You cannot select more than 25 topics
Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
79 lines
1.4 KiB
YAML
79 lines
1.4 KiB
YAML
_meta:
|
|
id: 1
|
|
name: "ORB Default"
|
|
description: "Opening Range Breakout — 5-min ORB, ATR stop, risk-based sizing. Phase 10 optimized."
|
|
|
|
strategy_mode: orb
|
|
|
|
orb_strategy:
|
|
# ORB window
|
|
orb_minutes: 5
|
|
sim_bar_minutes: 5
|
|
|
|
# Entry
|
|
entry_direction: long_only
|
|
order_timeout_minutes: 20
|
|
|
|
# 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: 0.40
|
|
weight_gap: 0.35
|
|
weight_dollar_vol: 0.15
|
|
weight_body_ratio: 0.0
|
|
weight_momentum: 0.0
|
|
|
|
# ATR-based stop management
|
|
atr_stop_multiplier: 1.25
|
|
breakeven_at_r: 1.0
|
|
trailing_at_r: 3.0
|
|
trailing_stop_atr_multiplier: 0.3
|
|
|
|
# Risk-based position sizing
|
|
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: 10
|
|
|
|
# Execution
|
|
slippage_bps: 5.0
|
|
initial_capital: 10000
|
|
ticker_cooldown_days: 2
|
|
|
|
# Cash account settlement
|
|
settlement_days: 1
|
|
|
|
# Gap filter
|
|
max_gap_pct: 0.04
|
|
|
|
# Market regime filter
|
|
market_regime_spy_threshold: null
|
|
min_candidate_breadth: null
|
|
|
|
universe:
|
|
source: midlarge
|
|
|
|
backtest:
|
|
start_date: null
|
|
end_date: null
|
|
lookback_trading_days: 200
|
|
|
|
cache:
|
|
enabled: true
|
|
dir: data/cache/intraday
|
|
|
|
output:
|
|
dir: runs/intraday_orb
|
|
verbose: false
|