# HYBRID V123 - STRICT QUALITY FILTER
# Ultra-strict filters to only trade highest quality setups
# Based on analysis: losers have weak trends, extreme vol, or negative momentum

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=0.035,
max_atr_pct=0.12,
min_adx=20,
atr_mult=2.0,
risk_frac=0.03

STRATEGY "Hybrid-StrictQuality-v123":

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

# === STRICT QUALITY FILTERS ===

# Filter 1: Goldilocks volatility (not too low, not too high)
AND ATR(sym, 1d, 14) / LAST(CLOSE(sym, 1d)) > min_atr_pct
AND ATR(sym, 1d, 14) / LAST(CLOSE(sym, 1d)) < max_atr_pct

# Filter 2: Strong trend (ADX > 20)
AND ADX(sym, 1d, 14) > min_adx

# Filter 3: All timeframe alignment
AND LAST(CLOSE(sym, 1d)) > EMA(CLOSE(sym, 1d), 10)
AND LAST(CLOSE(sym, 1d)) > EMA(CLOSE(sym, 1d), 21)
AND LAST(CLOSE(sym, 1d)) > SMA(CLOSE(sym, 1d), 50)

# Filter 4: Stacked moving averages (strong trend)
AND EMA(CLOSE(sym, 1d), 10) > EMA(CLOSE(sym, 1d), 21)
AND EMA(CLOSE(sym, 1d), 21) > SMA(CLOSE(sym, 1d), 50)

# Filter 5: Near highs (not extended pullback)
AND LAST(CLOSE(sym, 1d)) > HIGHEST(HIGH(sym, 1d), 20) * 0.90

# Filter 6: Positive momentum across all periods
AND RETURN(CLOSE(sym, 1d), 5) > -0.03
AND RETURN(CLOSE(sym, 1d), 10) > 0
AND RETURN(CLOSE(sym, 1d), 20) > mom_threshold

# Filter 7: Volume expansion (accumulation)
AND SMA(VOL(sym, 1d), 5) > SMA(VOL(sym, 1d), 20) * 0.8

# === CORE ENTRY ===
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)
OR ADX(sym, 1d, 14) < 15

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