|
|
# ORB Rebuild Phase 1 — Core Structure Sweep
|
|
|
#
|
|
|
# Post bar_close fix: all stop/peak/R-multiple logic now uses bar close price.
|
|
|
# Start from orb_default.yaml and sweep the 3 most impactful parameters.
|
|
|
#
|
|
|
# Key question: which bar size + stop distance + direction works best
|
|
|
# now that stops use realistic close prices (not theoretical stop level)?
|
|
|
#
|
|
|
# 5 × 5 × 2 = 50 combinations (단리)
|
|
|
#
|
|
|
# Run:
|
|
|
# python -m apps.intraday_bt.evaluate \
|
|
|
# --config configs/intraday/orb_default.yaml \
|
|
|
# --sweep configs/intraday/sweep_orb_rebuild_p1.yaml \
|
|
|
# --start 2022-01-01 --split-date 2025-01-01
|
|
|
#
|
|
|
# Or quick test (no IS/OOS split):
|
|
|
# python -m apps.intraday_bt.run \
|
|
|
# --config configs/intraday/orb_default.yaml \
|
|
|
# --sweep configs/intraday/sweep_orb_rebuild_p1.yaml \
|
|
|
# --start 2022-01-01
|
|
|
|
|
|
base_config: configs/intraday/orb_default.yaml
|
|
|
|
|
|
sweep:
|
|
|
# Bar size: how often the trader checks price
|
|
|
# 5min = near-continuous, 120min = check twice per session
|
|
|
sim_bar_minutes: [5, 15, 30, 60, 120]
|
|
|
|
|
|
# Stop distance as fraction of ATR(14)
|
|
|
# With bar_close fix, stop only triggers when close is past stop level
|
|
|
# Smaller stops = more sensitive, larger = more room to breathe
|
|
|
atr_stop_multiplier: [0.10, 0.20, 0.30, 0.50, 1.00]
|
|
|
|
|
|
# Direction: long-only (bullish ORB candle) vs both (long + short)
|
|
|
entry_direction: [long_only, both]
|
|
|
|
|
|
# Force simple returns for all combinations
|
|
|
compound_returns: [false]
|