# HYBRID V120 - VOLATILITY REGIME FILTER
# Trade only in healthy volatility - not too low (boring) or too high (chaotic)
# Leveraged ETFs have extreme volatility, large caps have too low

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,
max_atr_pct=0.12,
atr_mult=2.0,
risk_frac=0.03

STRATEGY "Hybrid-VolRegime-v120":

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

# === VOLATILITY REGIME FILTERS ===
# Filter 1: Minimum volatility (exclude boring large caps)
AND ATR(sym, 1d, 14) / LAST(CLOSE(sym, 1d)) > min_atr_pct

# Filter 2: Maximum volatility (exclude chaotic leveraged ETFs)
AND ATR(sym, 1d, 14) / LAST(CLOSE(sym, 1d)) < max_atr_pct

# Filter 3: Volatility expanding (opportunity emerging)
AND ATR(sym, 1d, 7) > ATR(sym, 1d, 21) * 0.9

# Filter 4: Price above VWAP-like level (above average cost)
AND LAST(CLOSE(sym, 1d)) > SMA(CLOSE(sym, 1d), 20)

# Filter 5: Healthy trend structure
AND EMA(CLOSE(sym, 1d), 10) > EMA(CLOSE(sym, 1d), 30)
AND SMA(CLOSE(sym, 1d), 30) > SMA(CLOSE(sym, 1d), 60)

# === ORIGINAL ENTRY ===
AND RETURN(CLOSE(sym, 1d), 20) > mom_threshold
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)