# HYBRID V122 - MASTER FILTER
# Comprehensive filter based on parent-child analysis
# Targets: Remove leveraged ETFs, warrants, dying stocks, low-vol ETFs
#
# KEY FINDINGS:
# 1. Leveraged ETFs (AMDL, SQQQ, etc) = consistent losers
# 2. Most warrants = losers (decay + weird price action)
# 3. Bond ETFs = 0% win rate (don't trend)
# 4. Dying stocks = persistent downtrend
# 5. Low ATR% = no profit potential

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=0.03,
max_atr_pct=0.15,
min_price=1.0,
atr_mult=2.0,
risk_frac=0.03

STRATEGY "Hybrid-MasterFilter-v122":

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

# === MASTER FILTERS ===

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

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

# Filter 3: Minimum price (exclude penny stocks with weird fills)
AND LAST(CLOSE(sym, 1d)) > min_price

# Filter 4: NOT in severe downtrend (exclude dying stocks)
AND RETURN(CLOSE(sym, 1d), 50) > -0.40

# Filter 5: Above long-term moving average
AND LAST(CLOSE(sym, 1d)) > SMA(CLOSE(sym, 1d), 100)

# Filter 6: Healthy trend structure (50 > 100 SMA)
AND SMA(CLOSE(sym, 1d), 50) > SMA(CLOSE(sym, 1d), 100)

# Filter 7: Not extreme inverse pattern (high vol + negative return = leveraged inverse)
AND NOT (ATR(sym, 1d, 14) / LAST(CLOSE(sym, 1d)) > 0.06 AND RETURN(CLOSE(sym, 1d), 20) < -0.20)

# Filter 8: Recent positive momentum (not distribution)
AND RETURN(CLOSE(sym, 1d), 10) > -0.10

# Filter 9: Volume confirms trend (not dumping)
AND LAST(VOL(sym, 1d)) > SMA(VOL(sym, 1d), 20) * 0.5

# === CORE ENTRY (from v107) ===
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)