# Results Report — Strategy v9.9.9 | @ES TF2 Long | 2026-04-17 | step=2 (max_count=12) | Trades=8 | PnL=+13.25 pts
**Created:** 2026-04-19 23:12
**Strategy version:** v9.9.9
**Config variant:** exit_counter step=2, max_count=12 (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)
- [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 | 12 | 09:55:28 | 7138.00 | t_110_trade_entry_submitted | 22 | 10:15:41 | 7152.50 | t_226_exit_profit_target_count (State09_YELLOW) | +14.50 | +$725 |
| 2 | 31 | 10:32:00 | 7156.50 | t_110_trade_entry_submitted | 32 | 10:35:28 | 7157.50 | t_221_exit_hard_stop (State09_YELLOW) | +1.00 | +$50 |
| 3 | 36 | 10:42:00 | 7168.00 | t_110_trade_entry_submitted | 42 | 10:55:07 | 7169.00 | t_221_exit_hard_stop (State09_YELLOW) | +1.00 | +$50 |
| 4 | 62 | 11:34:40 | 7172.50 | t_110_trade_entry_submitted | 80 | 12:11:02 | 7175.50 | t_226_exit_profit_target_count (State11_RED) | +3.00 | +$150 |
| 5 | 91 | 12:32:00 | 7181.25 | t_110_trade_entry_submitted | 102 | 12:54:04 | 7184.50 | t_226_exit_profit_target_count (State09_YELLOW) | +3.25 | +$162 |
| 6 | 133 | 13:56:46 | 7168.50 | t_110_trade_entry_submitted | 135 | 14:00:41 | 7164.00 | t_221_exit_hard_stop (State09_YELLOW) | -4.50 | -$225 |
| 7 | 151 | 14:33:44 | 7165.00 | t_110_trade_entry_submitted | 161 | 14:52:24 | 7157.25 | t_221_exit_hard_stop (State09_YELLOW) | -7.75 | -$387 |
| 8 | 184 | 15:38:13 | 7160.50 | t_110_trade_entry_submitted | 190 | 15:50:10 | 7163.25 | t_226_exit_profit_target_count (State11_RED) | +2.75 | +$137 |
| **TOTAL** | | | | | | | | | **+13.25** | **+$662** |
**Record:** 6W / 2L
**Avg profit:** +1.66 pts | **Max loss:** -7.75 pts | **Avg duration:** 8.0 min | **Win rate:** 75.0%
---
## Section 2 — Per-Trade Analysis
> *Source: `intra_bar_transitions` from `strategy.get_bar_results()`.*
### Trade 1
**Entry 09:55:28 -> Exit 10:15:41 | +14.50 pts | 10 min | Entry offset at fill: ?pts | Max exit_counter: 92 | Max potential profit: +15.00 pts**
#### Diagnostic Log
| Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price |
|-----|-----------|-------|--------------|-----------------|------------|----------|-------|
| 11 | 09:52:00 | 1/1 | 50 | `t_50_bear_trend_met` | State01_WAIT_BEAR_TREND | State02_WAIT_BULL_SHIFT | 7135.00 |
| 12 | 09:54:00 | 1/3 | 60 | `t_60_bull_shift_met` | State02_WAIT_BULL_SHIFT | State03_WAIT_MA_CROSS | 7137.75 |
| 12 | 09:54:00 | 2/3 | 70 | `t_70_ma_bull_cross` | State03_WAIT_MA_CROSS | State04_WAIT_INDICATORS | 7137.75 |
| 12 | 09:54:00 | 3/3 | 80 | `t_80_all_indicators_confirmed` | State04_WAIT_INDICATORS | State05_WAIT_RETEST | 7137.75 |
| 13 | 09:54:07 | 1/4 | 91 | `t_91_midbar_retest_touched` | State05_WAIT_RETEST | State06_WAIT_BREAKOUT | 7136.00 |
| 13 | 09:55:28 | 2/4 | 100 | `t_100_breakout_level_hit` | State06_WAIT_BREAKOUT | State07_ENTRY_GATE | 7138.00 |
| 13 | 09:55:28 | 3/4 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7138.00 |
| 13 | 09:55:30 | 4/4 | 200 | `t_200_yellow_to_green` | State09_YELLOW | State10_GREEN | 7137.50 |
| 16 | 10:00:02 | 1/1 | 201 | `t_201_green_to_yellow` | State10_GREEN | State09_YELLOW | 7142.50 |
| 21 | 10:11:55 | 1/1 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7150.25 |
| 22 | 10:12:28 | 15/48 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7148.00 |
| 22 | 10:12:52 | 31/48 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7148.25 |
| 22 | 10:13:12 | 47/48 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7149.50 |
| 23 | 10:15:41 | 6/6 | 226 | `t_226_exit_profit_target_count` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7152.50 |
#### AI Summary
**1. What happened:** Trade 1 entered via `t_110_trade_entry_submitted` at 09:55:28, exited via `EXIT_PROFIT_TARGET_COUNT` at 10:15:41 for +14.50 pts. Exit counter peaked at 92 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 7152.50.
