# Results Report — Strategy v9.9.9 | @ES TF1 Long | 2026-04-17 | step=1 (max_count=6) | Trades=13 | PnL=+4.00 pts **Created:** 2026-04-19 23:11 **Strategy version:** v9.9.9 **Config variant:** exit_counter step=1, max_count=6 (6 ranges x step) **Config file on disk:** `config_2_indicators_v5_6_0.json` **Replay date:** 2026-04-17 **Instrument:** @ES (E-mini S&P 500 Futures) **Bar duration:** 1-second (1-min aggregated) **Direction:** Long --- ## Index - [Premarket Price Levels](#premarket-price-levels) - [Section 1 — PnL / Trade History](#section-1--pnl--trade-history) - [Section 2 — Per-Trade Analysis](#section-2--per-trade-analysis) - [Trade 1](#trade-1) - [Trade 2](#trade-2) - [Trade 3](#trade-3) - [Trade 4](#trade-4) - [Trade 5](#trade-5) - [Trade 6](#trade-6) - [Trade 7](#trade-7) - [Trade 8](#trade-8) - [Trade 9](#trade-9) - [Trade 10](#trade-10) - [Trade 11](#trade-11) - [Trade 12](#trade-12) - [Trade 13](#trade-13) - [Section 3 — Workflow Pedigree](#section-3--workflow-pedigree) - [Section 4 — Config Settings at Test Time](#section-4--config-settings-at-test-time) - [4.1: config_2_indicators_v5_6_0.json](#41-config_2_indicators_v5_6_0json-v560) - [4.2: config_3_time_zones_v5_1_0.json](#42-config_3_time_zones_v5_1_0json-v510) - [4.3: config_4_stop_loss_long_v5_3_0.json](#43-config_4_stop_loss_long_v5_3_0json-v530) - [4.4: config_5_strategy_long_v1_7_6.json](#44-config_5_strategy_long_v1_7_6json-v176) - [4.5: config_6_profit_target_long_v1_0_0.json](#45-config_6_profit_target_long_v1_0_0json-v100) - [4.6: config_7_limit_order_long_v1_0_0.json](#46-config_7_limit_order_long_v1_0_0json-v101) ### Premarket Price Levels | Level | Price | Window | |-------|-------|--------| | Prior Day Close | 7076.50 | — | | Premarket High | 7147.50 | 08:00–09:29 ET | | Market Open | 7121.50 | 09:31 open | | Premarket Low | 7099.50 | 08:00–09:29 ET | --- ## Section 1 — PnL / Trade History | Trade # | Entry Bar | Entry Time | Entry Price | Entry Transition | Exit Bar | Exit Time | Exit Price | Exit Transition (From State) | PnL (pts) | PnL ($) | |---------|-----------|------------|-------------|------------------|----------|-----------|------------|------------------------------|-----------|---------| | 1 | 23 | 09:53:27 | 7138.00 | t_110_trade_entry_submitted | 34 | 10:04:48 | 7149.50 | t_226_exit_profit_target_count (State09_YELLOW) | +11.50 | +$575 | | 2 | 35 | 10:05:00 | 7149.25 | t_110_trade_entry_submitted | 45 | 10:15:43 | 7152.75 | t_226_exit_profit_target_count (State11_RED) | +3.50 | +$175 | | 3 | 62 | 10:32:00 | 7156.50 | t_110_trade_entry_submitted | 65 | 10:35:28 | 7157.50 | t_221_exit_hard_stop (State09_YELLOW) | +1.00 | +$50 | | 4 | 71 | 10:41:00 | 7167.25 | t_110_trade_entry_submitted | 78 | 10:48:27 | 7172.25 | t_226_exit_profit_target_count (State09_YELLOW) | +5.00 | +$250 | | 5 | 80 | 10:50:00 | 7173.25 | t_110_trade_entry_submitted | 85 | 10:55:24 | 7167.50 | t_221_exit_hard_stop (State09_YELLOW) | -5.75 | -$287 | | 6 | 116 | 11:26:51 | 7167.50 | t_110_trade_entry_submitted | 131 | 11:41:39 | 7172.00 | t_226_exit_profit_target_count (State11_RED) | +4.50 | +$225 | | 7 | 147 | 11:57:10 | 7174.25 | t_110_trade_entry_submitted | 148 | 11:58:36 | 7170.25 | t_221_exit_hard_stop (State09_YELLOW) | -4.00 | -$200 | | 8 | 153 | 12:03:35 | 7176.00 | t_110_trade_entry_submitted | 182 | 12:32:15 | 7181.50 | t_226_exit_profit_target_count (State11_RED) | +5.50 | +$275 | | 9 | 195 | 12:45:26 | 7185.00 | t_110_trade_entry_submitted | 218 | 13:08:13 | 7179.75 | t_221_exit_hard_stop (State09_YELLOW) | -5.25 | -$262 | | 10 | 256 | 13:46:51 | 7166.50 | t_110_trade_entry_submitted | 278 | 14:08:57 | 7158.25 | t_221_exit_hard_stop (State11_RED) | -8.25 | -$412 | | 11 | 295 | 14:25:14 | 7164.25 | t_110_trade_entry_submitted | 340 | 15:10:54 | 7154.25 | t_221_exit_hard_stop (State09_YELLOW) | -10.00 | -$500 | | 12 | 355 | 15:25:20 | 7156.25 | t_110_trade_entry_submitted | 368 | 15:38:29 | 7161.75 | t_226_exit_profit_target_count (State09_YELLOW) | +5.50 | +$275 | | 13 | 369 | 15:39:00 | 7161.50 | t_110_trade_entry_submitted | 386 | 15:56:00 | 7162.25 | t_220_exit_session_close (State11_RED) | +0.75 | +$37 | | **TOTAL** | | | | | | | | | **+4.00** | **+$200** | **Record:** 8W / 5L **Avg profit:** +0.31 pts | **Max loss:** -10.00 pts | **Avg duration:** 15.5 min | **Win rate:** 61.5% --- ## Section 2 — Per-Trade Analysis > *Source: `intra_bar_transitions` from `strategy.get_bar_results()`.* ### Trade 1 **Entry 09:53:27 -> Exit 10:04:48 | +11.50 pts | 11 min | Entry offset at fill: ?pts | Max exit_counter: 40 | Max potential profit: +11.25 pts** #### Diagnostic Log | Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price | |-----|-----------|-------|--------------|-----------------|------------|----------|-------| | 21 | 09:51:00 | 1/1 | 50 | `t_50_bear_trend_met` | State01_WAIT_BEAR_TREND | State02_WAIT_BULL_SHIFT | 7131.25 | | 22 | 09:52:00 | 1/3 | 60 | `t_60_bull_shift_met` | State02_WAIT_BULL_SHIFT | State03_WAIT_MA_CROSS | 7135.00 | | 22 | 09:52:00 | 2/3 | 70 | `t_70_ma_bull_cross` | State03_WAIT_MA_CROSS | State04_WAIT_INDICATORS | 7135.00 | | 22 | 09:52:00 | 3/3 | 80 | `t_80_all_indicators_confirmed` | State04_WAIT_INDICATORS | State05_WAIT_RETEST | 7135.00 | | 24 | 09:53:01 | 1/4 | 91 | `t_91_midbar_retest_touched` | State05_WAIT_RETEST | State06_WAIT_BREAKOUT | 7136.00 | | 24 | 09:53:27 | 2/4 | 100 | `t_100_breakout_level_hit` | State06_WAIT_BREAKOUT | State07_ENTRY_GATE | 7138.00 | | 24 | 09:53:27 | 3/4 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7138.00 | | 24 | 09:53:28 | 4/4 | 200 | `t_200_yellow_to_green` | State09_YELLOW | State10_GREEN | 7137.75 | | 25 | 09:54:01 | 1/1 | 201 | `t_201_green_to_yellow` | State10_GREEN | State09_YELLOW | 7137.50 | | 29 | 09:58:13 | 1/13 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7139.00 | | 33 | 10:02:49 | 3/4 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7144.50 | | 35 | 10:04:48 | 1/1 | 226 | `t_226_exit_profit_target_count` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7149.50 | #### AI Summary **1. What happened:** Trade 1 entered via `t_110_trade_entry_submitted` at 09:53:27, exited via `EXIT_PROFIT_TARGET_COUNT` at 10:04:48 for +11.50 pts. Exit counter peaked at 40 during this trade. **2. Entry quality:** Good — entry at 7138.00, initial stop at 7128.0. **3. Exit quality:** Good — `EXIT_PROFIT_TARGET_COUNT` at 7149.50. **4. Strategy improvement candidates:** - step=1 (max_count=6): assess exit tolerance adequacy for this trade. - Compare vs step=0 baseline: did the counter allow a better exit? - max_ec=40: verify counter entered tightening range before exit fired. **5. Risk notes:** Config step=1, max_count=6. Exit counter active throughout trade lifecycle. ### Trade 2 **Entry 10:05:00 -> Exit 10:15:43 | +3.50 pts | 10 min | Entry offset at fill: ?pts | Max exit_counter: 99 | Max potential profit: +3.75 pts** #### Diagnostic Log | Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price | |-----|-----------|-------|--------------|-----------------|------------|----------|-------| | 35 | 10:05:00 | 1/2 | 93 | `t_93_lwr_high_bypass` | State01_WAIT_BEAR_TREND | State07_ENTRY_GATE | 7149.25 | | 35 | 10:05:00 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7149.25 | | 39 | 10:08:01 | 1/2 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7149.50 | | 42 | 10:11:32 | 9/24 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7151.00 | | 43 | 10:12:05 | 1/11 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7150.00 | | 43 | 10:12:06 | 2/11 | 202 | `t_202_yellow_to_red` | State09_YELLOW | State11_RED | 7150.25 | | 44 | 10:13:02 | 2/5 | 230 | `t_230_offset_change` | State11_RED | State11_RED | 7149.25 | | 46 | 10:15:19 | 8/13 | 230 | `t_230_offset_change` | State11_RED | State11_RED | 7150.75 | | 46 | 10:15:43 | 13/13 | 226 | `t_226_exit_profit_target_count` | State11_RED | State01_WAIT_BEAR_TREND | 7152.75 | #### AI Summary **1. What happened:** Trade 2 entered via `t_110_trade_entry_submitted` at 10:05:00, exited via `EXIT_PROFIT_TARGET_COUNT` at 10:15:43 for +3.50 pts. Exit counter peaked at 99 during this trade. **2. Entry quality:** Good — entry at 7149.25, initial stop at 7143.5. **3. Exit quality:** Good — `EXIT_PROFIT_TARGET_COUNT` at 7152.75. **4. Strategy improvement candidates:** - step=1 (max_count=6): assess exit tolerance adequacy for this trade. - Compare vs step=0 baseline: did the counter allow a better exit? - max_ec=99: verify counter entered tightening range before exit fired. **5. Risk notes:** Config step=1, max_count=6. Exit counter active throughout trade lifecycle. ### Trade 3 **Entry 10:32:00 -> Exit 10:35:28 | +1.00 pts | 3 min | Entry offset at fill: ?pts | Max exit_counter: 0 | Max potential profit: +6.25 pts** #### Diagnostic Log | Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price | |-----|-----------|-------|--------------|-----------------|------------|----------|-------| | 62 | 10:32:00 | 1/2 | 93 | `t_93_lwr_high_bypass` | State01_WAIT_BEAR_TREND | State07_ENTRY_GATE | 7156.50 | | 62 | 10:32:00 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7156.50 | | 66 | 10:35:05 | 1/18 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7160.50 | | 66 | 10:35:26 | 16/18 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7158.50 | | 66 | 10:35:28 | 18/18 | 221 | `t_221_exit_hard_stop` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7157.25 | #### AI Summary **1. What happened:** Trade 3 entered via `t_110_trade_entry_submitted` at 10:32:00, exited via `EXIT_HARD_STOP` at 10:35:28 for +1.00 pts. Exit counter peaked at 0 during this trade. **2. Entry quality:** Good — entry at 7156.50, initial stop at 7151.0. **3. Exit quality:** Marginal — `EXIT_HARD_STOP` [Type_2_BreakEven] at 7157.50. Stop history: initial 7151.0 -> Type_1_Hard 7151.00 -> Type_2_BreakEven 7157.50. **4. Strategy improvement candidates:** - step=1 (max_count=6): assess exit tolerance adequacy for this trade. - Compare vs step=0 baseline: did the counter allow a better exit? - max_ec=0: verify counter entered tightening range before exit fired. **5. Risk notes:** Config step=1, max_count=6. Exit counter active throughout trade lifecycle. ### Trade 4 **Entry 10:41:00 -> Exit 10:48:27 | +5.00 pts | 7 min | Entry offset at fill: ?pts | Max exit_counter: 82 | Max potential profit: +4.50 pts** #### Diagnostic Log | Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price | |-----|-----------|-------|--------------|-----------------|------------|----------|-------| | 71 | 10:41:00 | 1/2 | 93 | `t_93_lwr_high_bypass` | State01_WAIT_BEAR_TREND | State07_ENTRY_GATE | 7167.25 | | 71 | 10:41:00 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7167.25 | | 74 | 10:43:36 | 1/12 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7168.50 | | 76 | 10:45:19 | 3/3 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7169.00 | | 77 | 10:46:57 | 16/16 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7169.50 | | 79 | 10:48:07 | 5/6 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7169.25 | | 79 | 10:48:27 | 6/6 | 226 | `t_226_exit_profit_target_count` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7172.25 | #### AI Summary **1. What happened:** Trade 4 entered via `t_110_trade_entry_submitted` at 10:41:00, exited via `EXIT_PROFIT_TARGET_COUNT` at 10:48:27 for +5.00 pts. Exit counter peaked at 82 during this trade. **2. Entry quality:** Good — entry at 7167.25, initial stop at 7159.75. **3. Exit quality:** Good — `EXIT_PROFIT_TARGET_COUNT` at 7172.25. **4. Strategy improvement candidates:** - step=1 (max_count=6): assess exit tolerance adequacy for this trade. - Compare vs step=0 