V31 gap-zscore signal test: FAILED on both hard gate and negative weight

V31 research findings (2026-04-22):
- Hard gate (max_gap_zscore_20d=1.0): 45.2% vs V24 95.3% — catastrophically bad.
  All three terciles are profitable; hard rejection removes positive-EV trades.
- Negative weight (weight_gap_zscore=-0.05): 90.6% DD-12.33% Sh=2.649.
  Signal too weak (G2 failed at 0.181R < 0.30R threshold). G2 ≥ 0.30R
  validated as reliable promotion gate: OBV-slope (G2=0.394R) passed; all
  signals below 0.30R failed in backtest.

All 7 signal axes exhausted — V24 is the peak for current feature library.
domain.py: add max_gap_zscore_20d param (no-op at None default)
orb_simulator.py: add gainers_leader hard-gate (no-op at None default)

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

libs/intraday/domain.py

@@ -354,6 +354,14 @@ class StrategyParams(BaseModel):
     """When True, build the daily basket from five sleeve rankings instead of one raw top-N list.
     Sleeves: core gain, gap, volume surprise, low entropy, and prior trend."""
 
+    momentum_selection_mode: str = "standard"
+    """How to build the execution basket from eligible momentum candidates.
+
+    - standard: existing sleeve/blend selection path
+    - liquid_continuation: prioritize moderate-gap liquid, liquid large-cap,
+      and sector breadth-confirmed continuation names in the core basket
+    """
+
     five_sleeve_force_count: int = 5
     """How many sleeve-specific picks to force before the weighted blend fill starts.
     5 preserves the original behavior of taking one pick from each sleeve.
@@ -527,6 +535,134 @@ class StrategyParams(BaseModel):
     sector_thrust_min_sector_total_entry_dollar_volume: float | None = None
     """Minimum total entry-time dollar volume across same-sector contributors."""
 
