# HYBRID V118 - RELATIVE STRENGTH FILTER
# Only trade symbols outperforming their recent history
# Losers tend to underperform their own history

CONTEXT:
UNIVERSE: SP500
BASE_TZ: America/New_York
CAPITAL: 1_000_000

PARAMS:
sym="{{sym}}",
mom_threshold=0.10,
vol_mult=1.3,
min_atr_pct=0.025,
atr_mult=2.0,
risk_frac=0.03

STRATEGY "Hybrid-RelativeStrength-v118":

TRIGGER:
TIME_UTC_IN("10:00", "15:30")

# === RELATIVE STRENGTH FILTERS ===
# Filter 1: Current price vs 20-day high (must be near highs, not crashed)
AND LAST(CLOSE(sym, 1d)) > HIGHEST(HIGH(sym, 1d), 20) * 0.90

# Filter 2: 10-day return > 20-day return (accelerating momentum)
AND RETURN(CLOSE(sym, 1d), 10) > RETURN(CLOSE(sym, 1d), 20) * 0.6

# Filter 3: Minimum volatility
AND ATR(sym, 1d, 14) / LAST(CLOSE(sym, 1d)) > min_atr_pct

# Filter 4: Not crashing (20-day return positive or flat)
AND RETURN(CLOSE(sym, 1d), 20) > -0.05

# Filter 5: Volume increasing (healthy accumulation)
AND SMA(VOL(sym, 1d), 5) > SMA(VOL(sym, 1d), 20)

# === ORIGINAL ENTRY ===
AND RETURN(CLOSE(sym, 1d), 20) > mom_threshold
AND EMA(CLOSE(sym, 1d), 10) > EMA(CLOSE(sym, 1d), 26)
AND LAST(VOL(sym, 1d)) > LAST(VOL(sym, 1d), 1) * vol_mult

ENTRY: MARKET

EXIT:
LAST(CLOSE(sym, 1d)) < (HIGHEST(HIGH(sym, 1d), 22) - 3.0 * ATR(sym, 1d, 22))
OR (VOL_PERCENTILE(sym, 1d, 14, 50) > 80 AND RETURN(CLOSE(sym, 1d), 3) < 0)

RISK: ATR_STOP(atr_mult)
SIZING: FIXED_FRACTION(risk_frac)