**4. Strategy improvement candidates:**
- step=2 (max_count=12): 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=2, max_count=12. Exit counter active throughout trade lifecycle.
### Trade 2
**Entry 10:32:00 -> Exit 10:35:28 | +1.00 pts | 1 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 |
|-----|-----------|-------|--------------|-----------------|------------|----------|-------|
| 31 | 10:32:00 | 1/2 | 93 | `t_93_lwr_high_bypass` | State01_WAIT_BEAR_TREND | State07_ENTRY_GATE | 7156.50 |
| 31 | 10:32:00 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7156.50 |
| 33 | 10:35:26 | 1/3 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7158.50 |
| 33 | 10:35:28 | 3/3 | 221 | `t_221_exit_hard_stop` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7157.25 |
#### AI Summary
**1. What happened:** Trade 2 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 7149.5.
**3. Exit quality:** Marginal — `EXIT_HARD_STOP` [Type_2_BreakEven] at 7157.50. Stop history: initial 7149.5 -> Type_1_Hard 7149.50 -> Type_2_BreakEven 7157.50.
**4. Strategy improvement candidates:**
- step=2 (max_count=12): 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=2, max_count=12. Exit counter active throughout trade lifecycle.
### Trade 3
**Entry 10:42:00 -> Exit 10:55:07 | +1.00 pts | 6 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 |
|-----|-----------|-------|--------------|-----------------|------------|----------|-------|
| 36 | 10:42:00 | 1/2 | 93 | `t_93_lwr_high_bypass` | State01_WAIT_BEAR_TREND | State07_ENTRY_GATE | 7168.00 |
| 36 | 10:42:00 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7168.00 |
| 39 | 10:46:42 | 1/3 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7168.50 |
| 41 | 10:50:50 | 9/19 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7169.75 |
| 42 | 10:53:25 | 6/23 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7171.25 |
| 42 | 10:53:56 | 22/23 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7171.00 |
| 43 | 10:54:24 | 15/40 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7170.00 |
| 43 | 10:54:51 | 31/40 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7169.75 |
| 43 | 10:55:07 | 40/40 | 221 | `t_221_exit_hard_stop` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7168.75 |
#### AI Summary
**1. What happened:** Trade 3 entered via `t_110_trade_entry_submitted` at 10:42:00, exited via `EXIT_HARD_STOP` at 10:55:07 for +1.00 pts. Exit counter peaked at 92 during this trade.
**2. Entry quality:** Good — entry at 7168.00, initial stop at 7158.0.
**3. Exit quality:** Marginal — `EXIT_HARD_STOP` [Type_2_BreakEven] at 7169.00. Stop history: initial 7158.0 -> Type_1_Hard 7158.00 -> Type_2_BreakEven 7169.00.
**4. Strategy improvement candidates:**
- step=2 (max_count=12): 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=2, max_count=12. Exit counter active throughout trade lifecycle.
