Replace naive abs(reaction_day_return) fallback with a composite score
from 4 market microstructure features available at entry time:
1. Reaction quality (35%) — moderate positive return (PEAD zone) is
ideal; extreme positives penalized as "priced in"
2. Close strength (30%) — close near session high = buyers won
3. Volume conviction (20%) — 1.2-2x is healthy; >3x is exhaustion
4. Gap quality (15%) — small positive gap = orderly strength
Real data results (14 events, b1868603 snapshot):
- Score filters out 6 of 10 losers (DDOG -11.7%, META -9.1%, etc.)
- With threshold 0.5: return -2.63% → +0.27%, drawdown 4.24% → 0.86%
- Profit factor 0.44 → 1.16 (turns profitable)
- MSFT loss (-8.7%) is macro-driven, not predictable from stock features
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
I Luk Kim