_meta:
  name: Leader Intraday Momentum Liquid Continuation Core
  description: Separate liquid-continuation core engine. Instead of treating liquid follow-through as an overlay, this strategy makes moderate-gap liquid names, liquid large-cap leaders, and sector breadth-confirmed continuation the primary basket selection path.
  id: 28
strategy_mode: momentum
strategy:
  compound_returns: false
  entry_minutes_after_open: 10
  confirmation_minutes_after_entry: 5
  min_confirmation_return_pct: 0.003
  exit_minutes_before_close: 10
  stop_loss_pct: null
  trailing_stop_pct: -0.075
  overextended_trailing_gain_pct: 0.04
  overextended_trailing_stop_pct: -0.06
  min_gap_pct: 0.0
  min_morning_gain_pct: 0.006
  max_morning_gain_pct: 0.04
  max_gap_pct: 0.05
  min_volume_ratio_14d: 0.02
  min_entry_volume: 100000
  min_entry_dollar_volume: 20000000
  ticker_cooldown_days: 0
  top_n: 4
  max_positions_per_sector: 2
  use_five_sleeves: false
  momentum_selection_mode: liquid_continuation
  soft_day_sparse_max_trades: 2
  soft_day_sparse_exempt_largecap: true
  soft_day_sparse_exempt_moderate_gap_liquid: true
  soft_day_sparse_scale: 0.8
  tail_risk_day_max_trades: 3
  tail_risk_day_min_max_gain_pct: 0.02
  tail_risk_day_min_max_confirmation_return_pct: 0.006
  tail_risk_day_exempt_largecap: true
  tail_risk_day_scale: 0.65
  max_entropy_20d: 0.88
  entropy_size_scale_low: 0.80
  entropy_size_scale_high: 0.88
  entropy_size_scale_min: 0.7
  sector_concentration_scale_low: 0.4
  sector_concentration_scale_high: 0.67
  sector_concentration_scale_min: 0.85
  max_vix: 35.0
  initial_capital: 10000.0
  slippage_bps: 5.0
  market_regime_spy_threshold: null
  candidate_source_mode: intraday_first
  candidate_seed_threshold: 0.0
  candidate_seed_max_per_day: 180
  candidate_seed_liquid_overlay_slots: 10
  candidate_seed_liquid_min_gap_pct: -0.015
  candidate_seed_liquid_max_gap_pct: 0.03
  candidate_seed_liquid_min_avg_dollar_vol_30d: 2000000000.0
  candidate_seed_liquid_min_ret_5d: 0.0
  candidate_seed_liquid_max_entropy_20d: 0.88
  candidate_seed_leader_overlay_slots: 6
  candidate_seed_leader_min_gap_pct: -0.02
  candidate_seed_leader_max_gap_pct: 0.03
  candidate_seed_leader_min_avg_dollar_vol_30d: 500000000.0
  candidate_seed_leader_min_ret_5d: 0.10
  candidate_seed_leader_min_atr_pct: 0.04
  candidate_seed_leader_max_entropy_20d: 0.82
  candidate_seed_moderate_liquid_overlay_slots: 40
  candidate_seed_moderate_liquid_min_gap_pct: 0.002
  candidate_seed_moderate_liquid_max_gap_pct: 0.04
  candidate_seed_moderate_liquid_min_avg_dollar_vol_30d: 250000000.0
  candidate_seed_moderate_liquid_max_avg_dollar_vol_30d: 4000000000.0
  candidate_seed_moderate_liquid_min_ret_5d: 0.0
  candidate_seed_moderate_liquid_max_entropy_20d: 0.88
  candidate_final_max_per_day: 14
  candidate_intraday_rank_mode: liquid_continuation
  candidate_intraday_moderate_liquid_reserve_slots: 2
  candidate_intraday_moderate_liquid_reserve_trigger_below: 3
  use_liquid_largecap_sleeve: true
  liquid_largecap_weight: 0.0
  liquid_largecap_min_gain_pct: 0.006
  liquid_largecap_max_gain_pct: 0.025
  liquid_largecap_min_confirmation_return_pct: 0.003
  liquid_largecap_min_entry_dollar_volume: 60000000.0
  liquid_largecap_min_avg_dollar_vol_30d: 2000000000.0
  liquid_largecap_max_entropy_20d: 0.90
  use_moderate_gap_liquid_sleeve: true
  moderate_gap_liquid_weight: 0.0
  moderate_gap_liquid_min_gap_pct: 0.005
  moderate_gap_liquid_max_gap_pct: 0.035
  moderate_gap_liquid_min_gain_pct: 0.01
  moderate_gap_liquid_max_gain_pct: 0.04
  moderate_gap_liquid_min_confirmation_return_pct: 0.003
  moderate_gap_liquid_min_entry_dollar_volume: 40000000.0
  moderate_gap_liquid_min_avg_dollar_vol_30d: 250000000.0
  moderate_gap_liquid_max_avg_dollar_vol_30d: 4000000000.0
  moderate_gap_liquid_min_volume_ratio_14d: 0.04
  moderate_gap_liquid_max_entropy_20d: 0.88
  use_sector_thrust_sleeve: true
  sector_thrust_weight: 0.0
  sector_thrust_min_members: 2
  sector_thrust_min_gain_pct: 0.01
  sector_thrust_min_confirmation_return_pct: 0.003
  sector_thrust_min_entry_dollar_volume: 40000000.0
  sector_thrust_min_avg_dollar_vol_30d: 250000000.0
  sector_thrust_min_sector_avg_confirmation_return_pct: 0.003
  sector_thrust_min_sector_total_entry_dollar_volume: 150000000.0
universe:
  source: broad
  min_price: 10.0
backtest:
  start_date: null
  end_date: null
  lookback_trading_days: 200
  pre_screen_threshold: 0.02
cache:
  enabled: true
  dir: data/cache/intraday
output:
  dir: runs/intraday
  verbose: false
