config.py

"""Strategy parameters.

Every tunable constant lives here so the strategy logic stays free of magic
numbers and a parameter sweep only needs to touch one file.
"""

# --- Universe -------------------------------------------------------------
# Twenty large-cap US technology names. Chosen for liquidity: each trades far
# above the volume floor below, so fills are realistic at the position sizes
# this system generates.
UNIVERSE = [
    "AAPL", "MSFT", "GOOGL", "NVDA", "AMZN",
    "META", "TSLA", "ADBE", "NFLX", "CSCO",
    "INTC", "PYPL", "CRM", "ORCL", "IBM",
    "QCOM", "AMD", "NOW", "INTU", "MU",
]

# --- Data ------------------------------------------------------------------
LOOKBACK_CALENDAR_DAYS = 400  # ~1 trading year plus weekend/holiday buffer
MIN_BARS_REQUIRED = 100       # reject a ticker with too little history to screen

# --- Stage 1: liquidity screen --------------------------------------------
MIN_PRICE = 3.00              # avoid sub-penny microstructure noise
MIN_AVG_VOLUME = 300_000      # 50-day average shares/day
TREND_SMA_PERIOD = 50         # price must sit above this SMA to be considered

# --- Stage 2: breakout signal ---------------------------------------------
# The pattern is an impulse leg, then a shallow consolidation, then a breakout
# to new highs -- a volatility-contraction setup.
BREAKOUT_LOOKBACK = 63        # trading days (~3 months) defining the prior high
MIN_IMPULSE_GAIN = 0.30       # impulse leg must run at least +30% into the peak
MIN_CONSOLIDATION_DAYS = 4    # too short is noise, not a base
MAX_CONSOLIDATION_DAYS = 40   # too long and the momentum has decayed
MAX_RETRACEMENT = 0.25        # a base deeper than 25% is a failed setup
ATR_PERIOD = 14

# --- Stage 3: position sizing ---------------------------------------------
ACCOUNT_EQUITY = 100_000.0
RISK_PER_TRADE = 0.02         # fixed-fractional: risk 2% of equity per position
MAX_STOP_ATR_MULTIPLE = 1.0   # reject setups whose stop is wider than 1x ATR

# --- Stage 4: exit ---------------------------------------------------------
EXIT_SMA_PERIOD = 10          # close below the 10-day SMA ends the trade

# --- Persistence -----------------------------------------------------------
PORTFOLIO_FILE = "active_positions.csv"