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# ORB Phase 3b — Focused sweep: max_gap ×
#
# Phase 3 showed ranking by IS Sharpe buried best OOS combos.
# Phase 3 top-9 (IS +6.6%, OOS +23.1%) are WORSE OOS than Phase 2
# winner (OOS +27.1%). Need OOS-sorted evaluation.
#
# Strategy: fix all Phase 3 winners except max_gap & timeout,
# run top-N=all so every combo gets OOS validated, then sort by OOS.
#
# 4 ×
#
# Run:
# python -m apps.intraday_bt.evaluate \
# --config configs/intraday/orb_p2_winner.yaml \
# --sweep configs/intraday/sweep_orb_p3b_maxgap_timeout.yaml \
# --start 2022-01-01 --split-date 2025-01-01 \
# --top-n 20 \
# --output runs/intraday_orb/phase3b_eval.json
base_config : configs/intraday/orb_p2_winner.yaml
sweep :
# Fixed at Phase 3 winner values (these don't affect results meaningfully)
max_candidates : [ 20 ]
min_rvol : [ 1.0 ]
max_stops_per_day : [ 3 ]
daily_max_loss_pct : [ 0.0125 ]
compound_returns : [ false ]
# Key dimensions: gap filter vs none, and entry timeout
max_gap_pct : [ 0.03 , 0.05 , 0.10 , null ]
order_timeout_minutes : [ 20 , 30 , 45 , 60 , 90 ]