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31 lines
1.3 KiB
YAML
31 lines
1.3 KiB
YAML
# Morning Momentum Intraday Backtester — Default Configuration
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# Strategy: Buy top N morning gainers at ENTRY time, sell at EXIT time or stop loss.
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strategy:
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entry_minutes_after_open: 30 # 9:30 + 30 = 10:00 AM ET
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exit_minutes_before_close: 30 # 4:00 - 30 = 3:30 PM ET
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stop_loss_pct: -0.02 # -2% stop loss (null to disable)
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min_morning_gain_pct: 0.01 # stock must be up >= 1% to qualify
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top_n: 3 # buy top 3 gainers
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initial_capital: 10000 # $10,000 starting capital
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slippage_bps: 5.0 # 0.05% per side (entry + exit)
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universe:
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source: sp500 # sp500 | nasdaq100 | midlarge | largecap | yaml | screener
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sector_exclude: [] # e.g. ["Energy", "Utilities"]
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min_price: 5.0 # filter out penny stocks
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backtest:
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start_date: null # null = auto (today - lookback_trading_days)
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end_date: null # null = today
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lookback_trading_days: 40 # ~2 months
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pre_screen_threshold: 0.015 # phase 1 filter: opening gap vs prev_close >= 1.5%
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cache:
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enabled: true
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dir: data/cache/intraday # Parquet files: {dir}/{TICKER}/{YYYY-MM-DD}.parquet
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output:
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dir: runs/intraday
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verbose: false # true = show per-day table during run
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