Fred v1.1

v1.0 trades anything that does 90% of a normal day's volume before the open. Across the backtest, the names in the top fifth by that ratio made almost all of the money and the bottom half lost. v1.1 keeps every other rule and simply waits for real heavy volume, 3x the 90-day average, trading less than half as often.

1. Universebefore 04:00 ET

   Nasdaq, NYSE and NYSE American common stocks whose previous close was under $5, with at least 20 sessions of history.

2. Volume filter04:00 to 09:30 ET

   Pre-market volume reaches at least 3x the stock's average daily volume over the previous 90 sessions (v1.0: 0.9x). The names that pass at 09:30 are the day's roster.

3. Triggerfrom 09:30 ET

   The first regular-session trade above the pre-market high. If the stock opens above it, Fred waits for a trade back below and then a new cross.

4. Calm-before-break gateat the cross

   Volume over the 5 minutes before the cross, per minute, must be under 2x the average pre-market volume per minute. A spike into the level is skipped.

5. Entryat the cross

   Marketable limit order, immediate-or-cancel, at the pre-market high +1%. If the ask is already higher, there is no trade. One entry per stock per day, none after 15:59.

6. Exituntil 16:00 ET

   Limit sell at +25% from the fill, stop at -10% from the fill, otherwise sold in the closing auction.

7. Sizeper trade

   10% of the day's starting equity per trade (5% roughly halves the drawdown). The backtest also caps size at 10% of the entry minute's volume.

Parameters, read from the locked config

# Fred v1.1 (draft, child of v1.0): pre-market volume >= 3x the 90-day average (v1.0: 0.9x).
# Everything else is v1.0 unchanged. Rules in words: docs/versions/v1.1.yaml.
#   fred shadow configs/versions    nightly forward test next to v1.0
name: fred_v1_1
plan: paid            # SIP real time (Algo Trader Plus). IEX misses ~99.8% of pre-market volume.

scanner:
  prep_at: "03:50"
  start: "04:00"
  poll_seconds: 60
  watchlist_at: "09:00"
  roster_at: "09:30"
  watchlist_min_progress: 0.5      # "on track" = at least 50% of the volume threshold by 09:00
  max_lines: 15
  baselines:
    max_price: 5.0                 # previous raw close under $5
    exchanges: [NASDAQ, NYSE, AMEX]
    avg_sessions: 90
    min_history: 20
  filters:
    - {cls: fred.scanner.filters:PriceBand, params: {max_price: 5.0, field: prev_close}}
    - {cls: fred.scanner.filters:PremarketVolumeVsAverage, params: {ratio: 3.0}}

trader:
  broker: alpaca_paper             # alpaca_paper | sim (dry run, no orders sent)
  poll_seconds: 1                  # how often the last trade is checked for the cross
  last_entry: "15:59"
  max_entries_per_symbol: 1
  # first trade above the PM high from 09:30 (after a dip below if it opened above) -> limit IOC at PM high x 1.01
  entry: {cls: fred.signals.pm_high_breakout:PmHighCross, params: {max_chase: 0.01}}
  gates:                           # checked at the moment of the cross
    - {cls: fred.live.gates:CalmBeforeBreak, params: {lookback: 5, max_ratio: 2.0}}
  exit: {cls: fred.exits.target_stop:TargetStop, params: {take_profit: 0.25, stop_loss: 0.10}}
  close_order: moc                 # anything still open sells in the closing auction
  close_buffer_minutes: 15         # MOC sent at 15:45 (Alpaca cutoff 15:50); 12:45 on half days
  sizer: {cls: fred.sizing.percent:PercentOfEquity, params: {pct: 0.10, skip_if_insufficient_cash: true}}
  # The spec also caps size at 10% of the entry minute's volume. That volume is only known after the
  # minute ends (the backtest used the full bar), so live runs without the cap; the trade log
  # records the entry minute's volume to check afterwards whether it would have bound.
  # To turn a live estimate on: add max_participation: 0.10 to the params above.
  risk:
    - {cls: fred.risk.guards:KillSwitch}

Replayed tick by tick (scripts/fred_v1x.py export). Buys at the ask 1 second after each trigger, stops sell at the bid 1 second later, targets fill at the limit, no entry and no target/stop from 15:45, still open sells at the official close. Fees: SEC and FINRA on sells. $25,000 start.

By year: 2025: +27.6% · 2026: +26.4%. Exits: 29% target · 47% stop · 24% close. 15 of 23 months positive.

Every weekday after the close, the day is replayed tick by tick from the delayed SIP tape exactly as this config would have traded it.

No forward-test days yet. The nightly replay adds one row per roster name after every US session.

• Chosen in November 2026 out of about 60 variants tried on the same 22 months as v1.0, so some of its edge is likely luck. The forward test next to v1.0 is the real test.
• The 3x threshold was picked after looking: 2x and 5x did worse, and the 2x-3x band lost money. Expect the forward result to be lower than the backtest.
• About 0.4 trades a day, so a couple of weeks of forward results is a handful of trades.
• Backtest under the live rules (no entry or target/stop from 15:45, official close), stops at the real bid 1 s later. v1.0's own frozen backtest predates those rules; under them v1.0 makes +1.03% per trade on 373 trades.