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130 lines
4.8 KiB
YAML
130 lines
4.8 KiB
YAML
_meta:
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name: Leader Intraday Momentum Defended
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description: Intraday-first leader momentum with layered downside defense. It keeps the corrected broad-universe candidate engine, then scales down weak market/breadth days and also shrinks thin, weak-support single-name breakout days to improve loss containment without changing the core entry logic.
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id: 31
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strategy_mode: momentum
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strategy:
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compound_returns: false
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entry_minutes_after_open: 10
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confirmation_minutes_after_entry: 5
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min_confirmation_return_pct: 0.005
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exit_minutes_before_close: 10
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stop_loss_pct: null
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trailing_stop_pct: -0.08
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overextended_trailing_gain_pct: 0.04
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overextended_trailing_stop_pct: -0.075
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min_morning_gain_pct: 0.015
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max_morning_gain_pct: 0.06
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max_gap_pct: 0.055
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min_volume_ratio_14d: 0.04
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min_entry_volume: 125000
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min_entry_dollar_volume: 1500000
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ticker_cooldown_days: 0
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top_n: 9
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max_positions_per_sector: 2
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use_five_sleeves: true
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five_sleeve_force_count: 4
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tail_risk_day_max_trades: 1
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tail_risk_day_min_max_gain_pct: 0.03
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tail_risk_day_max_support_score: 0.25
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tail_risk_day_min_max_entropy_20d: 0.79
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tail_risk_day_min_max_confirmation_return_pct: 0.01
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tail_risk_day_exempt_largecap: true
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tail_risk_day_scale: 0.55
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max_entropy_20d: 0.86
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entropy_size_scale_low: 0.78
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entropy_size_scale_high: 0.86
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entropy_size_scale_min: 0.6
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max_vix: 30.0
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market_regime_spy_threshold: null
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market_regime_gap_threshold: -0.015
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market_regime_gap_ticker: SPY
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regime_size_scale_low: -0.015
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regime_size_scale_high: 0.002
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regime_size_scale_min: 0.65
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min_candidate_breadth: 0.4
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breadth_size_scale_low: 0.4
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breadth_size_scale_high: 0.62
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breadth_size_scale_min: 0.7
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soft_day_scaler_threshold: 0.88
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soft_day_max_trades: 5
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rolling_loss_days: null
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rolling_loss_threshold: null
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recent_live_scan_days: 0
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recent_live_scan_min_price: 2.0
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recent_live_scan_avg_volume_min: 200000
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recent_live_scan_market_cap_min: 100000000.0
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recent_live_scan_max_candidates_per_day: 150
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recent_live_scan_top_n: 6
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recent_live_scan_min_morning_gain_pct: 0.005
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recent_live_scan_max_morning_gain_pct: 0.05
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recent_live_scan_min_confirmation_return_pct: 0.0005
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recent_live_scan_min_entry_dollar_volume: 50000000.0
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recent_live_scan_max_gap_pct: 0.04
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recent_live_scan_max_entropy_20d: 0.9
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recent_live_scan_use_slow_ignite_sleeve: true
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recent_live_scan_slow_ignite_weight: 0.30
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recent_live_scan_slow_ignite_min_gain_pct: 0.003
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recent_live_scan_slow_ignite_max_gain_pct: 0.015
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recent_live_scan_slow_ignite_min_entry_dollar_volume: 50000000.0
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recent_live_scan_slow_ignite_max_entropy_20d: 0.9
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recent_live_scan_use_liquid_largecap_sleeve: true
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recent_live_scan_liquid_largecap_weight: 0.35
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recent_live_scan_liquid_largecap_min_gain_pct: 0.004
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recent_live_scan_liquid_largecap_max_gain_pct: 0.02
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recent_live_scan_liquid_largecap_min_confirmation_return_pct: 0.0005
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recent_live_scan_liquid_largecap_min_entry_dollar_volume: 50000000.0
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recent_live_scan_liquid_largecap_min_avg_dollar_vol_30d: 500000000.0
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recent_live_scan_liquid_largecap_max_entropy_20d: 0.9
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initial_capital: 10000.0
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slippage_bps: 5.0
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candidate_source_mode: intraday_first
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candidate_seed_threshold: 0.0075
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candidate_seed_max_per_day: 150
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candidate_seed_liquid_overlay_slots: 3
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candidate_seed_liquid_min_gap_pct: 0.005
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candidate_seed_liquid_max_gap_pct: 0.025
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candidate_seed_liquid_min_avg_dollar_vol_30d: 5000000000.0
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candidate_seed_liquid_min_ret_5d: 0.0
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candidate_seed_liquid_max_entropy_20d: 0.87
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candidate_seed_leader_overlay_slots: 1
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candidate_seed_leader_min_gap_pct: -0.025
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candidate_seed_leader_max_gap_pct: 0.01
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candidate_seed_leader_min_avg_dollar_vol_30d: 500000000.0
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candidate_seed_leader_min_ret_5d: 0.15
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candidate_seed_leader_min_atr_pct: 0.06
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candidate_seed_leader_max_entropy_20d: 0.75
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candidate_final_max_per_day: 14
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candidate_intraday_rank_mode: weighted
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candidate_intraday_weight_gain: 0.10
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candidate_intraday_weight_confirmation: 0.45
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candidate_intraday_weight_volume_ratio: 0.20
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candidate_intraday_weight_entry_dollar_volume: 0.15
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candidate_intraday_weight_gap: 0.05
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candidate_intraday_weight_low_entropy: 0.05
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candidate_intraday_weight_avg_dollar_vol_30d: 0.08
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use_liquid_largecap_sleeve: true
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liquid_largecap_weight: 0.05
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fallback_liquid_largecap_slots: 1
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fallback_liquid_largecap_trigger_below: 2
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liquid_largecap_min_gain_pct: 0.004
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liquid_largecap_max_gain_pct: 0.015
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liquid_largecap_min_confirmation_return_pct: 0.0005
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liquid_largecap_min_entry_dollar_volume: 50000000.0
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liquid_largecap_min_avg_dollar_vol_30d: 2000000000.0
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liquid_largecap_max_entropy_20d: 0.87
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universe:
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source: broad
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min_price: 10.0
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backtest:
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start_date: null
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end_date: null
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lookback_trading_days: 200
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pre_screen_threshold: 0.02
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cache:
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enabled: true
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dir: data/cache/intraday
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output:
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dir: runs/intraday
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verbose: false
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