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123 lines
3.3 KiB
YAML
123 lines
3.3 KiB
YAML
_meta:
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id: 100
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name: "ORB Gainers V24 Quality Overlay"
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status: superseded
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live_readiness: experimental
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promoted_date: "2026-04-21"
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superseded_by: orb_gainers_v46_prior_event
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superseded_date: "2026-04-22"
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parent: orb_gainers_v23
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description: >
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V23 → V24 via OBV-slope(20d) accumulation weight (weight_obv_slope: 0.05).
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Diagnostic finding (2026-04-21, 98 V23 trades n=96 valid):
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Phase 1: obv_slope_20 passed all gates:
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Pearson(obv_slope, r_multiple) = +0.2349
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Top-tercile WR 75.0% vs Bottom-tercile 59.4% (+15.6pp)
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Top-tercile avg_R +0.431 vs Bottom-tercile +0.036 (+0.394R)
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Hurst_60 and OU-θ_60 both failed gates.
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Weight sweep: 0.05 is Pareto-dominant (0.10 blows DD; 0.15 return+108% but DD -16%).
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Phase 2 validation (2026-04-21):
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200d: V24 +94.8%, DD -11.29%, Sharpe 2.83 vs V23 +85.0%, DD -11.58%, Sharpe 2.66
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Δ Return +9.8pp, Δ DD +0.29pp (BETTER), Δ Sharpe +0.17 ← ALL PASS
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400d: V24 +162.1%, DD -13.70%, Sharpe 2.47 vs V23 +149.4%, DD -13.66%, Sharpe 2.36
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Δ Return +12.7pp, Δ DD -0.04pp (negligible), Δ Sharpe +0.11 ← ALL PASS
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V24 is Pareto-dominant over V23 on both 200d and 400d windows.
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Hypothesis confirmed: OBV accumulation pre-breakout = smart-money positioning
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→ cleaner follow-through → better candidate selection quality.
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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: experimental
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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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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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# === NEW: OBV accumulation weight (Phase 1 gate: Pearson=0.23, WR gap +15.6pp) ===
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# Weight sweep result: 0.05 is Pareto-dominant (best return AND DD simultaneously)
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# 0.10 → DD blows up (-15.72%); 0.15 → return +108% but DD -16%
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weight_obv_slope: 0.05
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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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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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drawdown_governor_threshold: 0.025
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drawdown_governor_min_scale: 0.30
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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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