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124 lines
3.6 KiB
YAML
124 lines
3.6 KiB
YAML
_meta:
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id: 36
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name: "VWAP Reclaim V1"
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status: aborted
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aborted_date: "2026-04-21"
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aborted_reason: >
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Same gainers pool as V23 → 57.3% trade overlap (fails ≤20% gate). Orthogonal high-gap
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variant (id:37) reduced overlap to 16.5% but daily PnL corr=0.394 (fails ≤0.30 gate).
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Root cause: correlation is regime-driven (both long-momentum, both triggered by same
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QQQ-positive days) — not fixable by any stock-selection filter. VWAP stop mode broke
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position sizing (entry ≈ VWAP → stop_distance ≈ 0 → overleverage → WR 16%). Baseline
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+13.82%/WR 48% does not beat V23 (+95.67%/WR 58%). Not a valid diversifier.
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description: >
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Phase 2 / diagnostic pass: V23's gainers_leader candidate pool + minimal VWAP reclaim entry.
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Engine: vwap_reclaim_v1 — same pre-market candidates as V23, but instead of entering
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on the 9:30-9:35 ORB breakout, scans from 10:00 ET (30 min from open) for the first
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bar that closes above the running session VWAP.
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Hypothesis: catalyst stocks spend the first 20-30 min in price discovery.
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A VWAP close-above in the 10:00-11:30 window signals committed direction.
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Diagnostic purpose: determine if V23's candidate pool structurally supports
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a late-morning entry (vs. negative selection like orb_pullback_v1 showed).
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Gate: base WR ≥ 45% (vs. pullback's 25.6%). If fails → wrong pool.
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This config uses zero quality gates (no tightness, no base, no vol filter) —
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purely "first bar closing above VWAP in [10:00, 11:30]".
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strategy_mode: orb
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orb_strategy:
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engine_family: vwap_reclaim_v1
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live_readiness: research_only
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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: 120 # not used for entry, but sets the timeout context
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allow_doji_breakout: true
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allow_red_to_green_breakout: true
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# === Candidate filters identical to V23 (gainers_leader pool) ===
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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: -0.07
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max_simultaneous_entries: 3
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min_breakout_rel_vol: null # disabled — VWAP reclaim bar is late-morning, not ORB
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# === Scoring weights identical to V23 ===
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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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# === Stop / exit parameters (base ATR same as V23) ===
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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: 99.0
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partial_exit_pct: 0.50
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risk_per_trade_pct: 0.05
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max_position_pct: 0.70
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daily_max_loss_pct: 0.05
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max_stops_per_day: 5
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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: 0.025
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drawdown_governor_min_scale: 0.30
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streak_sizing_win_bonus: 0.70
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streak_sizing_max: 2.5
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# === VWAP reclaim window ===
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vwap_reclaim_window_start_min: 30 # 10:00 ET
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vwap_reclaim_window_end_min: 120 # 11:30 ET
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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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