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103 lines
3.9 KiB
YAML
103 lines
3.9 KiB
YAML
_meta:
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name: Leader Intraday Momentum Safe
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description: Safer intraday-first leader basket derived from the current high-win-rate engine. It keeps the liquid-largecap-aware candidate stack, same-day confirmation rerank, and five-sleeve blend, but scales sparse 1-5 position days below full size to reduce trap-day drawdowns without reverting to the stale pre-intraday-first safe rules.
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id: 19
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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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full_size_positions_threshold: 6
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sparse_day_size_floor: 0.5
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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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max_entropy_20d: 0.86
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max_vix: 30.0
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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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market_regime_spy_threshold: null
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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_final_max_per_day: 12
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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: yaml
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symbols_file: configs/symbols_broad_snapshot_3408.yaml
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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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