_meta:
  name: Leader Intraday Momentum High WR Intraday First
  description: Corrected high-win-rate momentum variant that replaces the pure daily-gap candidate source with a historical intraday-first shortlist. It uses a 1.5% seed gap, reranks the shortlist at entry time using confirmation, volume-ratio, dollar-volume, gap, and low-entropy quality, trims exposure on the noisiest high-entropy names, only on soft days lets one event sleeve substitute a catalyst-backed name into the basket, adds a bounded moderate-gap liquid follow-through reserve for names that broad scan catches but the raw gap rank misses, scales down sparse soft-day baskets that lack supportive event or liquid-follow-through structure, and now reserves a small extra budget slice on broad same-day filing clusters to add liquid continuation names outside the base basket.
  id: 25
strategy_mode: momentum
strategy:
  compound_returns: false
  entry_minutes_after_open: 10
  confirmation_minutes_after_entry: 5
  min_confirmation_return_pct: 0.005
  exit_minutes_before_close: 10
  stop_loss_pct: null
  trailing_stop_pct: -0.07
  overextended_trailing_gain_pct: 0.04
  overextended_trailing_stop_pct: -0.065
  min_morning_gain_pct: 0.015
  max_morning_gain_pct: 0.06
  max_gap_pct: 0.055
  min_volume_ratio_14d: 0.04
  min_entry_volume: 125000
  min_entry_dollar_volume: 1500000
  ticker_cooldown_days: 0
  top_n: 9
  max_positions_per_sector: 2
  use_five_sleeves: true
  five_sleeve_force_count: 4
  use_event_sleeve: true
  event_weight: 0.12
  event_min_score: 1.0
  event_sleeve_soft_day_only: true
  soft_day_sparse_max_trades: 2
  soft_day_sparse_require_no_event: true
  soft_day_sparse_exempt_largecap: true
  soft_day_sparse_exempt_moderate_gap_liquid: true
  soft_day_sparse_scale: 0.7
  tail_risk_day_max_trades: 3
  tail_risk_day_min_max_gain_pct: 0.025
  tail_risk_day_max_support_score: 1.0
  tail_risk_day_min_max_entropy_20d: null
  tail_risk_day_min_max_confirmation_return_pct: 0.01
  tail_risk_day_require_no_event: true
  tail_risk_day_event_exemption_min_support_score: 0.35
  tail_risk_day_exempt_largecap: true
  tail_risk_day_scale: 0.55
  low_momentum_single_name_max_gain_pct: 0.025
  low_momentum_single_name_require_no_event: true
  low_momentum_single_name_exempt_largecap: true
  low_momentum_single_name_scale: 0.55
  max_entropy_20d: 0.86
  entropy_size_scale_low: 0.78
  entropy_size_scale_high: 0.86
  entropy_size_scale_min: 0.6
  sector_concentration_scale_low: 0.4
  sector_concentration_scale_high: 0.67
  sector_concentration_scale_min: 0.8
  max_vix: 30.0
  recent_live_scan_days: 0
  recent_live_scan_min_price: 2.0
  recent_live_scan_avg_volume_min: 200000
  recent_live_scan_market_cap_min: 100000000.0
  recent_live_scan_max_candidates_per_day: 150
  recent_live_scan_top_n: 6
  recent_live_scan_min_morning_gain_pct: 0.005
  recent_live_scan_max_morning_gain_pct: 0.05
  recent_live_scan_min_confirmation_return_pct: 0.0005
  recent_live_scan_min_entry_dollar_volume: 50000000.0
  recent_live_scan_max_gap_pct: 0.04
  recent_live_scan_max_entropy_20d: 0.9
  recent_live_scan_use_slow_ignite_sleeve: true
  recent_live_scan_slow_ignite_weight: 0.30
  recent_live_scan_slow_ignite_min_gain_pct: 0.003
  recent_live_scan_slow_ignite_max_gain_pct: 0.015
  recent_live_scan_slow_ignite_min_entry_dollar_volume: 50000000.0
  recent_live_scan_slow_ignite_max_entropy_20d: 0.9
  recent_live_scan_use_liquid_largecap_sleeve: true
  recent_live_scan_liquid_largecap_weight: 0.35
  recent_live_scan_liquid_largecap_min_gain_pct: 0.004
  recent_live_scan_liquid_largecap_max_gain_pct: 0.02
