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# ORB v62 Sweep — Stop distance fix for compound_returns=True
#
# Problem: v61 uses atr_stop_multiplier=0.01 → stop≈$0.02 per trade
# 5bps slippage on $50 stock = $0.025/side → slippage > stop → unrealistic
# With compound_returns=True over 1,000 days: 1.027^1000 ≈ 3.8 trillion%
#
# Fix: Find realistic atr_stop_multiplier where stop >> slippage
# Benchmark: 5bps × ×
# Typical ATR for mid-large cap: ~$1.50–
# multiplier=0.05 → stop≈$0.09 (1.8×
# multiplier=0.10 → stop≈$0.18 (3.6×
# multiplier=0.20 → stop≈$0.36 (7×
# multiplier=0.30 → stop≈$0.54 (10×
# multiplier=0.50 → stop≈$0.90 (18×
#
# compound_returns=True is fixed across all 5 combinations.
# 5 ×
#
# Run: python -m apps.intraday_bt.run --config configs/intraday/strategies/orb_v61_trail01.yaml \
# --sweep configs/intraday/sweep_orb_v62_stop.yaml --start 2022-01-01
base_config : configs/intraday/strategies/orb_v61_trail01.yaml
sweep :
# Realistic stop distances: stop must exceed 2-way slippage ($0.05)
atr_stop_multiplier : [ 0.05 , 0.10 , 0.20 , 0.30 , 0.50 ]
# Force compound returns (this is what caused the 3.8T% result with v61's 0.01)
compound_returns : [ true ]