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108 lines
3.6 KiB
YAML
108 lines
3.6 KiB
YAML
_meta:
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id: 37
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name: "ORB Gainers V23 Safe v9"
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status: validated_200d_only
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parent: orb_gainers_v23_safe_v8
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description: >
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V23 Safe v9 — v8 + streak_sizing_win_bonus: 0.70 (V23 level streak sizing).
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VALIDATED champion of the Safe family on 200d window ONLY (2026-04-21).
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주의: 400d에서는 V23이 모든 지표에서 완전히 우월 — +146% vs +101%, DD -13.7% vs -17.2%.
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v9는 200d 단기 보수적 대안으로만 유효. 실전 배포 기준은 V23.
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Safe v8 결과: +82.36%, DD -7.72%, Sharpe 3.14 — V23 Sharpe(3.01)보다 높고 DD는 5pp 낮음.
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단, 수익은 V23(+109.32%)보다 27pp 낮음. 차이 원인: V23의 streak sizing(win_bonus=0.70).
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V23에서 streak_sizing은 핵심 수익 증폭기 (V19→V21 승진에 기여).
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v9 가설: v8 safe mechanisms(partial_exit + rolling_loss-2% + max_sim=2) + V23의
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streak_sizing(0.70) = +100%+ 수익 AND DD < V23 -12.91%?
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200d 결과 (2025-07-03→2026-04-20): +101.25%, DD -7.62%, WR 58.06%, Sharpe 3.34
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worst_day -$324, trade_days 46/200, 124 trades.
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400d 결과 (2024-09-13→2026-04-20): +101.01%, DD -17.20%, WR 57.08%, Sharpe 1.99
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profit_factor 1.77, worst_day -6.11%, 226 trades, 93 trade days.
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400d gate: DD -17.20% ≤ -18% ✓ AND return +101% ≥ +90% ✓ → PROMOTED.
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V23 대비 (200d): DD -5.29pp 개선 (-7.62% vs -12.91%); Sharpe +0.33 우위;
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수익은 -8pp 낮음 (-101.25% vs +109.32%).
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*** 2026-04-21 UPDATE: V23 TRUE 400d result confirmed with correct pipeline ***
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V23 400d TRUE: +146.09%, DD -13.66%, Sharpe 2.33 (vs v9: +101.01%, DD -17.20%, Sharpe 1.99)
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V23 STRICTLY DOMINATES Safe v9 on 400d in return (+45pp), DD (+3.5pp better), and Sharpe.
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"Risk-adjusted superior" claim is ONLY valid on 200d window. On 400d, V23 is also safer.
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V23 is the absolute champion. v9 remains valid as 200d conservative alternative only.
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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: 0.05
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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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# === KEY CHANGE: enable streak sizing (V23 level) ===
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streak_sizing_win_bonus: 0.70
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streak_sizing_max: 2.5
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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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