You cannot select more than 25 topics
Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
91 lines
2.4 KiB
YAML
91 lines
2.4 KiB
YAML
_meta:
|
|
id: 36
|
|
name: "ORB Gainers V23 Safe v8"
|
|
status: experimental
|
|
parent: orb_gainers_v23_safe_v7
|
|
description: >
|
|
V23 Safe v8 — v7 + risk_per_trade_pct 4%→5% (V23 level).
|
|
|
|
Risk sweep trend (2026-04-21):
|
|
2%→+36.78% DD-11.01% SR2.18 / 3%→+63.84% DD-8.90% SR2.79 / 4%→+75.63% DD-8.61% SR3.02
|
|
모든 메트릭이 단조 개선! V23(5% risk)은 +109.32% DD-12.91% SR3.01.
|
|
|
|
v8 가설: V23 risk(5%) + safe mechanisms(partial_exit/rolling_loss-2%/max_sim=2)이 V23보다
|
|
높은 Sharpe와 낮은 DD로 유사한 수익을 낼 수 있는가? (V23에서 aggressive 파라미터만 제거)
|
|
|
|
strategy_mode: orb
|
|
|
|
orb_strategy:
|
|
engine_family: gainers_leader
|
|
live_readiness: experimental
|
|
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_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_candidates: 20
|
|
max_candidates_per_sector: 3
|
|
min_candidates_to_trade: 1
|
|
ticker_cooldown_days: 0
|
|
max_gap_pct: 0.04
|
|
min_candidate_breadth: 0.60
|
|
market_regime_spy_threshold: 0.0015
|
|
market_regime_ticker: QQQ
|
|
rolling_loss_days: 7
|
|
rolling_loss_threshold: -0.02
|
|
max_simultaneous_entries: 2
|
|
min_breakout_rel_vol: 1.2
|
|
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
|
|
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: 1.0
|
|
partial_exit_pct: 0.50
|
|
# === KEY CHANGE: 4%→5% per-trade risk (V23 level) ===
|
|
risk_per_trade_pct: 0.05
|
|
max_position_pct: 0.70
|
|
daily_max_loss_pct: 0.02
|
|
max_stops_per_day: 3
|
|
exit_minutes_before_close: 5
|
|
slippage_bps: 5.0
|
|
initial_capital: 10000
|
|
compound_returns: false
|
|
daily_budget_reset: true
|
|
settlement_days: 1
|
|
drawdown_governor_threshold: 0.015
|
|
drawdown_governor_min_scale: 0.50
|
|
streak_sizing_win_bonus: 0.0
|
|
streak_sizing_max: 1.0
|
|
|
|
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
|
|
verbose: false
|