03 Configuration and Tuning

Configuration and Tuning

All thresholds are module-level constants at the top of scan.py. Two of them (MIN_SCORE, MAX_BREAKOUT_AGE) can also be set per run from the CLI; everything else is edited in the file so the rules stay auditable in one place. There are no environment variables and no API keys.

Rule profiles

Since 2026-09-05 the pattern rules follow the engine specification (the spec profile, the module defaults). The rules in force before that date are kept as the legacy profile in RULE_PROFILES, so the two can be compared on the same data:

python scan.py --profile legacy            # scan with the old rules

gh workflow run backtest.yml -f profile=spec   # replays spec, and legacy alongside it

apply_profile(name) switches the constants at run time; signals.json records the profile in meta.profile. A value of None switches an optional rule off. In the tables below, spec is the default and legacy the alternative.

A third profile, tuned, is the spec with the four rules changed that the 2026-09-05 rule ablation showed were removing good signals: volume confirmation off (back to a score bonus), IHS side-duration symmetry off, Wolfe leg rhythm loosened to ±45 %, cup rollback cap at the spec's own 61.8 % maximum. Everything else in it is the spec. The Wolfe rhythm value was chosen on a three-point replay: ±30 % kept 8 Wolfe signals a year at +0.37 R, ±45 % 28 at +0.13 R, ±60 % 43 at +0.02 R; ±45 % lifts the whole tuned profile to 177 signals at +0.34 R.

Profile	What it is	Confirmed signals	Hit rate	Mean R	+5 % first	IHS	Wolfe	Cup
legacy	rules until 2026-09-05	354	33 %	+0.06	64 %	87 at +0.20 R	142 at −0.11 R	125 at +0.16 R
spec	the engine specification as written	22	53 %	+0.14	76 %	10 at 0.00 R	8 at +0.37 R	4 at +0.03 R
tuned	spec with the four relaxations above (Wolfe rhythm ±45 %)	177	50 %	+0.34	72 %	129 at +0.40 R	28 at +0.13 R	20 at +0.23 R

Year-long walk-forward replay, 250 sessions to 2026-09-04, horizon 60 bars, next-open fills, intraday stops (backtest workflow runs 33968691768, 33973275310 and 33985398488). Read with the usual caveats: today's constituents only, one year, one regime.

The nightly scan runs --profile tuned, chosen on this evidence on 2026-09-05; the default in code stays spec. Change the flag in .github/workflows/daily-scan.yml to switch. The cup entry stays at the handle peak: a rim-B entry replayed at 19 cup signals and +0.17 R against 20 and +0.23 R. The grid also shows a close-based stop (exit on the first close at or below the stop) lifting tuned's mean R to +0.35 at a 52 % hit rate; the report's stop level is unchanged, that is an execution choice.

CLI

Flag	Default	Effect
--tickers A,B,C	full S&P 500	scan only these symbols (upper-cased)
--csv path	pinned GitHub dataset	local constituents CSV; Symbol column or first column
--period	2y	yfinance period; 2y gives about 500 daily bars, enough for SMA200 plus a 250-bar cup
--min-score	60	overrides MIN_SCORE for the run and is echoed in meta.min_score
--max-age	3	overrides MAX_BREAKOUT_AGE; the effective per-pattern limits are in meta.max_breakout_age_by_pattern
--profile	spec	rule profile, spec or legacy; echoed in meta.profile
--out-dir	output	destination for signals.json and report.md
-v	off	DEBUG logging, including per-symbol last-bar detail

Global gates

Constant	Default	What it controls	Loosen →	Tighten →
PIVOT_ORDER	5	bars on each side needed to call a swing high/low	fewer bars: more (noisier) pivots, patterns visible sooner	fewer, cleaner pivots; H&S/Wolfe seen later; BREAKOUT_AGE_LAG follows it automatically
ATR_LEN	14	ATR window used for stops and the head/overshoot tests
MIN_SCORE	60	minimum quality score reported	more marginal setups	only the cleanest geometry
MAX_BREAKOUT_AGE	3	max bars since the confirming close (Cup); +PIVOT_ORDER for H&S and Wolfe	older breakouts reported	only fresh breakouts
BREAKOUT_AGE_LAG	Cup 0, H&S 5, Wolfe 5	extra age tolerated because the last pivot lags
MAX_RUNAWAY	0.05	close more than this above the trigger = chasing, dropped
WATCH_PROXIMITY	0.05	setups whose close is within this of the trigger → watchlist (was 0.03 until 2026-09-05; at 3 % a normal down day cleared most of the list)	longer watchlist	shorter watchlist
LAST_BAR_MIN_FRACTION	0.5	share of symbols that must have a complete bar for it to be meta.last_bar
FILL_CLOSE_MIN_AGE	1 h	how old the last trade must be to count as the closing print
CONSTITUENTS_COMMIT	2026-08-20 hash	pinned upstream commit of the constituent CSV

Volume and risk (all patterns)

