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_meta:
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id: 28
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name: "ORB Gainers V23"
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status: superseded
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superseded_by: orb_gainers_v24_quality_overlay
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superseded_date: "2026-04-21"
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frozen_date: "2026-04-21"
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frozen_commit: "e492695e"
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frozen_reason: >
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Production live baseline (session e492695e). Superseded by V24 which adds
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OBV-slope(20d) weight=0.05 and improves on all dimensions:
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200d +9.8pp return / DD -0.3pp better / Sharpe +0.17;
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400d +12.7pp return / DD virtually identical / Sharpe +0.11.
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Original V23: definitive champion after all 200d/400d/600d validation.
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description: >
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V22 → V23 via 2 validated improvements: ATR% quality filter + position cap adjustment.
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Validation mode: daily_budget_reset=true, compound_returns=false (단리/simple interest).
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V22 baseline: +98.73% (200d), Sharpe 3.24, DD -9.34%, 161 trades, WR 59.6%
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V23 result: +116.92% (200d), Sharpe 3.26, DD -9.35%, 154 trades, WR 59.7%
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Changes from V22:
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1. min_atr_pct: null → 0.04 (require ATR-14 ≥ 4% of prev_close)
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Analysis of 400d trade distribution revealed that stocks with ATR/price < 4%
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(moderate-volatility names like energy stocks, stable tech) have 42-46% WR
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and contribute −20% total P&L, while >5% ATR names have 62.4% WR and +104%
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contribution. Filtering for high-ATR% ensures ORB candidates have the explosive
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follow-through potential the strategy relies on.
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Effect: 200d return +18.19pp. WR unchanged (+0.1pp). DD essentially same (−0.01pp).
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2. max_position_pct: 0.80 → 0.70
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High-ATR% stocks have larger individual trade variance (bigger swings).
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Reducing position cap from 80% to 70% of daily budget compensates, keeping
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portfolio-level DD comparable while the ATR% filter improves return.
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Without this adjustment: 400d DD −24.38% (fails gate). With: −23.97% (passes).
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Interaction: Neither change alone passes both 200d and 400d gates cleanly.
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Together they are synergistic: min_atr_pct selects high-quality candidates,
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max_pos_pct=0.70 manages their higher individual volatility.
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400d validation (daily_reset) — OLD (buggy pipeline, pre data-fix):
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V23 400d (OLD): +120.87%, WR 57.7%, DD −23.97%, 286 trades, Sharpe 1.94
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400d TRUE result (correct pipeline, 2026-04-21 retest 2024-09-16→2026-04-21):
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V23 400d: +146.09%, WR 56.14%, DD −13.66%, 285 trades, 106 days, Sharpe 2.33
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V22 400d: +89.62%, WR 52.2%, DD −20.93%, 312 trades, 119 days, Sharpe 1.67
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400d gates: return≥88% ✓, WR≥52% ✓, DD≥−24% ✓ (−13.66% easily passes)
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KEY FINDING: data fix improved 400d DD by 10.31pp (−23.97% → −13.66%).
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V23 strictly dominates Safe v9 on 400d: +146.09% vs +101.01%, DD −13.66% vs −17.20%.
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Quarterly 400d attribution (known):
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2024-Q3: −4.4%, 2024-Q4: +1.2%, 2025-Q1: −8.4% (volatile macro periods driving DD)
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2025-Q2: +13.0%, 2025-Q3: +42.4%, 2025-Q4: +11.0%, 2026-Q1: +35.2%
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min_atr_pct filter graveyard (200d, daily_reset, on V22 base):
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- min_atr_pct 0.03: +86.09%, WR 58.7%, DD −10.85% (too lenient, includes drags)
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- min_atr_pct 0.04: +122.02%, WR 59.5%, DD −9.25% ← best 200d
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- min_atr_pct 0.05: +84.34%, WR 57.1%, DD −13.30% (over-filters, fewer candidates)
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- min_atr_pct 0.06: +98.40%, WR 61.2%, DD −16.49% (too few trades, high DD)
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- min_atr_pct 0.04 + max_atr_pct 0.08: +37.93% (filters too many good trades)
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- min_atr_pct 0.04 + max_atr_pct 0.09: 200d +81.70%, 400d +85.65% (below gates)
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- min_atr_pct 0.04 + risk=0.045: 200d WR 56.8% (fails gate), worse DD
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max_position_pct 0.75 + min_atr_pct 0.04:
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200d: +110.75%, WR 60.7%, DD −8.93%
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400d: +127.59%, WR 56.6%, DD −24.32% (FAILS 400d DD gate by 0.32pp)
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strategy_mode: orb
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orb_strategy:
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engine_family: gainers_leader
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live_readiness: live_ready
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orb_minutes: 5
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sim_bar_minutes: 5
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entry_direction: long_only
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order_timeout_minutes: 45
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allow_doji_breakout: true
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allow_red_to_green_breakout: true
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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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# === CHANGE: require ATR ≥ 4% of prev_close (filter low-volatility drag candidates) ===
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min_atr_pct: 0.04
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min_rvol: 1.5
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min_abs_gap_pct: 0.02
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min_premarket_dollar_vol: 1500000
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max_candidates: 20
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max_candidates_per_sector: 3
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min_candidates_to_trade: 1
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ticker_cooldown_days: 0
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max_gap_pct: 0.04
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min_candidate_breadth: 0.60
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market_regime_spy_threshold: 0.0015
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market_regime_ticker: QQQ
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rolling_loss_days: 7
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rolling_loss_threshold: -0.07
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max_simultaneous_entries: 3
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min_breakout_rel_vol: 1.2
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weight_rvol: 0.35
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weight_gap: 0.20
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weight_dollar_vol: 0.05
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weight_premarket_dollar_vol: 0.25
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weight_body_ratio: 0.0
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weight_momentum: 0.15
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atr_stop_multiplier: 0.75
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breakeven_at_r: 1.0
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trailing_at_r: 1.0
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trailing_stop_atr_multiplier: 0.8
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trailing_tighten_at_r: 2.0
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trailing_stop_atr_multiplier_tight: 0.3
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partial_exit_at_r: 99.0
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partial_exit_pct: 0.50
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risk_per_trade_pct: 0.05
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# === CHANGE: max position 70% (from 80%) to manage higher per-trade variance ===
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max_position_pct: 0.70
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daily_max_loss_pct: 0.05
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max_stops_per_day: 5
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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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compound_returns: false
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daily_budget_reset: true
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settlement_days: 1
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# Preserved from V22
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drawdown_governor_threshold: 0.025
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drawdown_governor_min_scale: 0.30
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# Preserved from V22
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streak_sizing_win_bonus: 0.70
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streak_sizing_max: 2.5
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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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