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# ORB Rebuild Phase 1 — Core Structure Sweep
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#
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# Post bar_close fix: all stop/peak/R-multiple logic now uses bar close price.
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# Start from strategies/orb_default.yaml and sweep the 3 most impactful parameters.
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#
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# Key question: which bar size + stop distance + direction works best
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# now that stops use realistic close prices (not theoretical stop level)?
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#
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# 5 × 5 × 2 = 50 combinations (단리)
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#
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# Run:
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# python -m apps.intraday_bt.evaluate \
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# --config configs/intraday/strategies/orb_default.yaml \
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# --sweep configs/intraday/sweep_orb_rebuild_p1.yaml \
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# --start 2022-01-01 --split-date 2025-01-01
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#
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# Or quick test (no IS/OOS split):
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# python -m apps.intraday_bt.run \
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# --config configs/intraday/strategies/orb_default.yaml \
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# --sweep configs/intraday/sweep_orb_rebuild_p1.yaml \
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# --start 2022-01-01
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base_config: configs/intraday/strategies/orb_default.yaml
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sweep:
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# Bar size: how often the trader checks price
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# 5min = near-continuous, 120min = check twice per session
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sim_bar_minutes: [5, 15, 30, 60, 120]
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# Stop distance as fraction of ATR(14)
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# With bar_close fix, stop only triggers when close is past stop level
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# Smaller stops = more sensitive, larger = more room to breathe
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atr_stop_multiplier: [0.10, 0.20, 0.30, 0.50, 1.00]
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# Direction: long-only (bullish ORB candle) vs both (long + short)
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entry_direction: [long_only, both]
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# Force simple returns for all combinations
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compound_returns: [false]
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