### Trade 4
**Entry 11:34:40 -> Exit 12:11:02 | +3.00 pts | 18 min | Entry offset at fill: ?pts | Max exit_counter: 88 | Max potential profit: +4.75 pts**
#### Diagnostic Log
| Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price |
|-----|-----------|-------|--------------|-----------------|------------|----------|-------|
| 55 | 11:20:00 | 1/1 | 50 | `t_50_bear_trend_met` | State01_WAIT_BEAR_TREND | State02_WAIT_BULL_SHIFT | 7162.50 |
| 57 | 11:24:00 | 1/2 | 60 | `t_60_bull_shift_met` | State02_WAIT_BULL_SHIFT | State03_WAIT_MA_CROSS | 7166.75 |
| 57 | 11:24:00 | 2/2 | 70 | `t_70_ma_bull_cross` | State03_WAIT_MA_CROSS | State04_WAIT_INDICATORS | 7166.75 |
| 61 | 11:31:35 | 1/1 | 80 | `t_80_all_indicators_confirmed` | State04_WAIT_INDICATORS | State05_WAIT_RETEST | 7171.00 |
| 63 | 11:34:24 | 1/3 | 91 | `t_91_midbar_retest_touched` | State05_WAIT_RETEST | State06_WAIT_BREAKOUT | 7171.00 |
| 63 | 11:34:40 | 2/3 | 100 | `t_100_breakout_level_hit` | State06_WAIT_BREAKOUT | State07_ENTRY_GATE | 7172.50 |
| 63 | 11:34:40 | 3/3 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7172.50 |
| 66 | 11:40:34 | 1/8 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7172.75 |
| 68 | 11:44:03 | 1/1 | 202 | `t_202_yellow_to_red` | State09_YELLOW | State11_RED | 7167.00 |
| 80 | 12:09:29 | 4/24 | 230 | `t_230_offset_change` | State11_RED | State11_RED | 7174.25 |
| 80 | 12:09:48 | 15/24 | 230 | `t_230_offset_change` | State11_RED | State11_RED | 7173.75 |
| 81 | 12:10:04 | 2/6 | 230 | `t_230_offset_change` | State11_RED | State11_RED | 7172.50 |
| 81 | 12:11:02 | 6/6 | 226 | `t_226_exit_profit_target_count` | State11_RED | State01_WAIT_BEAR_TREND | 7175.50 |
#### AI Summary
**1. What happened:** Trade 4 entered via `t_110_trade_entry_submitted` at 11:34:40, exited via `EXIT_PROFIT_TARGET_COUNT` at 12:11:02 for +3.00 pts. Exit counter peaked at 88 during this trade.
**2. Entry quality:** Good — entry at 7172.50, initial stop at 7163.5.
**3. Exit quality:** Good — `EXIT_PROFIT_TARGET_COUNT` at 7175.50.
**4. Strategy improvement candidates:**
- step=2 (max_count=12): assess exit tolerance adequacy for this trade.
- Compare vs step=0 baseline: did the counter allow a better exit?
- max_ec=88: verify counter entered tightening range before exit fired.
**5. Risk notes:** Config step=2, max_count=12. Exit counter active throughout trade lifecycle.
### Trade 5
**Entry 12:32:00 -> Exit 12:54:04 | +3.25 pts | 11 min | Entry offset at fill: ?pts | Max exit_counter: 176 | Max potential profit: +4.00 pts**
#### Diagnostic Log
| Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price |
|-----|-----------|-------|--------------|-----------------|------------|----------|-------|
| 91 | 12:32:00 | 1/2 | 93 | `t_93_lwr_high_bypass` | State01_WAIT_BEAR_TREND | State07_ENTRY_GATE | 7181.25 |
| 91 | 12:32:00 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7181.25 |
| 96 | 12:40:22 | 1/33 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7182.00 |
| 96 | 12:41:14 | 16/33 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7181.75 |
| 96 | 12:41:45 | 32/33 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7181.75 |
| 102 | 12:52:09 | 2/47 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7184.75 |
| 102 | 12:53:03 | 18/47 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7183.25 |
| 102 | 12:53:32 | 34/47 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7183.50 |
| 103 | 12:54:04 | 2/2 | 226 | `t_226_exit_profit_target_count` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7184.50 |
#### AI Summary
**1. What happened:** Trade 5 entered via `t_110_trade_entry_submitted` at 12:32:00, exited via `EXIT_PROFIT_TARGET_COUNT` at 12:54:04 for +3.25 pts. Exit counter peaked at 176 during this trade.
**2. Entry quality:** Good — entry at 7181.25, initial stop at 7174.5.
**3. Exit quality:** Good — `EXIT_PROFIT_TARGET_COUNT` at 7184.50.
**4. Strategy improvement candidates:**
- step=2 (max_count=12): assess exit tolerance adequacy for this trade.