baseline: did the counter allow a better exit? - max_ec=82: verify counter entered tightening range before exit fired. **5. Risk notes:** Config step=1, max_count=6. Exit counter active throughout trade lifecycle. ### Trade 5 **Entry 10:50:00 -> Exit 10:55:24 | -5.75 pts | 5 min | Entry offset at fill: ?pts | Max exit_counter: 0 | Max potential profit: +0.00 pts** #### Diagnostic Log | Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price | |-----|-----------|-------|--------------|-----------------|------------|----------|-------| | 80 | 10:50:00 | 1/2 | 93 | `t_93_lwr_high_bypass` | State01_WAIT_BEAR_TREND | State07_ENTRY_GATE | 7173.25 | | 80 | 10:50:00 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7173.25 | | 86 | 10:55:24 | 1/1 | 221 | `t_221_exit_hard_stop` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7167.25 | #### AI Summary **1. What happened:** Trade 5 entered via `t_110_trade_entry_submitted` at 10:50:00, exited via `EXIT_HARD_STOP` at 10:55:24 for -5.75 pts. Exit counter peaked at 0 during this trade. **2. Entry quality:** Good — entry at 7173.25, initial stop at 7167.5. **3. Exit quality:** Poor — `EXIT_HARD_STOP` [Type_1_Hard] at 7167.50. Stop history: initial 7167.5 -> Type_1_Hard 7167.50. **4. Strategy improvement candidates:** - step=1 (max_count=6): assess exit tolerance adequacy for this trade. - Compare vs step=0 baseline: did the counter allow a better exit? - max_ec=0: verify counter entered tightening range before exit fired. **5. Risk notes:** Config step=1, max_count=6. Exit counter active throughout trade lifecycle. ### Trade 6 **Entry 11:26:51 -> Exit 11:41:39 | +4.50 pts | 15 min | Entry offset at fill: ?pts | Max exit_counter: 122 | Max potential profit: +6.25 pts** #### Diagnostic Log | Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price | |-----|-----------|-------|--------------|-----------------|------------|----------|-------| | 110 | 11:20:00 | 1/1 | 50 | `t_50_bear_trend_met` | State01_WAIT_BEAR_TREND | State02_WAIT_BULL_SHIFT | 7162.50 | | 114 | 11:24:00 | 1/3 | 60 | `t_60_bull_shift_met` | State02_WAIT_BULL_SHIFT | State03_WAIT_MA_CROSS | 7166.75 | | 114 | 11:24:00 | 2/3 | 70 | `t_70_ma_bull_cross` | State03_WAIT_MA_CROSS | State04_WAIT_INDICATORS | 7166.75 | | 114 | 11:24:00 | 3/3 | 80 | `t_80_all_indicators_confirmed` | State04_WAIT_INDICATORS | State05_WAIT_RETEST | 7166.75 | | 115 | 11:24:01 | 1/1 | 91 | `t_91_midbar_retest_touched` | State05_WAIT_RETEST | State06_WAIT_BREAKOUT | 7165.75 | | 117 | 11:26:51 | 1/2 | 100 | `t_100_breakout_level_hit` | State06_WAIT_BREAKOUT | State07_ENTRY_GATE | 7167.50 | | 117 | 11:26:51 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7167.50 | | 123 | 11:32:37 | 1/2 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7169.75 | | 128 | 11:37:39 | 8/21 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7172.25 | | 129 | 11:38:03 | 3/8 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7171.00 | | 131 | 11:40:32 | 10/27 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7173.25 | | 131 | 11:40:58 | 26/27 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7172.25 | | 132 | 11:41:04 | 4/25 | 202 | `t_202_yellow_to_red` | State09_YELLOW | State11_RED | 7171.50 | | 132 | 11:41:16 | 13/25 | 230 | `t_230_offset_change` | State11_RED | State11_RED | 7171.50 | | 132 | 11:41:37 | 24/25 | 230 | `t_230_offset_change` | State11_RED | State11_RED | 7172.00 | | 132 | 11:41:39 | 25/25 | 226 | `t_226_exit_profit_target_count` | State11_RED | State01_WAIT_BEAR_TREND | 7172.25 | #### AI Summary **1. What happened:** Trade 6 entered via `t_110_trade_entry_submitted` at 11:26:51, exited via `EXIT_PROFIT_TARGET_COUNT` at 11:41:39 for +4.50 pts. Exit counter peaked at 122 during this trade. **2. Entry quality:** Good — entry at 7167.50, initial stop at 7162.25. **3. Exit quality:** Good — `EXIT_PROFIT_TARGET_COUNT` at 7172.00. **4. Strategy improvement candidates:** - step=1 (max_count=6): assess exit tolerance adequacy for this trade. - Compare vs step=0 baseline: did the counter allow a better exit? - max_ec=122: verify counter entered tightening range before exit fired. **5. Risk notes:** Config step=1, max_count=6. Exit counter active throughout trade lifecycle. ### Trade 7 **Entry 11:57:10 -> Exit 11:58:36 | -4.00 pts | 1 min | Entry offset at fill: ?pts | Max exit_counter: 0 | Max potential profit: -0.25 pts** #### Diagnostic Log | Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price | |-----|-----------|-------|--------------|-----------------|------------|----------|-------| | 133 | 11:43:00 | 1/1 | 50 | `t_50_bear_trend_met` | State01_WAIT_BEAR_TREND | State02_WAIT_BULL_SHIFT | 7168.00 | | 140 | 11:50:00 | 1/2 | 60 | `t_60_bull_shift_met` | State02_WAIT_BULL_SHIFT | State03_WAIT_MA_CROSS | 7169.75 | | 140 | 11:50:00 | 2/2 | 70 | `t_70_ma_bull_cross` | State03_WAIT_MA_CROSS | State04_WAIT_INDICATORS | 7169.75 | | 141 | 11:50:08 | 1/1 | 80 | `t_80_all_indicators_confirmed` | State04_WAIT_INDICATORS | State05_WAIT_RETEST | 7170.50 | | 143 | 11:52:02 | 1/1 | 91 | `t_91_midbar_retest_touched` | State05_WAIT_RETEST | State06_WAIT_BREAKOUT | 7173.75 | | 148 | 11:57:10 | 1/2 | 100 | `t_100_breakout_level_hit` | State06_WAIT_BREAKOUT | State07_ENTRY_GATE | 7174.25 | | 148 | 11:57:10 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7174.25 | | 149 | 11:58:36 | 1/1 | 221 | `t_221_exit_hard_stop` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7170.00 | #### AI Summary **1. What happened:** Trade 7 entered via `t_110_trade_entry_submitted` at 11:57:10, exited via `EXIT_HARD_STOP` at 11:58:36 for -4.00 pts. Exit counter peaked at 0 during this trade. **2. Entry quality:** Good — entry at 7174.25, initial stop at 7170.25. **3. Exit quality:** Poor — `EXIT_HARD_STOP` [Type_1_Hard] at 7170.25. Stop history: initial 7170.25 -> Type_1_Hard 7170.25. **4. Strategy improvement candidates:** - step=1 (max_count=6): assess exit tolerance adequacy for this trade. - Compare vs step=0 baseline: did the counter allow a better exit? - max_ec=0: verify counter entered tightening range before exit fired. **5. Risk notes:** Config step=1, max_count=6. Exit counter active throughout trade lifecycle. ### Trade 8 **Entry 12:03:35 -> Exit 12:32:15 | +5.50 pts | 29 min | Entry offset at fill: ?pts | Max exit_counter: 54 | Max potential profit: +5.50 pts** #### Diagnostic Log | Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price | |-----|-----------|-------|--------------|-----------------|------------|----------|-------| | 150 | 12:00:00 | 1/1 | 50 | `t_50_bear_trend_met` | State01_WAIT_BEAR_TREND | State02_WAIT_BULL_SHIFT | 7169.00 | | 153 | 12:03:00 | 1/3 | 60 | `t_60_bull_shift_met` | State02_WAIT_BULL_SHIFT | State03_WAIT_MA_CROSS | 7173.75 | | 153 | 12:03:00 | 2/3 | 70 | `t_70_ma_bull_cross` | State03_WAIT_MA_CROSS | State04_WAIT_INDICATORS | 7173.75 | | 153 | 12:03:00 | 3/3 | 80 | `t_80_all_indicators_confirmed` | State04_WAIT_INDICATORS | State05_WAIT_RETEST | 7173.75 | | 154 | 12:03:35 | 1/2 | 93 | `t_93_lwr_high_bypass` | State05_WAIT_RETEST | State07_ENTRY_GATE | 7176.00 | | 154 | 12:03:35 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7176.00 | | 161 | 12:10:03 | 1/1 | 202 | `t_202_yellow_to_red` | State09_YELLOW | State11_RED | 7173.00 | | 164 | 12:13:03 | 1/6 | 210 | `t_210_count_criteria [ma]` | State11_RED | State11_RED | 7176.50 | | 178 | 12:27:49 | 3/5 | 230 | `t_230_offset_change` | State11_RED | State11_RED | 7176.50 | | 183 | 12:32:15 | 1/1 | 226 | `t_226_exit_profit_target_count` | State11_RED | State01_WAIT_BEAR_TREND | 7181.50 | #### AI Summary **1. What happened:** Trade 8 entered via `t_110_trade_entry_submitted` at 12:03:35, exited via `EXIT_PROFIT_TARGET_COUNT` at 12:32:15 for +5.50 pts. Exit counter peaked at 54 during this trade. **2. Entry quality:** Good — entry at 7176.00, initial stop at 7166.25. **3. Exit quality:** Good — `EXIT_PROFIT_TARGET_COUNT` at 7181.50. **4. Strategy improvement candidates:** - step=1 (max_count=6): assess exit tolerance adequacy for this trade. - Compare vs step=0 baseline: did the counter allow a better exit? - max_ec=54: verify counter entered tightening range before exit fired. **5. Risk notes:** Config step=1, max_count=6. Exit counter active throughout trade lifecycle. ### Trade 9 **Entry 12:45:26 -> Exit 13:08:13 | -5.25 pts | 23 min | Entry offset at fill: ?pts | Max exit_counter: 0 | Max potential profit: +0.25 pts** #### Diagnostic Log | Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price | |-----|-----------|-------|--------------|-----------------|------------|----------|-------| | 192 | 12:42:00 | 1/1 | 50 | `t_50_bear_trend_met` | State01_WAIT_BEAR_TREND | State02_WAIT_BULL_SHIFT | 7181.00 | | 194 | 12:44:00 | 1/2 | 60 | `t_60_bull_shift_met` | State02_WAIT_BULL_SHIFT | State03_WAIT_MA_CROSS | 7182.75 | | 194 | 12:44:00 | 2/2 | 70 | `t_70_ma_bull_cross` | State03_WAIT_MA_CROSS | State04_WAIT_INDICATORS | 7182.75 | | 195 | 12:44:02 | 1/1 | 80 | `t_80_all_indicators_confirmed` | State04_WAIT_INDICATORS | State05_WAIT_RETEST | 7183.00 | | 196 | 12:45:26 | 1/2 | 93 | `t_93_lwr_high_bypass` | State05_WAIT_RETEST | State07_ENTRY_GATE | 7185.00 | | 196 | 12:45:26 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7185.00 | | 206 | 12:55:04 | 1/1 | 202 | `t_202_yellow_to_red` | State09_YELLOW | State11_RED | 7183.00 | | 215 | 13:04:05 | 1/1 | 203 | `t_203_red_to_yellow` | State11_RED | State09_YELLOW | 7183.25 | | 219 | 13:08:13 | 1/1 | 221 | `t_221_exit_hard_stop` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7179.25 | #### AI Summary **1. What happened:** Trade 9 entered via `t_110_trade_entry_submitted` at 12:45:26, exited via `EXIT_HARD_STOP` at 13:08:13 for -5.25 pts. Exit counter peaked at 0 during this trade. **2. Entry quality:** Good — entry at 7185.00, initial stop at 7179.75. **3. Exit quality:** Poor — `EXIT_HARD_STOP` [Type_1_Hard] at 7179.75. Stop history: initial 7179.75 -> Type_1_Hard 7179.75. **4. Strategy improvement candidates:** - step=1 (max_count=6): assess exit tolerance adequacy for this trade. - Compare vs step=0 baseline: did the counter allow a better exit? - max_ec=0: verify counter entered tightening range before exit fired. **5. Risk notes:** Config step=1, max_count=6. Exit counter active throughout trade lifecycle. ### Trade 10 **Entry 13:46:51 -> Exit 14:08:57 | -8.25 pts | 22 min | Entry offset at fill: ?pts | Max exit_counter: 122 | Max potential profit: +2.00 pts** #### Diagnostic Log | Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price | |-----|-----------|-------|--------------|-----------------|------------|----------|-------| | 255 | 13:45:00 | 1/1 | 50 | `t_50_bear_trend_met` | State01_WAIT_BEAR_TREND | State02_WAIT_BULL_SHIFT | 7160.25 | | 256 | 13:46:00 | 1/3 | 60 | `t_60_bull_shift_met` | State02_WAIT_BULL_SHIFT | State03_WAIT_MA_CROSS | 7164.75 | | 256 | 13:46:00 | 2/3 | 70 | `t_70_ma_bull_cross` | State03_WAIT_MA_CROSS | State04_WAIT_INDICATORS | 7164.75 | | 256 | 13:46:00 | 3/3 | 80 | `t_80_all_indicators_confirmed` | State04_WAIT_INDICATORS | State05_WAIT_RETEST | 7164.75 | | 257 | 13:46:51 | 1/2 | 93 | `t_93_lwr_high_bypass` | State05_WAIT_RETEST | State07_ENTRY_GATE | 7166.50 | | 257 | 13:46:51 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7166.50 | | 260 | 13:49:28 | 1/1 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7166.75 | | 265 | 13:54:53 | 2/5 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7167.00 | | 266 | 13:55:44 | 13/18 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7167.50 | | 268 | 13:57:18 | 2/11 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7167.75 | | 269 | 13:58:22 | 7/8 