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# ORB Phase 8 — Bar Size & Opening Range Window
#
# Tests whether larger simulation bars improve OOS Sharpe.
# Original ORB research showed monotonic improvement: 5m→30m→60m→90m bars.
# Now validating on 5-min-base strategy with IS/OOS split.
#
# Also tests orb_minutes (opening range duration): 5/10/15 min.
# Larger orb_minutes = wider range = fewer breakouts but potentially cleaner.
#
# 5 ×
#
# Run:
# python -m apps.intraday_bt.evaluate \
# --config configs/intraday/orb_p7_winner.yaml \
# --sweep configs/intraday/sweep_orb_p8_bars.yaml \
# --start 2022-01-01 --split-date 2025-01-01 \
# --top-n 15 --oos-sort \
# --output runs/intraday_orb/phase8_eval.json
base_config : configs/intraday/orb_p7_winner.yaml
sweep :
# Simulation bar size: larger bars = fewer whipsaws from intraday noise
sim_bar_minutes : [ 5 , 15 , 30 , 60 , 90 ]
# Opening range window: wider = stronger breakout signal
orb_minutes : [ 5 , 10 , 15 ]
compound_returns : [ false ]