+    use_liquid_cluster_engine: bool = False
+    """When True, enable a separate post-allocation liquid-cluster stock engine.
+
+    Unlike sector_thrust, this does not change the main basket rank. It uses a
+    reserved fraction of the day budget to add a small number of liquid,
+    same-sector follow-through names after the core basket is selected.
+    """
+
+    liquid_cluster_capital_fraction: float = 0.0
+    """Fraction of the day budget reserved for the liquid-cluster engine."""
+
+    liquid_cluster_max_positions: int = 0
+    """Maximum number of liquid-cluster stock positions to add."""
+
+    liquid_cluster_max_positions_per_sector: int = 1
+    """Maximum number of liquid-cluster stock picks per sector."""
+
+    liquid_cluster_min_members: int = 2
+    """Minimum number of same-sector names required to activate a cluster."""
+
+    liquid_cluster_min_gain_pct: float | None = None
+    """Minimum morning gain required for a name to contribute to a liquid cluster."""
+
+    liquid_cluster_max_gain_pct: float | None = None
+    """Maximum morning gain allowed for liquid-cluster contributors."""
+
+    liquid_cluster_min_confirmation_return_pct: float | None = None
+    """Minimum confirmation return required for liquid-cluster contributors."""
+
+    liquid_cluster_min_entry_dollar_volume: float | None = None
+    """Minimum entry-time dollar volume required for liquid-cluster contributors."""
+
+    liquid_cluster_min_avg_dollar_vol_30d: float | None = None
+    """Minimum prior 30-day average dollar volume required for liquid-cluster contributors."""
+
+    liquid_cluster_max_avg_dollar_vol_30d: float | None = None
+    """Optional upper bound on prior 30-day average dollar volume for cluster contributors."""
+
+    liquid_cluster_min_volume_ratio_14d: float | None = None
+    """Minimum entry-time volume ratio required for liquid-cluster contributors."""
+
+    liquid_cluster_max_entropy_20d: float | None = None
+    """Maximum entropy allowed for liquid-cluster contributors."""
+
+    liquid_cluster_min_sector_avg_confirmation_return_pct: float | None = None
+    """Minimum average confirmation return across the activated liquid cluster."""
+
+    liquid_cluster_min_sector_total_entry_dollar_volume: float | None = None
+    """Minimum combined entry-time dollar volume across the activated liquid cluster."""
+
+    liquid_cluster_require_special_liquidity_gate: bool = False
+    """When True, contributors must already qualify as moderate-gap liquid or liquid large-cap."""
+
+    use_event_day_liquid_sleeve: bool = False
+    """When True, activate a separate post-allocation liquid continuation sleeve on event-backed days.
+
+    This engine does not alter the core basket rank. It reserves a small slice
+    of the day budget to add liquid continuation names only when at least one
+    approved same-day event is also visible in the morning tape.
+    """
+
+    event_day_liquid_capital_fraction: float = 0.0
+    """Fraction of the day budget reserved for the event-day liquid sleeve."""
+
+    event_day_liquid_max_positions: int = 0
+    """Maximum number of event-day liquid continuation names to add."""
+
+    event_day_liquid_soft_day_only: bool = False
+    """Only activate the event-day liquid sleeve on soft days."""
+
+    event_day_liquid_min_event_names: int = 1
+    """Minimum number of event-backed morning names required to activate the sleeve."""
+
+    event_day_liquid_allowed_event_types: list[str] = Field(default_factory=list)
+    """Optional event types used only for event-day sleeve activation.
+
+    When empty, activation reuses the filtered event state already applied to
+    the core momentum strategy. When set, activation can see a broader set of
+    raw filing types without contaminating the core event sleeves.
+    """
+
+    event_day_liquid_min_event_score: float | None = None
+    """Minimum same-day event score required for activation contributors."""
+
+    event_day_liquid_min_event_support_score: float | None = None
+    """Minimum support score required for activation contributors."""
+
+    event_day_liquid_min_total_event_entry_dollar_volume: float | None = None
+    """Minimum combined entry-time dollar volume across activation contributors."""
+
+    event_day_liquid_min_gain_pct: float | None = None
+    """Minimum morning gain required for added liquid continuation names."""
+
+    event_day_liquid_max_gain_pct: float | None = None
+    """Maximum morning gain allowed for added liquid continuation names."""
+
+    event_day_liquid_min_confirmation_return_pct: float | None = None
+    """Minimum confirmation return required for added liquid continuation names."""
+
+    event_day_liquid_min_entry_dollar_volume: float | None = None
+    """Minimum entry-time dollar volume required for added liquid continuation names."""
+
+    event_day_liquid_min_avg_dollar_vol_30d: float | None = None
+    """Minimum prior 30-day average dollar volume required for added liquid names."""
+
+    event_day_liquid_max_entropy_20d: float | None = None
+    """Maximum 20-day entropy allowed for added liquid continuation names."""
+
+    event_day_liquid_min_support_score: float | None = None
+    """Minimum blended support score required for added liquid continuation names."""
+
+    use_sector_etf_sleeve: bool = False
+    """When True, allow a post-allocation sector ETF proxy sleeve.
+
+    This sleeve uses the same activated liquid-cluster sectors, but deploys a
+    reserved capital slice into sector ETFs instead of additional single-name
+    positions.
+    """
+
+    sector_etf_capital_fraction: float = 0.0
+    """Fraction of the day budget reserved for the sector ETF sleeve."""
+
+    sector_etf_max_positions: int = 1
+    """Maximum number of sector ETF proxy positions to add."""
+
+    sector_etf_min_sector_score: float | None = None
+    """Minimum liquid-cluster sector score required for ETF sleeve activation."""
+
     use_gap_reclaim_sleeve: bool = False
     """Enable a high-gap reclaim sleeve for early flushes that stabilize below the open."""
 
@@ -715,6 +851,15 @@ class StrategyParams(BaseModel):
     candidate_intraday_weight_avg_dollar_vol_30d: float = 0.0
     """Weighted-mode contribution from prior 30-day average dollar volume."""
 
+    candidate_intraday_weight_support_score: float = 0.0
+    """Weighted-mode contribution from same-day blended support score."""
+
+    candidate_intraday_weight_liquid_largecap: float = 0.0
+    """Weighted-mode contribution from qualifying as a liquid large-cap name."""
+
+    candidate_intraday_weight_moderate_gap_liquid: float = 0.0
+    """Weighted-mode contribution from qualifying as a moderate-gap liquid name."""
+
     candidate_intraday_weight_gap: float = 0.0
     """Weighted-mode contribution from opening gap vs prior close."""
 