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7166.75 | | 270 | 13:59:06 | 1/1 | 202 | `t_202_yellow_to_red` | State09_YELLOW | State11_RED | 7164.00 | | 279 | 14:08:57 | 1/1 | 221 | `t_221_exit_hard_stop` | State11_RED | State01_WAIT_BEAR_TREND | 7157.75 | #### AI Summary **1. What happened:** Trade 10 entered via `t_110_trade_entry_submitted` at 13:46:51, exited via `EXIT_HARD_STOP` at 14:08:57 for -8.25 pts. Exit counter peaked at 122 during this trade. **2. Entry quality:** Good — entry at 7166.50, initial stop at 7158.25. **3. Exit quality:** Poor — `EXIT_HARD_STOP` [Type_1_Hard] at 7158.25. Stop history: initial 7158.25 -> Type_1_Hard 7158.25. **4. Strategy improvement candidates:** - step=1 (max_count=6): assess exit tolerance adequacy for this trade. - Compare vs step=0 baseline: did the counter allow a better exit? - max_ec=122: verify counter entered tightening range before exit fired. **5. Risk notes:** Config step=1, max_count=6. Exit counter active throughout trade lifecycle. ### Trade 11 **Entry 14:25:14 -> Exit 15:10:54 | -10.00 pts | 45 min | Entry offset at fill: ?pts | Max exit_counter: 0 | Max potential profit: +0.75 pts** #### Diagnostic Log | Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price | |-----|-----------|-------|--------------|-----------------|------------|----------|-------| | 292 | 14:22:00 | 1/1 | 50 | `t_50_bear_trend_met` | State01_WAIT_BEAR_TREND | State02_WAIT_BULL_SHIFT | 7155.00 | | 294 | 14:24:00 | 1/3 | 60 | `t_60_bull_shift_met` | State02_WAIT_BULL_SHIFT | State03_WAIT_MA_CROSS | 7158.25 | | 294 | 14:24:00 | 2/3 | 70 | `t_70_ma_bull_cross` | State03_WAIT_MA_CROSS | State04_WAIT_INDICATORS | 7158.25 | | 294 | 14:24:00 | 3/3 | 80 | `t_80_all_indicators_confirmed` | State04_WAIT_INDICATORS | State05_WAIT_RETEST | 7158.25 | | 296 | 14:25:14 | 1/3 | 93 | `t_93_lwr_high_bypass` | State05_WAIT_RETEST | State07_ENTRY_GATE | 7164.25 | | 296 | 14:25:14 | 2/3 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7164.25 | | 296 | 14:25:15 | 3/3 | 200 | `t_200_yellow_to_green` | State09_YELLOW | State10_GREEN | 7163.50 | | 299 | 14:28:01 | 1/1 | 201 | `t_201_green_to_yellow` | State10_GREEN | State09_YELLOW | 7161.75 | | 300 | 14:29:17 | 1/1 | 202 | `t_202_yellow_to_red` | State09_YELLOW | State11_RED | 7158.25 | | 327 | 14:56:03 | 1/2 | 203 | `t_203_red_to_yellow` | State11_RED | State09_YELLOW | 7160.50 | | 327 | 14:56:04 | 2/2 | 200 | `t_200_yellow_to_green` | State09_YELLOW | State10_GREEN | 7160.75 | | 331 | 15:00:01 | 1/1 | 201 | `t_201_green_to_yellow` | State10_GREEN | State09_YELLOW | 7158.50 | | 341 | 15:10:54 | 1/1 | 221 | `t_221_exit_hard_stop` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7154.00 | #### AI Summary **1. What happened:** Trade 11 entered via `t_110_trade_entry_submitted` at 14:25:14, exited via `EXIT_HARD_STOP` at 15:10:54 for -10.00 pts. Exit counter peaked at 0 during this trade. **2. Entry quality:** Good — entry at 7164.25, initial stop at 7154.25. **3. Exit quality:** Poor — `EXIT_HARD_STOP` [Type_1_Hard] at 7154.25. Stop history: initial 7154.25 -> Type_1_Hard 7154.25. **4. Strategy improvement candidates:** - step=1 (max_count=6): assess exit tolerance adequacy for this trade. - Compare vs step=0 baseline: did the counter allow a better exit? - max_ec=0: verify counter entered tightening range before exit fired. **5. Risk notes:** Config step=1, max_count=6. Exit counter active throughout trade lifecycle. ### Trade 12 **Entry 15:25:20 -> Exit 15:38:29 | +5.50 pts | 13 min | Entry offset at fill: ?pts | Max exit_counter: 92 | Max potential profit: +5.25 pts** #### Diagnostic Log | Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price | |-----|-----------|-------|--------------|-----------------|------------|----------|-------| | 341 | 15:11:00 | 1/1 | 50 | `t_50_bear_trend_met` | State01_WAIT_BEAR_TREND | State02_WAIT_BULL_SHIFT | 7153.50 | | 346 | 15:16:00 | 1/3 | 60 | `t_60_bull_shift_met` | State02_WAIT_BULL_SHIFT | State03_WAIT_MA_CROSS | 7156.25 | | 346 | 15:16:00 | 2/3 | 70 | `t_70_ma_bull_cross` | State03_WAIT_MA_CROSS | State04_WAIT_INDICATORS | 7156.25 | | 346 | 15:16:00 | 3/3 | 80 | `t_80_all_indicators_confirmed` | State04_WAIT_INDICATORS | State05_WAIT_RETEST | 7156.25 | | 348 | 15:17:04 | 1/1 | 91 | `t_91_midbar_retest_touched` | State05_WAIT_RETEST | State06_WAIT_BREAKOUT | 7156.50 | | 356 | 15:25:20 | 1/2 | 100 | `t_100_breakout_level_hit` | State06_WAIT_BREAKOUT | State07_ENTRY_GATE | 7156.25 | | 356 | 15:25:20 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7156.25 | | 366 | 15:35:46 | 1/9 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7158.75 | | 367 | 15:36:13 | 7/28 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7158.25 | | 367 | 15:36:46 | 23/28 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7158.50 | | 368 | 15:37:30 | 11/12 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7158.75 | | 369 | 15:38:29 | 1/1 | 226 | `t_226_exit_profit_target_count` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7161.75 | #### AI Summary **1. What happened:** Trade 12 entered via `t_110_trade_entry_submitted` at 15:25:20, exited via `EXIT_PROFIT_TARGET_COUNT` at 15:38:29 for +5.50 pts. Exit counter peaked at 92 during this trade. **2. Entry quality:** Good — entry at 7156.25, initial stop at 7152.0. **3. Exit quality:** Good — `EXIT_PROFIT_TARGET_COUNT` at 7161.75. **4. Strategy improvement candidates:** - step=1 (max_count=6): assess exit tolerance adequacy for this trade. - Compare vs step=0 baseline: did the counter allow a better exit? - max_ec=92: verify counter entered tightening range before exit fired. **5. Risk notes:** Config step=1, max_count=6. Exit counter active throughout trade lifecycle. ### Trade 13 **Entry 15:39:00 -> Exit 15:56:00 | +0.75 pts | 17 min | Entry offset at fill: ?pts | Max