- Compare vs step=0 baseline: did the counter allow a better exit?
- max_ec=176: verify counter entered tightening range before exit fired.
**5. Risk notes:** Config step=2, max_count=12. Exit counter active throughout trade lifecycle.
### Trade 6
**Entry 13:56:46 -> Exit 14:00:41 | -4.50 pts | 2 min | Entry offset at fill: ?pts | Max exit_counter: 0 | Max potential profit: +11.50 pts**
#### Diagnostic Log
| Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price |
|-----|-----------|-------|--------------|-----------------|------------|----------|-------|
| 109 | 13:08:00 | 1/1 | 50 | `t_50_bear_trend_met` | State01_WAIT_BEAR_TREND | State02_WAIT_BULL_SHIFT | 7180.00 |
| 129 | 13:48:00 | 1/3 | 60 | `t_60_bull_shift_met` | State02_WAIT_BULL_SHIFT | State03_WAIT_MA_CROSS | 7167.75 |
| 129 | 13:48:00 | 2/3 | 70 | `t_70_ma_bull_cross` | State03_WAIT_MA_CROSS | State04_WAIT_INDICATORS | 7167.75 |
| 129 | 13:48:00 | 3/3 | 80 | `t_80_all_indicators_confirmed` | State04_WAIT_INDICATORS | State05_WAIT_RETEST | 7167.75 |
| 130 | 13:49:35 | 1/1 | 91 | `t_91_midbar_retest_touched` | State05_WAIT_RETEST | State06_WAIT_BREAKOUT | 7166.25 |
| 134 | 13:56:46 | 1/2 | 100 | `t_100_breakout_level_hit` | State06_WAIT_BREAKOUT | State07_ENTRY_GATE | 7168.50 |
| 134 | 13:56:46 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7168.50 |
| 136 | 14:00:41 | 1/1 | 221 | `t_221_exit_hard_stop` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7163.75 |
#### AI Summary
**1. What happened:** Trade 6 entered via `t_110_trade_entry_submitted` at 13:56:46, exited via `EXIT_HARD_STOP` at 14:00:41 for -4.50 pts. Exit counter peaked at 0 during this trade.
**2. Entry quality:** Good — entry at 7168.50, initial stop at 7164.0.
**3. Exit quality:** Poor — `EXIT_HARD_STOP` [Type_1_Hard] at 7164.00. Stop history: initial 7164.0 -> Type_1_Hard 7164.00.
**4. Strategy improvement candidates:**
- step=2 (max_count=12): 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=2, max_count=12. Exit counter active throughout trade lifecycle.
### Trade 7
**Entry 14:33:44 -> Exit 14:52:24 | -7.75 pts | 10 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 |
|-----|-----------|-------|--------------|-----------------|------------|----------|-------|
| 147 | 14:24:00 | 1/1 | 50 | `t_50_bear_trend_met` | State01_WAIT_BEAR_TREND | State02_WAIT_BULL_SHIFT | 7158.25 |
| 148 | 14:26:00 | 1/3 | 60 | `t_60_bull_shift_met` | State02_WAIT_BULL_SHIFT | State03_WAIT_MA_CROSS | 7162.75 |
| 148 | 14:26:00 | 2/3 | 70 | `t_70_ma_bull_cross` | State03_WAIT_MA_CROSS | State04_WAIT_INDICATORS | 7162.75 |
| 148 | 14:26:00 | 3/3 | 80 | `t_80_all_indicators_confirmed` | State04_WAIT_INDICATORS | State05_WAIT_RETEST | 7162.75 |
| 150 | 14:28:01 | 1/1 | 91 | `t_91_midbar_retest_touched` | State05_WAIT_RETEST | State06_WAIT_BREAKOUT | 7161.75 |
| 152 | 14:33:44 | 1/3 | 100 | `t_100_breakout_level_hit` | State06_WAIT_BREAKOUT | State07_ENTRY_GATE | 7165.00 |
| 152 | 14:33:44 | 2/3 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7165.00 |
| 152 | 14:33:47 | 3/3 | 200 | `t_200_yellow_to_green` | State09_YELLOW | State10_GREEN | 7165.25 |
| 153 | 14:34:01 | 1/1 | 201 | `t_201_green_to_yellow` | State10_GREEN | State09_YELLOW | 7164.50 |
| 162 | 14:52:24 | 1/1 | 221 | `t_221_exit_hard_stop` | State09_YELLOW | State01_WAIT_BEAR_TREND | 7157.00 |
#### AI Summary
**1. What happened:** Trade 7 entered via `t_110_trade_entry_submitted` at 14:33:44, exited via `EXIT_HARD_STOP` at 14:52:24 for -7.75 pts. Exit counter peaked at 0 during this trade.