@@ -854,6 +999,14 @@ class StrategyParams(BaseModel):
     """Minimum same-day filing event score required at the candidate stage.
     Ignored when no same-day event features are present."""
 
+    candidate_allowed_event_types: list[str] = Field(default_factory=list)
+    """Optional same-day filing event types allowed at the candidate stage.
+
+    When non-empty, candidate-stage catalyst gates only treat these filing
+    types as valid. This lets momentum variants use actual catalysts such as
+    earnings/material events while excluding weaker attention-like filings.
+    """
+
     candidate_weight_event_score: float = 0.0
     """Ranking weight for same-day filing event score in momentum candidate selection."""
 
@@ -1055,6 +1208,11 @@ class ORBStrategyParams(BaseModel):
     """Maximum allowed recent range compression ratio (10d / 60d). Lower = tighter setup.
     None disables the filter."""
 
+    max_gap_zscore_20d: float | None = None
+    """Maximum allowed gap z-score (relative to prior 20 sessions). Rejects anomalous gap-up days
+    where short-sellers are already leaning against the name. Low gap_zscore = routine gap = better ORB.
+    None disables the filter. Gainers_leader only."""
+
     # ATR-based stop management
     atr_stop_multiplier: float = 0.10
     """Initial stop distance = ATR(14) × this multiplier. Paper uses 10% (0.10)."""
@@ -1793,6 +1951,24 @@ class IntradayTrade(BaseModel):
     sector_thrust_total_entry_dollar_volume: float | None = None
     """Combined entry-time dollar volume across supporting same-sector names."""
 
+    is_liquid_cluster: bool | None = None
+    """True when the trade qualified through the separate liquid-cluster engine."""
+
+    liquid_cluster_member_count: int | None = None
+    """Number of same-sector names supporting the liquid-cluster trade."""
+
+    liquid_cluster_total_entry_dollar_volume: float | None = None
+    """Combined entry-time dollar volume across the liquid cluster."""
+
+    liquid_cluster_sector: str | None = None
+    """Resolved sector label used by the liquid-cluster engine / ETF sleeve."""
+
+    liquid_cluster_sector_score: float | None = None
+    """Sector-level cluster score used for post-allocation overlays."""
+
+    sector_proxy_ticker: str | None = None
+    """Mapped sector ETF proxy ticker when the trade comes from ETF sleeve logic."""
+
     # ORB-specific fields (optional, None for momentum trades)
     orb_direction: str | None = None
     """ORB trade direction: 'long' or 'short'. None for momentum trades."""
@@ -1871,6 +2047,12 @@ class DayResult(BaseModel):
     """Extra meta-layer scaler for sparse soft-day baskets lacking supportive sleeves."""
     is_soft_day: bool = False
     """True when combined_scaler < soft_day_scaler_threshold (soft-regime day)."""
+    event_day_liquid_active: bool = False
+    """True when the event-day liquid sleeve activation gate passed for the day."""
+    event_day_liquid_event_count: int | None = None
+    """Number of morning event contributors that qualified the event-day liquid gate."""
+    event_day_liquid_total_event_entry_dollar_volume: float | None = None
+    """Combined entry-time dollar volume across event-day liquid activation contributors."""
 
 
 # ── Aggregate Metrics ──────────────────────────────────────────────────────

libs/intraday/orb_simulator.py

@@ -537,6 +537,12 @@ def compute_orb_candidates(
                 _f_rvol += 1
                 continue
 
+        if engine_family == "gainers_leader":
+            max_gzs = getattr(params, "max_gap_zscore_20d", None)
+            if max_gzs is not None and (gap_zscore_20d is None or gap_zscore_20d > max_gzs):
+                _f_rvol += 1
+                continue
+
         if engine_family == "stocks_in_play_dual_regime":
             if getattr(params, "require_event_flag", False) and not event_flag:
                 _f_gap += 1