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92 lines
2.4 KiB
YAML
92 lines
2.4 KiB
YAML
# ORB Phase 8 Winner — Bar Size Confirmation
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#
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# Phase 8a (15 combos): 30/60/90m bars produced 0 trades due to
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# order_timeout_minutes=20 < sim_bar_minutes → order expires before first bar close.
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#
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# Phase 8b (8 combos, timeout=120): larger bars WORSE, not better:
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# sim=5m: OOS 1.84 (best)
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# sim=30m: OOS -3.26 (catastrophic)
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# sim=60m: OOS -4.92
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# sim=90m: OOS -6.06
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#
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# Root cause: atr_stop=1.25 (wide) + trailing_at_r=2.0 (tight) is incompatible
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# with large bars. Trailing stop only updates at bar close — within a 30m bar,
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# large reversals aren't caught. Original ORB worked with atr=0.30 (tight stop).
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#
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# Conclusion: sim_bar_minutes=5 is optimal for this strategy configuration.
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# No parameter changes vs orb_p7_winner.yaml.
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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 8 confirmed: 5m optimal for atr=1.25
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# Entry
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entry_direction: long_only
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order_timeout_minutes: 20 # Phase 3 winner
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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: 0.40 # Phase 4 winner
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weight_gap: 0.35 # Phase 4 winner
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weight_dollar_vol: 0.15
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weight_body_ratio: 0.0 # Phase 4 confirmed
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weight_momentum: 0.0 # Phase 5 confirmed
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# ATR-based stop management
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atr_stop_multiplier: 1.25 # Phase 6 winner
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breakeven_at_r: 1.0 # Phase 2 winner (Phase 9 will fine-tune)
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trailing_at_r: 2.0 # Phase 2 winner (Phase 9 will fine-tune)
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trailing_stop_atr_multiplier: 0.3
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# Risk-based position sizing
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risk_per_trade_pct: 0.0025 # Phase 4 confirmed
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max_position_pct: 0.20
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daily_max_loss_pct: 0.0125
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max_stops_per_day: 3
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# Exit
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exit_minutes_before_close: 10 # Phase 6 winner
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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: 2 # Phase 7 winner
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# Cash account settlement
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settlement_days: 1
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# Gap filter
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max_gap_pct: 0.04 # Phase 6 winner
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# Market regime filter
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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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