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94 lines
2.3 KiB
YAML
94 lines
2.3 KiB
YAML
_meta:
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id: 32
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name: "ORB Gainers V23 Safe v4"
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status: validated
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parent: orb_gainers_v23_safe_v2
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description: >
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V23 Safe v4 — v2 + rolling_loss_days 5→7.
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v2 max DD 원인: Nov 21 손실 후 rolling window 5일 만료로 Dec 2에 재진입 허용.
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7일 window로 Nov 손실이 Dec 2까지 기억됨 → Dec 재진입 방지.
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200d 검증 결과 (2025-07-03 → 2026-04-20):
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- 수익: +36.78% (v2 +36.67% 대비 +0.11pp)
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- Max DD: -11.01% (v2 -11.54% 대비 개선)
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- Win Rate: 56.77%
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- Sharpe: 2.18 (v2 2.24 대비 미소 하락)
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- 최악의 하루: -$339 (v2 -$344 대비)
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- 거래일: 48/200, 거래: 155건
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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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risk_per_trade_pct: 0.02
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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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