exit_counter: 91 | Max potential profit: +3.25 pts** #### Diagnostic Log | Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price | |-----|-----------|-------|--------------|-----------------|------------|----------|-------| | 369 | 15:39:00 | 1/2 | 93 | `t_93_lwr_high_bypass` | State01_WAIT_BEAR_TREND | State07_ENTRY_GATE | 7161.50 | | 369 | 15:39:00 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7161.50 | | 372 | 15:41:02 | 1/9 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7161.75 | | 376 | 15:45:12 | 3/21 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7163.25 | | 376 | 15:45:42 | 19/21 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7161.50 | | 377 | 15:46:02 | 1/6 | 202 | `t_202_yellow_to_red` | State09_YELLOW | State11_RED | 7161.50 | | 378 | 15:47:16 | 5/5 | 230 | `t_230_offset_change` | State11_RED | State11_RED | 7161.50 | | 386 | 15:56:00 | 1/1 | 220 | `t_220_exit_session_close` | State11_RED | State00_IDLE | 7162.25 | #### AI Summary **1. What happened:** Trade 13 entered via `t_110_trade_entry_submitted` at 15:39:00, exited via `EXIT_SESSION_CLOSE` at 15:56:00 for +0.75 pts. Exit counter peaked at 91 during this trade. **2. Entry quality:** Good — entry at 7161.50, initial stop at 7156.5. **3. Exit quality:** Marginal — `EXIT_SESSION_CLOSE` at 7162.25. **4. Strategy improvement candidates:** - step=1 (max_count=6): assess exit tolerance adequacy for this trade. - Compare vs step=0 baseline: did the counter allow a better exit? - max_ec=91: verify counter entered tightening range before exit fired. **5. Risk notes:** Config step=1, max_count=6. Exit counter active throughout trade lifecycle. --- ## Section 3 — Workflow Pedigree ### 3.1 Pipeline Scripts | Script | Version | Role | |--------|---------|------| | `strategy_v9_9_9.py` | v9.9.9 | StrategyRunner — entry/exit orchestration | | `long_strategy_v1_12_6.py` | vv1_12_6 | LongOrchestrator — entry/exit state machine | | `results_report_v1_8_1.py` | 1.8.1 | Results report generator | ### 3.2 Supporting Modules | Module | Role | |--------|------| | `bar_source_v9_0_1.py` | CSV replay bar source | | `bar_aggregator_v9_2_1.py` | 1-sec to N-min bar aggregation | | `indicator_manager_v9_0_1.py` | Indicator calculation management | | `trading_authorized_v9_0_0.py` | Trading authorization | ### 3.3 Config JSONs | File | Version | Description | |------|---------|-------------| | `config_2_indicators_v5_6_0.json` | 5.6.0 | 20260418_TWM_combine_Debug_higher_tf | | `config_3_time_zones_v5_1_0.json` | 5.1.0 | 20260411_TWM_1sec_debug_try_v9_trial2 | | `config_4_stop_loss_long_v5_3_0.json` | 5.3.0 | 20260411_TWM_1sec_debug_try_v9_trial2 | | `config_5_strategy_long_v1_7_6.json` | 1.7.6 | Strategy execution config — ticker/TF scope, trading mode, session times, transition guards, profit target config, output controls. | | `config_6_profit_target_long_v1_0_0.json` | 1.0.0 | Profit target configuration for TWM long strategy. Contains Type 1 (premarket resistance limit) and Type 2 (exit counter tightening) profit target parameters. See profit_target_workflow_v1_0_0.md for full logic. | | `config_7_limit_order_long_v1_0_0.json` | 1.0.1 | Limit order entry configuration for TWM long strategy. Controls the progressive limit order placed below breakout price in state long_06_WAIT_BREAKOUT. See limit_order_workflow_v1_0_0.md for full logic. | --- ## Section 4 — Config Settings at Test Time > Source: `2_Inputs/3_jsons/` ### 4.1: `config_2_indicators_v5_6_0.json` (v5.6.0) | Key | Value | |-----|-------| | **indicator_dependencies** | | |   `calcShiftDotLevel` | MovingAverageArrayCalculator, calcEnergy, calcVelocityRSI, calcWyckoff | |   `calcBreakoutTWM` | calcCandleCount | |   `calcMorningTrade` | calcBreakoutTWM, calcTradingAuthorized | | **indicator_properties** | | |   `calcTradingAuthorized` | `version`: 2.1
`description`: Determines if timestamps fall within authorized trading time zones
`approved_times`: trade_1, trade_2, lunch, trade_3, trade_4
`entry_approved_times`: trade_1, trade_2, lunch, trade_3
`time_zones`: `pre_session`: {...4 keys}
`open`: {...4 keys}
`trade_1`: {...4 keys}
`trade_2`: {...4 keys}
`lunch`: {...4 keys}
`trade_3`: {...4 keys}
`trade_4`: {...4 keys}
`after_hours`: {...4 keys}
`closed`: {...4 keys}
`timezone`: US/Eastern | |   `calcTrendCounter` | `version`: 2.1
`description`: Rolling window trend analysis using 8-bar lookback with sequential counting
`lookbackPeriod`: 8
`limitPriceDiff`: 0.01
`bull_trendCount_Percent`: 10.0
`bear_trendCount_Percent`: -10.0
`bull_trendCount_Limit`: 2
`bear_trendCount_Limit`: 2 | |   `calcCandleCount` | `version`: 2.2
`description`: Green/red candle pattern detection using rolling window
`lookbackPeriod`: 3
`limitCount`: 1 | |   `MovingAverageArrayCalculator` | `version`: 2.2
`description`: Multiple EMAs with crossover detection, MA position flags, and trend alignment. Periods vary by ticker and timeframe.
`tickers`: `tradeTicker`: `@ES`: `tf1`: 3, 5, 8
`tf2`: 3, 5, 8
`tf3`: 3, 5, 8
`tf4`: 5, 10, 8
`tf5`: 5, 10, 8
`tf6`: 5, 10, 8
`@NQ`: `tf1`: 3, 5, 8
`tf2`: 3, 5, 8
`tf3`: 3, 5, 8
`tf4`: 5, 10, 8
`tf5`: 5, 10, 8
`tf6`: 5, 10, 8
`$ADD`: `@ES`: `tf1`: 3, 8
`tf2`: 3, 8
`tf3`: 3, 8
`tf4`: 3, 8
`tf5`: 3, 8
`tf6`: 3, 8
`@NQ`: `tf1`: 3, 8
`tf2`: 3, 8
`tf3`: 3, 8
`tf4`: 3, 8
`tf5`: 3, 8
`tf6`: 3, 8
`$VIX.X`: `@ES`: `tf1`: 3, 8
`tf2`: 3, 8
`tf3`: 3, 8
`tf4`: 3, 8
`tf5`: 3, 8
`tf6`: 3, 8
`@NQ`: `tf1`: 3, 8
`tf2`: 3, 8
`tf3`: 3, 8
`tf4`: 3, 8
`tf5`: 3, 8
`tf6`: 3, 8
`$TICK`: `@ES`: `tf1`: 3, 8
`tf2`: 3, 8
`tf3`: 3, 8
`tf4`: 3, 8
`tf5`: 3, 8
`tf6`: 3, 8
`@NQ`: `tf1`: 3, 8
`tf2`: 3, 8
`tf3`: 3, 8
`tf4`: 3, 8
`tf5`: 3, 8
`tf6`: 3, 8 | |   `calcShiftDotLevel` | `version`: 3.2
`description`: Weighted ShiftTotal summation of 7 components (Energy, Wyckoff, $ADD MA, $ADD Cls, invVIX MA, $TICK Cls, RSI_lt). Range: -7 to +7.
