 수정) ──
|
|
|
entropy_size_scale_low: null
|
|
|
entropy_size_scale_high: null
|
|
|
entropy_size_scale_min: 0.6
|
|
|
max_entropy: 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_hybrid
|
|
|
verbose: false
|