The 2026-07-01 forensic + the source trader's day-14 notes point at a thesis-scope gap:
the day's only clean, held, TRADEABLE +2R moves (MSTR, SSPC) were LIQUID names that ignited
intraday with ~zero premarket gap -- invisible to the premarket-gapper universe -- while the
cheap "held trenders" were untradeable dust and the liquid gappers the bot chased whipsawed.
strategy/evaluation/liquid_breakout.py::detect_liquid_intraday_breakout -- a pure detector that
makes LIQUIDITY (cumulative + per-bar dollar-volume) a first-class gate (the thing runner.py
lacked, which let it fire on dust), plus a price floor + fresh-session-high breakout + VWAP hold.
NO gap, NO blue-sky, NO float. Validated on the real tape: fires on MSTR (@bar15) and SSPC (@bar90),
correctly silent on the sub-$2 dust (DXF) and the <$1M single-print names.
Design finding baked in: RVOL is RECORDED, not a hard gate. MSTR/SSPC were NOT within-session
volume surges -- MSTR was liquid from the open (recent/early vol ratio ~0.5-1.0 the whole grind),
so a hard rvol>=3x "surge" gate structurally kills the steadily-liquid grinders this lane exists to
catch. rvol is stored as a stratification feature (the shadow track will measure whether high-rvol
fires convert better, like the runner GRADE); it only gates if rvol_min>0 is passed.
Selectivity is broad (~50% of the liquid universe fires at least once/day) -- this is a candidate
POPULATION definer, not a precise signal. The decisive question (does it convert to +1R better than
the ORB, and does any rvol/liquidity stratum beat it) is for the shadow track + a pre-registered
forward bar. SHADOW-ONLY: never routes to approve_order; 6th selection signal, must prove conversion
after cost before any live gating. See memory thesis-scope-liquid-intraday-momentum.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
