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110 lines
3.8 KiB
YAML
110 lines
3.8 KiB
YAML
_meta:
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name: Leader Intraday Momentum Actual Catalyst Liquid
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description: Separate actual-catalyst liquid-leader continuation engine. Uses only filing-backed catalyst candidates of selected event types, seeds a broad intraday-first shortlist from same-day events, then ranks and trades the liquid leaders showing early continuation.
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id: 26
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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: 0.003
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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: 0.05
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overextended_trailing_stop_pct: -0.07
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min_gap_pct: 0.0
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min_morning_gain_pct: 0.008
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max_morning_gain_pct: 0.06
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max_gap_pct: 0.12
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min_volume_ratio_14d: 0.02
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min_entry_volume: 100000
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min_entry_dollar_volume: 12000000
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ticker_cooldown_days: 0
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top_n: 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: 3
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use_event_sleeve: true
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event_weight: 0.20
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event_min_score: 1.0
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event_sleeve_soft_day_only: false
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use_liquid_largecap_sleeve: true
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liquid_largecap_weight: 0.15
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liquid_largecap_min_gain_pct: 0.004
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liquid_largecap_max_gain_pct: 0.03
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liquid_largecap_min_confirmation_return_pct: 0.001
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liquid_largecap_min_entry_dollar_volume: 50000000
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liquid_largecap_min_avg_dollar_vol_30d: 1000000000
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liquid_largecap_max_entropy_20d: 0.85
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use_moderate_gap_liquid_sleeve: true
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moderate_gap_liquid_weight: 0.10
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moderate_gap_liquid_min_gap_pct: 0.003
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moderate_gap_liquid_max_gap_pct: 0.04
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moderate_gap_liquid_min_gain_pct: 0.008
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moderate_gap_liquid_max_gain_pct: 0.04
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moderate_gap_liquid_min_confirmation_return_pct: 0.002
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moderate_gap_liquid_min_entry_dollar_volume: 20000000
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moderate_gap_liquid_min_avg_dollar_vol_30d: 250000000
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moderate_gap_liquid_max_avg_dollar_vol_30d: 3000000000
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moderate_gap_liquid_min_volume_ratio_14d: 0.02
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moderate_gap_liquid_max_entropy_20d: 0.84
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max_entropy_20d: 0.85
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entropy_size_scale_low: 0.78
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entropy_size_scale_high: 0.85
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entropy_size_scale_min: 0.7
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sector_concentration_scale_low: 0.4
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sector_concentration_scale_high: 0.67
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sector_concentration_scale_min: 0.85
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max_vix: 35.0
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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: 0.0
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candidate_seed_max_per_day: 80
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candidate_seed_liquid_overlay_slots: 0
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candidate_seed_leader_overlay_slots: 0
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candidate_seed_moderate_liquid_overlay_slots: 0
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candidate_seed_event_overlay_slots: 20
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candidate_seed_event_min_score: 1.0
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candidate_seed_event_min_gap_pct: 0.0
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candidate_seed_event_max_gap_pct: 0.12
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candidate_seed_event_min_avg_dollar_vol_30d: 150000000
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candidate_seed_event_min_ret_5d: 0.0
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candidate_seed_event_max_entropy_20d: 0.85
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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: 0.25
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candidate_intraday_weight_volume_ratio: 0.15
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candidate_intraday_weight_entry_dollar_volume: 0.20
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candidate_intraday_weight_avg_dollar_vol_30d: 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_event_score: 0.20
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candidate_intraday_event_reserve_slots: 2
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candidate_intraday_event_reserve_min_score: 1.0
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candidate_intraday_event_reserve_soft_day_only: false
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candidate_intraday_moderate_liquid_reserve_slots: 0
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candidate_require_event_flag: true
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candidate_min_event_score: 1.0
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candidate_allowed_event_types:
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- earnings_release
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- guidance_update
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- material_contract
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- other_material_event
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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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