US Equity/ETF Swing
candidateMulti-day trend/momentum swing on liquid large-cap ETFs and megacaps, entered on a fast/slow MA cross inside a risk-on regime with ATR-scaled stops/targets. Alpaca equities are $0 commission, so the ~0.2% hurdle is trivially cleared by a routine 1–2% move. Runs on daily bars via the equity lab data path; long-only.
Pros
- + Removes the fee term entirely ($0 commission) — the single biggest structural escape from the Round-1 cost problem.
- + Reuses infrastructure already built and paid for; free IEX daily bars are adequate for the signal.
- + PDT (<$25k) and T+1 settlement both force the multi-day horizon that ALSO fixes the economics — two constraints agreeing.
Cons
- − Introduces overnight/weekend gap risk this system has never carried.
- − Daily-bar cadence ⇒ very low trade frequency; judging it needs weeks-to-months of live bars, not a short session.
- − Free IEX data is fine for daily-bar swing signals but not for anything microstructure; the shadow book only sees daily closes, so intraday stop/target touches are approximated.
Rejection gate
Reject if, after ≥50 closed trades, net-of-cost expectancy is ≤ 0, OR if the regime filter fails to reduce drawdown versus an unfiltered control.
Entry gate funnel (last 24h)
No gate telemetry yet — the engine flushes funnel windows every few minutes while running.
Adjustable parameters
Trend trigger; cross above the slow MA in a risk-on regime. · candidate range 5–20
Regime filter; only take longs while price is above it. · candidate range 50–200
Volatility scale for stops/targets. · candidate range 10–20
Wider than intraday — a multi-day hold needs room. · candidate range 1.0–2.0
Trivially clears $0-commission cost; respects the 3× rule. · candidate range 2.5–4.0
Liquidity floor — tight spreads keep the near-zero hurdle real. · candidate range ≥ $20M
Time-based exit for a multi-day swing; carried as the shadow-book time stop. · candidate range 5–20
Low-frequency by design. · candidate range 1–5 days
Recent markouts (0)
No markouts recorded yet.
Recent orders (0)
No orders yet.