# SimpleORB Strategy Optimization Guide

**Date:** February 17, 2026  
**Current Performance:** $320 profit, 60% win rate, 3.0 profit factor  
**Goal:** Optimize parameters to improve profitability and reduce drawdown  

---

## 📊 Current Baseline Performance

### Trade Statistics (5 trades, Feb 10-16, 2026)
- **Net Profit:** $320
- **Profit Factor:** 3.00
- **Win Rate:** 60% (3W/2L)
- **Avg Win:** $160
- **Avg Loss:** $80
- **Win/Loss Ratio:** 2:1
- **Sharpe Ratio:** 1.31
- **Max Drawdown:** $160

### Performance by Direction
**Longs (2 trades):**
- Win Rate: 100%
- Profit: $320
- Profit Factor: 99.0
- Sharpe: 2.30

**Shorts (3 trades):**
- Win Rate: 33%
- Profit: $0
- Profit Factor: 1.00
- Sharpe: 1.53

**KEY INSIGHT:** Longs are exceptional, shorts are break-even/losing.

---

## 🎯 Optimization Priority List

### Priority 1: Direction Filter (CRITICAL)
**Current:** Trading both long and short
**Issue:** Shorts have 33% win rate vs 100% for longs
**Action:** Test long-only mode

**Expected Impact:**
- Net profit: Increase (eliminate losing shorts)
- Win rate: Increase to 100%
- Drawdown: Decrease significantly

---

### Priority 2: Opening Range Period
**Current:** 30 minutes
**Range to Test:** 15, 20, 30, 45, 60 minutes

**Hypothesis:** 
- Shorter OR (15-20 min): More trades, potentially more false breakouts
- Longer OR (45-60 min): Fewer trades, higher quality setups

**Metric to Watch:** Profit factor, win rate

---

### Priority 3: Stop Loss / Profit Target
**Current:** Stop 8 ticks, Target 16 ticks (2:1 R:R)

**Test Matrix:**
| Stop | Target | R:R | Rationale |
|------|--------|-----|-----------|
| 6 | 12 | 2:1 | Tighter, less heat |
| 8 | 16 | 2:1 | Current baseline |
| 10 | 20 | 2:1 | Wider, more room |
| 8 | 24 | 3:1 | Asymmetric, bigger winners |
| 10 | 30 | 3:1 | Wide asymmetric |

**Metric to Watch:** Win rate vs avg win/loss ratio tradeoff

---

### Priority 4: Entry Threshold (Std Dev Multiplier)
**Current:** 1.0 (breakout = 1x standard deviation)

**Range to Test:** 0.5, 1.0, 1.5, 2.0

**Hypothesis:**
- Lower (0.5): More entries, lower quality
- Higher (1.5-2.0): Fewer entries, higher conviction

**Metric to Watch:** Trade frequency vs win rate

---

### Priority 5: Time-of-Day Filter
**Current:** Trading all day (9:30-16:00)

**Test Scenarios:**
- First hour only (9:30-10:30)
- Morning session (9:30-12:00)
- Afternoon only (12:00-16:00)
- First 2 hours (9:30-11:30)

**Hypothesis:** Early breakouts (first hour) might have more momentum

**Metric to Watch:** Win rate by time of entry

---

## 📋 Optimization Test Plan

### Phase 1: Quick Wins (30 minutes)
**Test long-only mode immediately**

1. Add property to SimpleORBNT8:
```csharp
[NinjaScriptProperty]
[Display(Name = "Long Only", GroupName = "ORB Strategy", Order = 10)]
public bool LongOnly { get; set; }
```

2. Update intent processing in base class to filter shorts if LongOnly = true

3. Re-run backtest with LongOnly = true

**Expected:** Profit increases, drawdown decreases

---

### Phase 2: Parameter Grid Search (2-3 hours)

Use NT8 Strategy Analyzer Optimization:

**Variables to Optimize:**
1. Opening Range Minutes: 15, 20, 30, 45, 60
2. Stop Ticks: 6, 8, 10, 12
3. Target Ticks: 12, 16, 20, 24, 30
4. Std Dev Multiplier: 0.5, 1.0, 1.5, 2.0
5. Long Only: true, false