  recent_live_scan_liquid_largecap_min_confirmation_return_pct: 0.0005
  recent_live_scan_liquid_largecap_min_entry_dollar_volume: 50000000.0
  recent_live_scan_liquid_largecap_min_avg_dollar_vol_30d: 500000000.0
  recent_live_scan_liquid_largecap_max_entropy_20d: 0.9
  initial_capital: 10000.0
  slippage_bps: 5.0
  market_regime_spy_threshold: null
  candidate_source_mode: intraday_first
  candidate_seed_threshold: 0.0075
  candidate_seed_max_per_day: 150
  candidate_seed_liquid_overlay_slots: 3
  candidate_seed_liquid_min_gap_pct: 0.005
  candidate_seed_liquid_max_gap_pct: 0.025
  candidate_seed_liquid_min_avg_dollar_vol_30d: 5000000000.0
  candidate_seed_liquid_min_ret_5d: 0.0
  candidate_seed_liquid_max_entropy_20d: 0.87
  candidate_seed_leader_overlay_slots: 1
  candidate_seed_leader_min_gap_pct: -0.025
  candidate_seed_leader_max_gap_pct: 0.01
  candidate_seed_leader_min_avg_dollar_vol_30d: 500000000.0
  candidate_seed_leader_min_ret_5d: 0.15
  candidate_seed_leader_min_atr_pct: 0.06
  candidate_seed_leader_max_entropy_20d: 0.75
  candidate_seed_moderate_liquid_overlay_slots: 20
  candidate_seed_moderate_liquid_min_gap_pct: 0.005
  candidate_seed_moderate_liquid_max_gap_pct: 0.025
  candidate_seed_moderate_liquid_min_avg_dollar_vol_30d: 250000000.0
  candidate_seed_moderate_liquid_max_avg_dollar_vol_30d: 2000000000.0
  candidate_seed_moderate_liquid_max_entropy_20d: 0.86
  candidate_final_max_per_day: 14
  candidate_intraday_rank_mode: weighted
  candidate_intraday_weight_gain: 0.10
  candidate_intraday_weight_confirmation: 0.45
  candidate_intraday_weight_volume_ratio: 0.20
  candidate_intraday_weight_entry_dollar_volume: 0.15
  candidate_intraday_weight_gap: 0.05
  candidate_intraday_weight_low_entropy: 0.05
  candidate_intraday_weight_avg_dollar_vol_30d: 0.08
  candidate_intraday_moderate_liquid_reserve_slots: 1
  candidate_intraday_moderate_liquid_reserve_trigger_below: 2
  use_event_day_liquid_sleeve: true
  event_day_liquid_capital_fraction: 0.12
  event_day_liquid_max_positions: 2
  event_day_liquid_allowed_event_types:
    - earnings_release
    - guidance_update
    - material_contract
    - other_material_event
    - management_change
    - unknown
  event_day_liquid_min_event_names: 2
  event_day_liquid_min_event_score: 1.0
  event_day_liquid_min_event_support_score: 0.15
  event_day_liquid_min_total_event_entry_dollar_volume: 100000000.0
  event_day_liquid_min_gain_pct: 0.004
  event_day_liquid_max_gain_pct: 0.04
  event_day_liquid_min_confirmation_return_pct: 0.0005
  event_day_liquid_min_entry_dollar_volume: 25000000.0
  event_day_liquid_min_avg_dollar_vol_30d: 250000000.0
  event_day_liquid_max_entropy_20d: 0.88
  event_day_liquid_min_support_score: 0.35
  use_liquid_largecap_sleeve: true
  liquid_largecap_weight: 0.05
  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: 0.025
  moderate_gap_liquid_min_gain_pct: 0.015
  moderate_gap_liquid_max_gain_pct: 0.04
  moderate_gap_liquid_min_confirmation_return_pct: 0.005
  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: 2000000000.0
  moderate_gap_liquid_min_volume_ratio_14d: 0.04
  moderate_gap_liquid_max_entropy_20d: 0.86
  fallback_liquid_largecap_slots: 1
  fallback_liquid_largecap_trigger_below: 2
  liquid_largecap_min_gain_pct: 0.004
  liquid_largecap_max_gain_pct: 0.015
  liquid_largecap_min_confirmation_return_pct: 0.0005
  liquid_largecap_min_entry_dollar_volume: 50000000.0
  liquid_largecap_min_avg_dollar_vol_30d: 2000000000.0
  liquid_largecap_max_entropy_20d: 0.87
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