Constant	spec	legacy	Meaning
VOLUME_AVG_LEN	20	50	bars in the average that the breakout-bar volume is compared with
VOLUME_CONFIRM	cup 1.4, H&S 1.3, Wolfe none	none	a breakout close is CONFIRMED only with at least this volume ratio; otherwise the row stays on the watchlist with the note "breakout without volume". A ratio ≥ 1.3 always adds +5 to the score.
MAX_RISK_PCT	cup 12, H&S 15, Wolfe 15	15 for all	reject setups whose stop is further than this below the entry
MIN_REWARD_RISK	off (tuned value from the replay in progress)	off	reject setups whose (target − entry) / (entry − stop) is below this; rows without a target are not judged
MAX_WAIT_BARS	off (tuned value from the replay in progress)	off	drop a completed pattern whose breakout has not come within this many bars of its last anchor (handle low, right shoulder, point 5); also bounds how long a row can sit on the watchlist
MAX_BUY_RISK_MULT	1.5	off	Max buy is also capped where the risk at the fill reaches this multiple of the planned risk; the backtest gaps fills above Max buy

Trend context

Constant	Default	Meaning	Tuning note
TREND_VETO_REVERSALS	spec False, legacy True	reject H&S and Wolfe setups when strong_downtrend holds	the spec expects reversals in down-trends; the backtest's profile comparison shows what the veto costs
TREND_STRONG_DOWN	0.90	close below this fraction of a falling SMA200 = strong down-trend	only used by the veto and the trend description
TREND_SLOPE_LOOKBACK	40	bars back used to decide whether the SMA200 is falling	shorter reacts faster to a roll-over, longer ignores wobble
TREND_STRONG_DOWN_SMA50	0.85	the same test against SMA50 when fewer than 200 bars exist, or when the SMA200's slope cannot be judged yet (200–239 bars)
CUP_REQUIRE_CLOSE_ABOVE_SMA200	spec False, legacy True	the cup's legacy gate	under spec the cup's trend filter is the SMA50/advance test below

Cup & Handle

Constant	spec	legacy	Meaning	Tuning note
CUP_MIN_LEN / CUP_MAX_LEN	20 / 300	30 / 250	rim-to-rim width in bars	spec: minimum 20, typically 35–300
CUP_MIN_DEPTH / CUP_MAX_DEPTH	0.12 / 0.50	same	depth as a fraction of the left rim	the spec is silent on a minimum; the score peaks at 25 %
CUP_MAX_RETRACE	0.50	off	the cup decline may not exceed this share of the preceding advance	the spec's "not more than 50 % (61.8 % absolute max)"; the rule that limits depth relative to the run-up
CUP_ADVANCE_LOOKBACK	250	–	window before rim A in which the preceding advance's low is sought	the spec does not define the window; a year lets a gradual advance count
CUP_RIM_TOL_OF_DEPTH	0.15	off	right rim within this share of the cup depth of the left rim	stricter than 5 % of price for shallow cups, looser for deep ones
CUP_RIM_TOL	0.05	0.05	right rim within 5 % of the left rim's price; used only when CUP_RIM_TOL_OF_DEPTH is off
CUP_BOTTOM_ZONE	(0.25, 0.75)	(0.20, 0.80)	the lowest low must sit in this part of the span
CUP_PRIOR_ADVANCE / CUP_PRIOR_LOOKBACK	0.20 / 60	0.25 / 120	required rise from the look-back low into the left rim
CUP_TREND_SMA_OR	True	False	SMA50 > SMA200 satisfies the trend filter on its own	easy to satisfy after any cup, so under spec the rollback rule does most of the work
CUP_MIN_ROUNDNESS	0.70	0.60	R² of the convex quadratic fit of cup lows	rejects ragged bases; on its own it would pass a clean V (R² ≈ 0.93)
CUP_MAX_V_ADVANTAGE	0.0	0.0	how much the best two-legged V fit's R² may exceed the parabola's	0 = the U must explain the lows at least as well as a V; ~0.07 would re-admit clean Vs
HANDLE_MIN_LEN / HANDLE_MAX_LEN	5 / 25	5 / 40	handle length in bars	below 5 bars a close above the running high is treated as the handle still forming
HANDLE_MAX_LEN_OF_CUP	1.0	off	handle bars ≤ cup bars × this	spec: the handle never outlasts the cup
HANDLE_MAX_DEPTH	0.12	same	handle pull-back vs. the right rim	O'Neil's 12 %
HANDLE_MAX_FRACTION_OF_CUP	0.50	same	handle depth vs. cup depth
CUP_TARGET_BASE	right_rim	left_rim	the measured move is bottom → this level, added to the entry (trigger = Investopedia's breakout-level measure)
CUP_TRIGGER	handle_high	same	breakout level: the handle peak (O'Neil's buy point) or rim_b, the higher of the handle peak and rim B, so the close must also clear the rim	a later, more conservative entry; compare with gh workflow run backtest.yml -f overrides="CUP_TRIGGER=rim_b"

Not configurable: the handle low must stay in the upper half of the cup.