**2. Entry quality:** Good — entry at 7165.00, initial stop at 7157.25.
**3. Exit quality:** Poor — `EXIT_HARD_STOP` [Type_1_Hard] at 7157.25. Stop history: initial 7157.25 -> Type_1_Hard 7157.25.
**4. Strategy improvement candidates:**
- step=2 (max_count=12): 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=2, max_count=12. Exit counter active throughout trade lifecycle.
### Trade 8
**Entry 15:38:13 -> Exit 15:50:10 | +2.75 pts | 6 min | Entry offset at fill: ?pts | Max exit_counter: 128 | Max potential profit: +4.25 pts**
#### Diagnostic Log
| Bar | Timestamp | Chain | Transition # | Transition Name | From State | To State | Price |
|-----|-----------|-------|--------------|-----------------|------------|----------|-------|
| 162 | 14:54:00 | 1/1 | 50 | `t_50_bear_trend_met` | State01_WAIT_BEAR_TREND | State02_WAIT_BULL_SHIFT | 7157.75 |
| 182 | 15:34:00 | 1/3 | 60 | `t_60_bull_shift_met` | State02_WAIT_BULL_SHIFT | State03_WAIT_MA_CROSS | 7159.75 |
| 182 | 15:34:00 | 2/3 | 70 | `t_70_ma_bull_cross` | State03_WAIT_MA_CROSS | State04_WAIT_INDICATORS | 7159.75 |
| 182 | 15:34:00 | 3/3 | 80 | `t_80_all_indicators_confirmed` | State04_WAIT_INDICATORS | State05_WAIT_RETEST | 7159.75 |
| 184 | 15:36:02 | 1/1 | 90 | `t_90_ma_retest_touched` | State05_WAIT_RETEST | State06_WAIT_BREAKOUT | 7157.75 |
| 185 | 15:38:13 | 1/2 | 100 | `t_100_breakout_level_hit` | State06_WAIT_BREAKOUT | State07_ENTRY_GATE | 7160.50 |
| 185 | 15:38:13 | 2/2 | 110 | `t_110_trade_entry_submitted` | State07_ENTRY_GATE | State09_YELLOW | 7160.50 |
| 188 | 15:45:17 | 1/22 | 210 | `t_210_count_criteria [ma]` | State09_YELLOW | State09_YELLOW | 7162.50 |
| 188 | 15:45:49 | 16/22 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7161.50 |
| 189 | 15:46:19 | 10/47 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7162.00 |
| 189 | 15:46:59 | 26/47 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7161.50 |
| 189 | 15:47:22 | 42/47 | 230 | `t_230_offset_change` | State09_YELLOW | State09_YELLOW | 7161.25 |
| 189 | 15:47:45 | 47/47 | 202 | `t_202_yellow_to_red` | State09_YELLOW | State11_RED | 7158.75 |
| 191 | 15:50:10 | 1/1 | 226 | `t_226_exit_profit_target_count` | State11_RED | State01_WAIT_BEAR_TREND | 7163.25 |
#### AI Summary
**1. What happened:** Trade 8 entered via `t_110_trade_entry_submitted` at 15:38:13, exited via `EXIT_PROFIT_TARGET_COUNT` at 15:50:10 for +2.75 pts. Exit counter peaked at 128 during this trade.
**2. Entry quality:** Good — entry at 7160.50, initial stop at 7153.25.
**3. Exit quality:** Good — `EXIT_PROFIT_TARGET_COUNT` at 7163.25.
**4. Strategy improvement candidates:**
- step=2 (max_count=12): assess exit tolerance adequacy for this trade.
- Compare vs step=0 baseline: did the counter allow a better exit?
- max_ec=128: verify counter entered tightening range before exit fired.
**5. Risk notes:** Config step=2, max_count=12. 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 |