`adspd_threshold`: 50
`tick_threshold`: 200
`rsi_period`: 7
`rsi_ema_period`: 8 | |   `calcWyckoff` | `version`: 2.1
`description`: Wyckoff Wave tracking direction and volume accumulation
`trend_length`: 5 | |   `calcVelocityRSI` | `version`: 2.3
`description`: RSI with 8-period EMA, RSILongTerm_flag, and momentum detection
`period`: 7
`rsi_ma_period`: 8
`rateDecay`: 0.2222222222222222 | |   `calcEnergy` | `version`: 2.1
`description`: Energy indicator with TEMA bands and threshold detection
`tema_period`: 13
`atr_period`: 13
`atr_multiplier`: 0.75 | |   `calcCycleOscillator` | `version`: 2.0
`description`: Multi-timeframe Stochastic RSI cycle oscillator
`cycle_1`: `rsi_length_c1`: 55
`stoc_length_c1`: 34
`wma_length_c1`: 34
`stoch_rsi_c1_mult`: 1.5
`cycle_2`: `rsi_length_c2`: 34
`stoc_length_c2`: 21
`wma_length_c2`: 21
`stoch_rsi_c2_mult`: 0.5
`cycle_3`: `rsi_length_c3`: 21
`stoc_length_c3`: 13
`wma_length_c3`: 13
`stoch_rsi_c3_mult`: 0.25
`tema_atr`: `length_tema`: 21
`atr_length`: 14
`atr_mult`: 1.0
`swing`: `num_swings_to_use`: 5
`swing_wing`: 4
`near_up_down_turn`: 10.0 | |   `LWR123Calculator` | `version`: 2.2
`description`: LWR 1-2-3 reversal pattern detection with HOLB/LOHB breakouts
`num_bars`: 21
`break_limit`: 4
`lohb_offset`: 0.0
`holb_offset`: 0.0 | |   `calcBreakoutTWM` | `version`: 3.1
`description`: State-based breakout detection with dual independent state machines and breakout_offset
`fast_MA_period`: 3
`slow_MA_period`: 5
`breakout_offset`: 0.25 | |   `calcMorningTrade` | `version`: 2.4
`description`: Morning trade momentum detector for open and trade_1 zones
`fast_MA_period`: 3
`slow_MA_period`: 5
`MA_velocity_limit`: 1.5
`consecutive_limit`: 5 | |   `PreMarketComparisonCalculator` | `version`: 2.1
`description`: Price position relative to pre-market high, low, and session start
`limit_tradeProhibit`: 0.02 | ### 4.2: `config_3_time_zones_v5_1_0.json` (v5.1.0) | Key | Value | |-----|-------| | **time_zones** | | |   `pre_session` | `start`: 08:00
`end`: 09:30
`description`: Pre-market session - same-day premarket (08:00-09:30)
`isAuthorized`: false | |   `open` | `start`: 09:30
`end`: 09:50
`description`: Market open window
`isAuthorized`: false | |   `trade_1` | `start`: 09:50
`end`: 10:00
`description`: Morning trading session
`isAuthorized`: true | |   `trade_2` | `start`: 10:00
`end`: 12:05
`description`: Morning trading session
`isAuthorized`: true | |   `lunch` | `start`: 12:05
`end`: 12:35
`description`: Lunch trading session
`isAuthorized`: true | |   `trade_3` | `start`: 12:35
`end`: 15:45
`description`: Afternoon trading session
`isAuthorized`: true | |   `trade_4` | `start`: 15:45
`end`: 15:56
`description`: Market close trading window
`isAuthorized`: true | |   `after_hours` | `start`: 15:56
`end`: 17:00
`description`: After hours trading
`isAuthorized`: false | |   `closed` | `start`: 17:00
`end`: 18:00
`description`: Market closed - no trading
`isAuthorized`: false | | `approved_times` | trade_1, trade_2, lunch, trade_3, trade_4 | | `trade_approved_times` | trade_1, trade_2, lunch, trade_3, trade_4 | | `entry_approved_times` | trade_1, trade_2, lunch, trade_3 | | `timezone` | US/Eastern | | `notes` | All times are in EST (Eastern Standard Time) using 24-hour format, pre_session: 6:00 PM - 9:30 AM (15.5 hours) - overnight trading, open: 9:30 AM - 9:38 AM (8 minutes) - market open window, trade_1: 9:38 AM - 10:00 AM (22 minutes) - morning session, trade_2: 10:00 AM - 12:05 PM (2.08 hours) - morning session, lunch: 12:05 PM - 12:35 PM (30 minutes) - lunch session, trade_3: 12:35 PM - 3:45 PM (3.17 hours) - afternoon session, trade_4: 3:45 PM - 3:56 PM (11 minutes) - market close window, after_hours: 3:56 PM - 5:00 PM (1.07 hours) - after hours, closed: 5:00 PM - 6:00 PM (1 hour) - market closed, Total authorized trading: 6.0 hours per day | ### 4.3: `config_4_stop_loss_long_v5_3_0.json` (v5.3.0) | Key | Value | |-----|-------| | **stop_loss_config** | | |   `type_2_isActive` | true | |   `type_3_isActive` | true | |   `type_1_offset` | `@ES`: `tf1`: 1
`tf2`: 1
`tf3`: 1
`tf4`: 1
`tf5`: 1
`tf6`: 1
`@NQ`: `tf1`: 3
`tf2`: 3
`tf3`: 3
`tf4`: 3
`tf5`: 3
`tf6`: 3 | |   `type_2_profit_limit` | `@ES`: `tf1`: 6
`tf2`: 6
`tf3`: 6
`tf4`: 6
`tf5`: 6
`tf6`: 6
`@NQ`: `tf1`: 18
`tf2`: 18
`tf3`: 18
`tf4`: 18
`tf5`: 18
`tf6`: 18 | |   `type_2_offset` | `@ES`: `tf1`: 1
`tf2`: 1
`tf3`: 1
`tf4`: 1
`tf5`: 1
`tf6`: 1
`@NQ`: `tf1`: 3
`tf2`: 3
`tf3`: 3
`tf4`: 3
`tf5`: 3
`tf6`: 3 | |   `type_3_offset` | `@ES`: `tf1`: 0.25
`tf2`: 0.25
`tf3`: 0.25
`tf4`: 0.25
`tf5`: 0.25
`tf6`: 0.25
`@NQ`: `tf1`: 0.25
`tf2`: 0.25
`tf3`: 0.25
`tf4`: 0.25
`tf5`: 0.25
`tf6`: 0.25 | |   `max_initial_stop_distance` | `@ES`: `tf1`: 10
`tf2`: 10
`tf3`: 10
`tf4`: 10
`tf5`: 10
`tf6`: 10
`@NQ`: `tf1`: 30
`tf2`: 30
`tf3`: 30
`tf4`: 30
`tf5`: 30
