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# ORB Phase 7 — Market Regime Filter + Ticker Cooldown
#
# Tests whether filtering on SPY daily performance improves OOS:
# - Skip trading on days when SPY opens below threshold (bear regime)
# - Avoids breakout failures on broad market down days
#
# Also tests ticker cooldown to prevent chasing same stocks repeatedly.
#
# 4 ×
#
# IMPORTANT: Update base_config to Phase 6 winner before running!
#
# Run:
# python -m apps.intraday_bt.evaluate \
# --config configs/intraday/orb_p6_winner.yaml \
# --sweep configs/intraday/sweep_orb_p7_regime.yaml \
# --start 2022-01-01 --split-date 2025-01-01 \
# --top-n 12 --oos-sort \
# --output runs/intraday_orb/phase7_eval.json
base_config : configs/intraday/orb_p6_winner.yaml
sweep :
# SPY threshold: skip trading days when SPY open is X% below prior close
# null = no filter (all days); -0.005 = skip when SPY opens -0.5% or worse
market_regime_spy_threshold : [ null , -0.003 , -0.005 , -0.010 ]
# Ticker cooldown: avoid re-trading same stock within N days
ticker_cooldown_days : [ 0 , 1 , 2 ]
compound_returns : [ false ]