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89 lines
2.5 KiB
YAML
89 lines
2.5 KiB
YAML
# ORB Phase 3 Winner — Universe Filters & Entry Timeout
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#
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# Phase 3b sweep (20 combos, IS 2022-2024 / OOS 2025-present):
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# Best OOS Sharpe: 1.663 (max_gap=0.05, order_timeout=20)
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# OOS return: +29.0%, OOS max DD: -8.54%, OOS trades: 3447, OOS WR: 51.3%
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#
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# vs Phase 2 winner (max_gap=0.03, timeout=45):
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# OOS Sharpe: 1.562, OOS return: +27.1%, OOS DD: -8.80%
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# Improvement: +0.10 Sharpe (+6.5%), +1.9pp return, -0.26pp DD
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#
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# Key insight: max_gap=0.05 is the sweet spot (0.03 too tight, 0.10/null too loose).
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# Note: IS Sharpe is slightly positive (0.067) vs Phase 2's -0.157 — better regime fit.
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#
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# Parameters changed vs orb_p2_winner.yaml:
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# max_gap_pct: 0.05 (was 0.03 — broader gap filter admits better momentum candidates)
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# order_timeout_minutes: 20 (was 45 — tighter timeout, fewer stale entries)
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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 # Phase 1 winner
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# Entry
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entry_direction: long_only # Phase 1 winner
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order_timeout_minutes: 20 # Phase 3 winner (was 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 # Phase 3 confirmed
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max_candidates: 20 # Phase 3 confirmed
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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 (Phase 1+2 winner values)
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atr_stop_multiplier: 1.00 # Phase 1 winner
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breakeven_at_r: 1.0 # Phase 2 winner
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trailing_at_r: 2.0 # Phase 2 winner
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trailing_stop_atr_multiplier: 0.3 # Phase 2 winner
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# Risk-based position sizing
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risk_per_trade_pct: 0.0025
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max_position_pct: 0.20
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daily_max_loss_pct: 0.0125 # Phase 3 confirmed (limit rarely binding)
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max_stops_per_day: 3 # Phase 3 confirmed (limit rarely binding)
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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 settlement
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settlement_days: 1
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# Gap filter — Phase 3 winner
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max_gap_pct: 0.05 # Phase 3 winner (was 0.03)
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# Market regime filters (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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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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