**Optimization Metric:** Net Profit or Sharpe Ratio

**Total Combinations:** 5 × 4 × 5 × 4 × 2 = 800 tests
**Reduce to:** Test in stages to avoid combinatorial explosion

---

### Phase 3: Walk-Forward Analysis (4-6 hours)

**Process:**
1. Split data: Train on Jan-Feb, Test on Mar-Apr
2. Optimize on training set
3. Validate on test set (out-of-sample)
4. Check for overfitting

**Goal:** Ensure parameters aren't curve-fit to specific market conditions

---

### Phase 4: Regime-Aware Optimization (Future)

Use existing regime detection:
- Optimize separately for High Vol vs Low Vol regimes
- Different parameters for Trending vs Mean-Reverting
- Grade-based position sizing (already implemented)

---

## 🔧 NT8 Strategy Analyzer Optimization Settings

### How to Run Optimization in NT8:

1. **Open Strategy Analyzer**
2. **Click "Settings" tab**
3. **Enable "Optimize"**
4. **Select parameters to optimize:**
   - Opening Range Minutes: Start 15, Stop 60, Step 15
   - Stop Ticks: Start 6, Stop 12, Step 2
   - Target Ticks: Start 12, Stop 30, Step 4
   - Std Dev Multiplier: Start 0.5, Stop 2.0, Step 0.5

5. **Optimization Target:** 
   - Primary: Net Profit
   - Secondary: Sharpe Ratio (to avoid overfitting)

6. **Click "Run"**
7. **Review results** - sort by Sharpe Ratio (not just profit)

---

## 📊 What to Look For in Results

### Red Flags (Overfitting):
- ❌ Win rate > 90% (unrealistic)
- ❌ Sharpe > 5.0 (too good to be true)
- ❌ Only 1-2 trades (not statistically significant)
- ❌ Max drawdown = $0 (lucky parameters)

### Good Signs (Robust):
- ✅ Win rate 55-70%
- ✅ Sharpe 1.5-3.0
- ✅ 10+ trades (statistical significance)
- ✅ Profit factor 1.5-3.0
- ✅ Consistent across similar parameters

---

## 🎯 Expected Optimal Results

Based on current performance, after optimization expect:

**Conservative Estimate:**
- Net Profit: $400-600 (vs $320 baseline)
- Win Rate: 65-75%
- Profit Factor: 2.5-4.0
- Sharpe: 1.5-2.5
- Max Drawdown: <$200

**Stretch Goal:**
- Net Profit: $800+
- Win Rate: 70-80%
- Profit Factor: 3.5-5.0
- Sharpe: 2.5-3.5

---

## 📋 Immediate Action Items

### Today (30 minutes):
1. ✅ Add "Long Only" property to SimpleORBNT8
2. ✅ Test with LongOnly = true
3. ✅ Compare results to baseline

### This Week (3-4 hours):
1. Run parameter optimization in NT8
2. Test top 5 parameter sets
3. Validate on different time periods
4. Document optimal parameters

### Next Week (Future):
1. Walk-forward analysis
2. Regime-specific optimization
3. Monte Carlo robustness testing

---

## 🎉 Summary

**You have a PROFITABLE strategy that's working!**

Key optimizations to try:
1. **Long only** (eliminate losing shorts) - TEST FIRST
2. **Opening range period** (15-60 minutes)
3. **Stop/target optimization** (6-12 ticks / 12-30 ticks)
4. **Entry threshold** (0.5-2.0 std dev)

**Current:** $320 profit, 60% win, 3.0 PF, 1.31 Sharpe
**Target:** $500+ profit, 70% win, 3.5+ PF, 2.0+ Sharpe

**The foundation is solid - time to fine-tune!** 🚀

---

## 📝 Notes

- Always validate on out-of-sample data
- Don't overfit - simpler is better
- Focus on Sharpe Ratio, not just profit
- 10+ trades minimum for statistical validity
- Document everything for reproducibility
