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44 lines
937 B
YAML
44 lines
937 B
YAML
strategy_mode: orb
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orb_strategy:
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orb_minutes: 10
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sim_bar_minutes: 30
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entry_direction: long_only
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order_timeout_minutes: 30
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min_price: 10.0
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min_avg_dollar_volume: 25000000
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min_atr_14: 0.5
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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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weight_rvol: 0.6
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weight_gap: 0.25
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weight_dollar_vol: 0.15
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atr_stop_multiplier: 0.5
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breakeven_at_r: 2.0
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trailing_at_r: 3.0
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risk_per_trade_pct: 0.0025
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max_position_pct: 0.2
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daily_max_loss_pct: 0.0125
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max_stops_per_day: 3
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exit_minutes_before_close: 5
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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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settlement_days: 1
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max_gap_pct: 0.02
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market_regime_spy_threshold: -0.005
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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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