The trader's #1 taught setup is a CONTINUATION, not the bot's open-anchored ORB:
a leading gainer that spiked, pulled back (held >=50% of the run), and is curling
back up through VWAP, bought BELOW the HOD. Across 6/25-29 every name he monetized
(MIMI/FCUV/ZDAI/SDOT/UPC) was this one pattern; the bot blocked all on the ORB gate.
P0 = standalone pure detector (detect_vwap_reclaim) with 5 binary gates (impulse /
pullback-held / curl-reclaim / below-HOD / momentum-green), reusing calculate_vwap
& calculate_ema (no train/serve skew). SHADOW-ONLY: not wired into classify_setup.
6 unit tests green.
DECISIVE REAL-DATA FINDING (RTH minute bars): slid across 4 real trader names.
FIRED on the all-day trenders -- SDOT 6/26 (10.22->22.50) 22x, FCUV 6/25 2x -- but
ZERO on MIMI 6/25 and UPC 6/29, both rejected on "pullback broke past the hold
level" with a NEGATIVE held_frac. Root cause is STRUCTURAL: anchoring the impulse
to the day's SINGLE HOD + session-absolute low means a name that spikes->HOD->fades
reads every later bar as "broke the hold" forever, blind to the LOCAL spike->
pullback->curl legs that re-arm intraday. P1 fix = rolling local-swing anchor, not
the day's one HOD. (Deliberately NOT widening hold_frac to force n=4 anecdotes green.)
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
