fithia2/configs/intraday/sweep_orb_p5_momentum.yaml

# ORB Phase 5 Alternative — Momentum Signal Weight
#
# Tests whether adding 5-day prior return as a ranking signal improves OOS Sharpe.
# weight_momentum=0 by default (inactive). Positive momentum in breakout direction
# may indicate stronger continuation.
#
# Combined with Phase 4 winner weights, only sweeps momentum signal.
# 5 combinations × all OOS eval
#
# IMPORTANT: Update base_config to Phase 4 winner before running!
#
# Run:
#   python -m apps.intraday_bt.evaluate \
#     --config configs/intraday/orb_p4_winner.yaml \
#     --sweep configs/intraday/sweep_orb_p5_momentum.yaml \
#     --start 2022-01-01 --split-date 2025-01-01 \
#     --top-n 5 --oos-sort \
#     --output runs/intraday_orb/phase5_momentum.json

base_config: configs/intraday/orb_p4_winner.yaml

sweep:
  # 5-day prior return aligned with breakout direction
  weight_momentum: [0.0, 0.10, 0.20, 0.30, 0.50]
  compound_returns: [false]