Production hardening: kill switch, circuit breaker, trailing stops, log level, holiday calendar

OPTIMIZATION_GUIDE.md

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+# 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