`tf6`: 30 | ### 4.4: `config_5_strategy_long_v1_7_6.json` (v1.7.6) | Key | Value | |-----|-------| | `ticker` | @ES | | `timeframe` | 1 | | `account_type` | paper | | `paper_mode` | true | | `market_open` | 09:30 | | `market_close` | 16:00 | | `timezone` | America/New_York | | `SAFETY_NOTICE` | This config is for PAPER TRADING ONLY. account_type MUST be 'paper'. | | `setup_counter_exit_limit` | 12 | | `setup_counter_velocity_limit` | 3 | | **lhp_threshold_points** | | |   `@ES` | 1.0 | |   `@NQ` | 1.0 | | **transition_guards** | | |   `t_50_bear_trend_met_isActive` | true | |   `t_60_bull_shift_met_isActive` | true | |   `t_61_bear_setup_reset_isActive` | true | |   `t_51_velocity_entry_s01_isActive` | false | |   `t_70_ma_bull_cross_isActive` | true | |   `t_71_velocity_entry_s03_isActive` | false | |   `t_80_all_indicators_confirmed_isActive` | true | |   `t_81_velocity_entry_s04_isActive` | true | |   `t_90_ma_retest_touched_isActive` | true | |   `t_91_midbar_retest_touched_isActive` | true | |   `t_92_velocity_entry_s05_isActive` | true | |   `t_93_lwr_high_bypass_isActive` | true | |   `t_94_skip_retest_multi_tf_isActive` | true | |   `t_100_breakout_level_hit_isActive` | true | |   `t_101_velocity_entry_s06_isActive` | true | |   `t_102_skip_breakout_multi_tf_isActive` | true | |   `t_103_breakout_limit_entry_isActive` | false | |   `t_111_entry_blocked_isActive` | true | |   `t_10_entry_window_closed_isActive` | true | |   `t_30_setup_expired_isActive` | true | |   `t_200_exit_session_close_isActive` | true | |   `t_220_exit_session_close_isActive` | true | |   `t_221_exit_hard_stop_isActive` | true | |   `t_211_count_ma_isActive` | true | |   `t_222_exit_ma_isActive` | true | |   `t_212_count_lwr_isActive` | false | |   `t_223_exit_lwr_isActive` | true | |   `t_200_yellow_to_green_isActive` | true | |   `t_202_yellow_to_red_isActive` | true | |   `t_213_count_premarket_s09_isActive` | true | |   `t_224_exit_premarket_s09_isActive` | true | |   `t_201_green_to_yellow_isActive` | true | |   `t_214_count_premarket_s11_isActive` | true | |   `t_225_exit_premarket_s11_isActive` | true | |   `t_203_red_to_yellow_isActive` | true | |   `t_230_offset_change_isActive` | true | |   `t_226_exit_profit_target_count_isActive` | true | | **profit_target_config** | | |   `_description` | Profit target parameters. premarket_profit_target_offset is the spread below the nearest premarket resistance level above entry at which the profit target is set (Long: target = resistance - offset). | |   `premarket_profit_target_offset` | `@ES`: `tf1`: 1
`tf2`: 1
`tf3`: 1
`tf4`: 1
`tf5`: 1
`tf6`: 1
`@NQ`: `tf1`: 3
`tf2`: 3
`tf3`: 3
`tf4`: 3
`tf5`: 3
`tf6`: 3 | |   `breakout_offset` | `@ES`: `tf1`: 0.25
`tf2`: 0.25
`tf3`: 0.25
`tf4`: 0.25
`tf5`: 0.25
`tf6`: 0.25
`@NQ`: `tf1`: 0.25
`tf2`: 0.25
`tf3`: 0.25
`tf4`: 0.25
`tf5`: 0.25
`tf6`: 0.25 | |   `ticker_config` | `@ES`: `dollars_per_point`: 50.0
`default_slippage_points`: 0.35
`@NQ`: `dollars_per_point`: 20.0
`default_slippage_points`: 0.4 | | **post_replay_outputs** | | |   `_description` | Controls what is written to disk after a replay run completes. All paths relative to project root. | |   `write_indicator_json` | true | |   `write_consolidated_json` | true | |   `indicator_isPlot` | true | |   `strategy_isPlot` | true | |   `json_output_dir` | 3_Outputs/3_jsons/indicator_test | |   `twm_indicators_dir` | 3_Outputs/3_jsons/3_twm_indicators | |   `strategy_output_dir` | 3_Outputs/3_jsons/4_strategies | |   `plot_output_dir` | 3_Outputs/5_plots | |   `plot_start_time` | 09:30 | |   `plot_end_time` | 16:00 | ### 4.5: `config_6_profit_target_long_v1_0_0.json` (v1.0.0) | Key | Value | |-----|-------| | **profit_target_config** | | |   `premarket_profit_target_offset` | `@ES`: `tf1`: 1
`tf2`: 1
`tf3`: 1
`tf4`: 1
`tf5`: 1
`tf6`: 1
`@NQ`: `tf1`: 3
`tf2`: 3
`tf3`: 3
`tf4`: 3
`tf5`: 3
`tf6`: 3 | |   `exit_counter_config` | `@ES`: `range_1`: {...2 keys}
`range_2`: {...2 keys}
`range_3`: {...2 keys}
`range_4`: {...2 keys}
`range_5`: {...2 keys}
`range_6`: {...2 keys}
`@NQ`: `range_1`: {...2 keys}
`range_2`: {...2 keys}
`range_3`: {...2 keys}
`range_4`: {...2 keys}
`range_5`: {...2 keys}
`range_6`: {...2 keys} | ### 4.6: `config_7_limit_order_long_v1_0_0.json` (v1.0.1) | Key | Value | |-----|-------| | **entry_limit_config** | | |   `_description` | Progressive limit order offset config. increment defines how many 1-second bars between each step-down. 6 levels step from max offset down to 0 (market order). Tickers share the same timer/increment but have distinct offset values. | |   `increment` | 5 | |   `_thresholds_derived` | level_1: timer ∈ [0,5), level_2: [5,10), level_3: [10,15), level_4: [15,20), level_5: [20,25), level_6: [25,∞) → market order | |   `@ES` | `level_1`: `sec_count`: 0
`entry_offset`: 2.5
`level_2`: `sec_count`: 5
`entry_offset`: 2.0
`level_3`: `sec_count`: 10
`entry_offset`: 1.5
`level_4`: `sec_count`: 15
`entry_offset`: 1.0
`level_5`: `sec_count`: 20
`entry_offset`: 0.5
`level_6`: `sec_count`: 25
`entry_offset`: 0 | |   `@NQ` | `level_1`: `sec_count`: 0
`entry_offset`: 7.5
`level_2`: `sec_count`: 5
`entry_offset`: 6.0
`level_3`: `sec_count`: 10
`entry_offset`: 4.5
`level_4`: `sec_count`: 15
`entry_offset`: 3.0
`level_5`: `sec_count`: 20
`entry_offset`: 1.5
`level_6`: `sec_count`: 25
`entry_offset`: 0 |