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95 lines
2.6 KiB
YAML
95 lines
2.6 KiB
YAML
# ORB Phase 9 Winner — Stop Management Fine-Tune
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#
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# Phase 9 sweep (20 combos, IS 2022-2024 / OOS 2025-present):
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# Best OOS Sharpe: 2.119 (breakeven_at_r=1.0, trailing_at_r=3.0)
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# OOS return: +23.8%, OOS max DD: -3.86%, OOS trades: 2669, OOS WR: 52.3%
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#
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# Key findings:
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# trailing=3.0R: avg 2.068 (BEST) — gives trades more room to run
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# trailing=5.0R: avg 2.028
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# trailing=2.0R: avg 2.013 (was default)
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# trailing=0.0R: avg 1.485 (catastrophic — no trailing = no profit lock)
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#
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# breakeven=1.0R: avg 1.931 (BEST) — protect against reversal after first R gain
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# breakeven=0.0R: avg 1.837 (worst — no protection)
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#
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# Mechanism: ticker_cooldown=2 makes each trade precious → wider trailing (3R)
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# lets winners run before locking profits. BE=1.0 guards against reversals.
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#
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# Parameters changed vs orb_p8_winner.yaml:
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# trailing_at_r: 3.0 (was 2.0 — wider trailing to let trades run)
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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 optimal
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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 — Phase 9 winners
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atr_stop_multiplier: 1.25 # Phase 6 winner
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breakeven_at_r: 1.0 # Phase 9 confirmed (was already optimal)
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trailing_at_r: 3.0 # Phase 9 winner (was 2.0)
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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 (no effect — Phase 7)
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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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