Inverse Head & Shoulders

Constant	spec	legacy	Meaning	Tuning note
IHS_MIN_LEN / IHS_MAX_LEN	20 / 200	same	shoulder-to-shoulder width
IHS_MIN_HEAD_ATR	1.0	same	head at least this many ATR below both shoulders	the scale-free "is there really a head" test; the spec only asks for strictly lower
IHS_SHOULDER_SYM_OF_HEIGHT	0.30	off	shoulder gap as a share of the head height (neckline at the head bar minus head)
IHS_SHOULDER_SYM	off	0.50	shoulder gap as a share of the shallower shoulder depth
IHS_SIDE_SYM_TOL	0.40	off	the durations LS→N1 and N2→RS within this of each other
IHS_TIME_SYM	2.5	same	max ratio of left-half to right-half duration (sanity bound)
IHS_MAX_NECK_SLOPE	0.15	same	neckline change over the width, as a fraction of the head price	the spec's angle limits are scale-dependent; this is the usable form
IHS_PRIOR_DECLINE_OF_HEIGHT	1.0	off	required decline into LS, in head heights
IHS_PRIOR_DECLINE	off	0.10	required decline into LS as a share of the 60-bar high
IHS_TREND_SMA_OR	True	False	SMA50 < SMA200 satisfies the trend filter on its own
IHS_TARGET_AT_HEAD	True	False	measured move uses the neckline at the head bar (spec) rather than at the break bar	identical for a flat neckline

Bullish Wolfe Wave

Constant	spec	legacy	Meaning	Tuning note
WW_MIN_LEN / WW_MAX_LEN	15 / 200	same	point-1 to point-5 width
WW_SWEET_ZONE	True	False	point 5 must be below line 1-3 and above the line through point 3 parallel to 2-4	the classic Wolfe rule
WW_MAX_OVERSHOOT_ATR	2.0	2.0	legacy band: max undercut of line 1-3 by point 5 (also scales the score's overshoot term)	with the sweet zone on, only the score uses it
WW_TIME_SYM_TOL	0.30 (tuned 0.45)	off	legs 1→2, 2→3, 3→4 each within this of their mean	replay: 0.30 → 8 signals at +0.37 R, 0.45 → 28 at +0.13, 0.60 → 43 at +0.02
WW_MAX_BARS_SINCE_P5	25	same	point 5 must be within the last 25 bars
WW_MAX_ETA_BARS	250	same	lines 1-3 and 2-4 must meet within this many bars after point 5 for a target to be reported	guards against near-parallel lines projecting absurd targets
WW_MAX_TARGET_GAIN	1.0	same	no target when line 1-4 at the ETA is more than +100 % above the entry	a year of replay produced +590 % and +120 % "targets"

False-positive filters, in the order they act

1. Trend filter — spec: the cup needs SMA50 > SMA200 or a 20 % rise into rim A; H&S needs SMA50 < SMA200 or a one-head-height decline into LS. Legacy: cups needed an up-trend and reversal patterns were vetoed in a strong down-trend.
2. Geometry — the width/depth/symmetry/slope/sweet-zone/rhythm rules above. Each is a hard reject.
3. Rollback (cup) — the decline may not exceed half the preceding advance.
4. Roundness (cup only) — R² ≥ 0.70 and the parabola must fit at least as well as a V.
5. Confirmation state — stale (> age limit) and runaway (> 5 % above) breakouts are dropped; setups more than 5 % below the trigger are dropped.
6. Volume — a breakout close without ≥ 1.4× (cup) or ≥ 1.3× (H&S) average volume is watch-listed, not confirmed.
7. Risk — stop above entry or risk above MAX_RISK_PCT is dropped.
8. Patience — the breakout (or today, for a watchlist row) more than MAX_WAIT_BARS after the last anchor is dropped.
9. Reward:risk — a target less than MIN_REWARD_RISK planned risks above the entry is dropped.
10. Score — everything surviving with a score below MIN_SCORE is dropped.
11. De-duplication — only the best-scoring signal per (ticker, pattern, status) is kept, so overlapping pivot combinations never inflate the count.

Measuring the effect of a change

The random-walk sweeps in test_scan.py::test_random_walk_false_positive_rate and test_patterns.py::test_fat_tailed_noise_false_positive_rate print the share of 200 synthetic 500-bar series on which any detector fires (spec profile: 4 and 3 of 200, all watchlist; hard limit 5 %):

python -m pytest test_scan.py -k random_walk -q -s

For sensitivity, run the negative-control mutations (test_patterns.py -k violations) after loosening a threshold: each mutation names the rule it violates, so a newly passing mutation tells you which rule you have effectively removed.

python -m pytest test_patterns.py -k "violations or controls" -q

For real-data effect, run the backtest (see Testing and Contributing): it replays the active profile and the other one on the same year of prices, and re-scores the signals under stop and target variants. Any constant can be overridden for one replay without a code change: gh workflow run backtest.yml -f overrides="CUP_TRIGGER=rim_b WW_TIME_SYM_TOL=0.45" (locally --set KEY=VALUE). Change one constant, re-run, and only then change the default.