fithia2/configs/intraday/orb_5min.yaml

# ORB Strategy — 5-min bars (highest backtest Sharpe but less realistic execution)
# Identical to orb_default except sim_bar_minutes: 5 (raw 5-min bars for breakout/stops)

strategy_mode: orb

orb_strategy:
  # ORB window
  orb_minutes: 5                   # 9:30–9:35 ET opening range
  sim_bar_minutes: 5               # 5-min bars (raw, no aggregation)

  # Entry
  entry_direction: long_only
  order_timeout_minutes: 45

  # Universe quality filters
  min_price: 10.0
  min_avg_dollar_volume: 25000000
  min_atr_14: 0.50

  # RVOL-based candidate selection
  min_rvol: 1.0
  max_candidates: 20
  min_candidates_to_trade: 3

  # Composite ranking weights
  weight_rvol: 0.60
  weight_gap: 0.25
  weight_dollar_vol: 0.15

  # ATR-based stop management
  atr_stop_multiplier: 0.50
  breakeven_at_r: 1.0
  trailing_at_r: 2.0

  # Risk-based position sizing (conservative)
  risk_per_trade_pct: 0.0025
  max_position_pct: 0.20
  daily_max_loss_pct: 0.0125
  max_stops_per_day: 3

  # Exit
  exit_minutes_before_close: 5

  # Execution
  slippage_bps: 5.0
  initial_capital: 10000
  ticker_cooldown_days: 0

  # Cash account GFV constraint
  settlement_days: 1

  # Max opening gap filter
  max_gap_pct: 0.03

  # Market regime — ETF gap filter disabled
  market_regime_spy_threshold: null
  min_candidate_breadth: null

universe:
  source: midlarge
  min_price: 10.0

backtest:
  start_date: null
  end_date: null
  lookback_trading_days: 200
  pre_screen_threshold: 0.01

cache:
  enabled: true
  dir: data/cache/intraday

output:
  dir: runs/intraday_orb
  verbose: false