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117 lines
3.2 KiB
YAML
117 lines
3.2 KiB
YAML
_meta:
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id: 29
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name: "ORB Gainers V23 Safe"
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status: experimental
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parent: orb_gainers_v23
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description: >
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V23 파생 전략 — "안전 투자자" 버전. 수익률을 희생해서 손실을 최소화하는 것이 목표.
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V23 대비 5가지 방향으로 보수화:
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1. 레짐 필터 강화: QQQ 갭 0.15% → 0.30% (더 강한 상승 장세만 진입)
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2. 진입 품질 상향: min_rvol 1.5→2.0, min_candidate_breadth 0.60→0.70
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3. 포지션 크기 축소: risk_per_trade 5%→3%, max_simultaneous 3→2
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4. 손실 governor 강화: rolling_loss -7%→-3%, drawdown_governor 2.5%→1.5%
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5. 일일 손실 컷: daily_max_loss 5%→3%, max_stops_per_day 5→3
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streak_sizing 비활성화 (승리 시 포지션 키우지 않음 — 안전 우선)
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strategy_mode: orb
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orb_strategy:
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engine_family: gainers_leader
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live_readiness: experimental
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orb_minutes: 5
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sim_bar_minutes: 5
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entry_direction: long_only
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order_timeout_minutes: 45
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allow_doji_breakout: true
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allow_red_to_green_breakout: true
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min_price: 10.0
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min_avg_dollar_volume: 25000000
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min_atr_14: 0.50
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min_atr_pct: 0.04
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# === SAFE CHANGE: higher rvol requirement (was 1.5) ===
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min_rvol: 2.0
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# === SAFE CHANGE: slightly higher gap floor (was 0.02) ===
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min_abs_gap_pct: 0.025
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min_premarket_dollar_vol: 1500000
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max_candidates: 20
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max_candidates_per_sector: 3
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min_candidates_to_trade: 1
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ticker_cooldown_days: 0
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max_gap_pct: 0.04
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# === SAFE CHANGE: higher breadth requirement (was 0.60) ===
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min_candidate_breadth: 0.70
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# === SAFE CHANGE: stronger QQQ regime required (was 0.0015 = 0.15%) ===
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market_regime_spy_threshold: 0.003
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market_regime_ticker: QQQ
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rolling_loss_days: 7
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# === SAFE CHANGE: stop much sooner on bad streaks (was -0.07) ===
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rolling_loss_threshold: -0.03
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# === SAFE CHANGE: max 2 simultaneous positions (was 3) ===
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max_simultaneous_entries: 2
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min_breakout_rel_vol: 1.2
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weight_rvol: 0.35
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weight_gap: 0.20
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weight_dollar_vol: 0.05
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weight_premarket_dollar_vol: 0.25
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weight_body_ratio: 0.0
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weight_momentum: 0.15
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atr_stop_multiplier: 0.75
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breakeven_at_r: 1.0
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trailing_at_r: 1.0
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trailing_stop_atr_multiplier: 0.8
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trailing_tighten_at_r: 2.0
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trailing_stop_atr_multiplier_tight: 0.3
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partial_exit_at_r: 99.0
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partial_exit_pct: 0.50
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# === SAFE CHANGE: smaller position risk (was 0.05) ===
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risk_per_trade_pct: 0.03
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max_position_pct: 0.70
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# === SAFE CHANGE: cut daily losses sooner (was 0.05) ===
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daily_max_loss_pct: 0.03
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# === SAFE CHANGE: stop the day after 3 stops (was 5) ===
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max_stops_per_day: 3
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exit_minutes_before_close: 5
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slippage_bps: 5.0
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initial_capital: 10000
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compound_returns: false
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daily_budget_reset: true
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settlement_days: 1
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# === SAFE CHANGE: tighter portfolio DD governor (was 0.025) ===
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drawdown_governor_threshold: 0.015
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drawdown_governor_min_scale: 0.30
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# === SAFE CHANGE: no streak sizing boost (was bonus=0.70, max=2.5) ===
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streak_sizing_win_bonus: 0.0
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streak_sizing_max: 1.0
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universe:
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source: midlarge
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backtest:
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start_date: null
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end_date: null
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lookback_trading_days: 200
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cache:
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enabled: true
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dir: data/cache/intraday
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output:
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dir: runs/intraday_orb
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verbose: false
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