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.
26 lines
948 B
YAML
26 lines
948 B
YAML
# ORB Phase 5 — Walk-Forward Robustness Validation
|
|
#
|
|
# After Phases 1-4 identify optimal parameters, walk-forward confirms
|
|
# the strategy is robust across different market periods.
|
|
#
|
|
# Walk-forward: 252-day train, 63-day test windows (rolling by 63 days)
|
|
# Coverage: 2022-01-01 → 2026-04-13 ≈ 4 windows
|
|
#
|
|
# IMPORTANT: Update base_config to Phase 4 winner before running!
|
|
#
|
|
# Run:
|
|
# python -m apps.intraday_bt.evaluate \
|
|
# --config configs/intraday/orb_p4_winner.yaml \
|
|
# --sweep configs/intraday/sweep_orb_p5_walkforward.yaml \
|
|
# --start 2022-01-01 \
|
|
# --walk-forward --wf-train-days 252 --wf-test-days 63 \
|
|
# --top-n 5 \
|
|
# --output runs/intraday_orb/phase5_wf.json
|
|
|
|
base_config: configs/intraday/orb_p4_winner.yaml # UPDATE to Phase 4 winner
|
|
|
|
# Minimal parameter sweep — just use base config as single combo
|
|
# (walk-forward validates temporal robustness, not parameter search)
|
|
sweep:
|
|
compound_returns: [false]
|