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76 lines
1.4 KiB
YAML
76 lines
1.4 KiB
YAML
# ORB Strategy — 5-min bars, Aggressive sizing
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# Same signals as orb_5min but 8x position sizing (2% risk, 60% cap)
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strategy_mode: orb
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orb_strategy:
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# ORB window
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orb_minutes: 5
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sim_bar_minutes: 5 # 5-min bars (raw, no aggregation)
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# Entry
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entry_direction: long_only
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order_timeout_minutes: 45
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# Universe quality filters
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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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# RVOL-based candidate selection
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min_rvol: 1.0
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max_candidates: 20
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min_candidates_to_trade: 3
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# Composite ranking weights
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weight_rvol: 0.60
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weight_gap: 0.25
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weight_dollar_vol: 0.15
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# ATR-based stop management
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atr_stop_multiplier: 0.50
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breakeven_at_r: 1.0
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trailing_at_r: 2.0
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# AGGRESSIVE position sizing — 8x conservative
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risk_per_trade_pct: 0.02
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max_position_pct: 0.60
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daily_max_loss_pct: 0.06
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max_stops_per_day: 5
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# Exit
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exit_minutes_before_close: 5
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# Execution
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slippage_bps: 5.0
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initial_capital: 10000
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ticker_cooldown_days: 0
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# Cash account GFV constraint
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settlement_days: 1
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# Max opening gap filter
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max_gap_pct: 0.03
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# Market regime — ETF gap filter disabled
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market_regime_spy_threshold: null
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min_candidate_breadth: null
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universe:
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source: midlarge
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min_price: 10.0
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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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pre_screen_threshold: 0.01
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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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