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92 lines
2.4 KiB
YAML
92 lines
2.4 KiB
YAML
_meta:
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id: 35
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name: "ORB Gainers V23 Safe v7"
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status: experimental
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parent: orb_gainers_v23_safe_v6
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description: >
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V23 Safe v7 — v6 + risk_per_trade_pct 3%→4%.
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Safe v6 breakthrough (2026-04-21): risk 2%→3% dramatically improved ALL metrics:
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+63.84% return (+27pp vs v4), DD -8.90% (better than v4's -11.01%), WR 57.46%, Sharpe 2.79.
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Counterintuitive: higher risk → better DD%. Cause: larger wins elevate peak equity faster,
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same absolute $ drawdowns = smaller % DD.
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v7 가설: risk 3%→4% 시 수익 추가 향상 (≥+85%) 하면서 DD는 V23(-12.91%) 이하 유지?
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V23 risk=5%일 때 +109.32%이므로, 4%는 중간 지점 탐색.
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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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min_rvol: 1.5
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min_abs_gap_pct: 0.02
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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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min_candidate_breadth: 0.60
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market_regime_spy_threshold: 0.0015
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market_regime_ticker: QQQ
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rolling_loss_days: 7
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rolling_loss_threshold: -0.02
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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: 1.0
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partial_exit_pct: 0.50
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# === KEY CHANGE: 3%→4% per-trade risk ===
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risk_per_trade_pct: 0.04
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max_position_pct: 0.70
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daily_max_loss_pct: 0.02
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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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drawdown_governor_threshold: 0.015
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drawdown_governor_min_scale: 0.50
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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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