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Here is a comprehensive QuantConnect implementation and methodology guidance for your needs:

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1. Optimal Indicator Selection, Lookbacks, and Sensitivities

Recommended Indicators & Settings (for intraday/day trading)

Indicator Lookback Typical Sensitivity Triggers Rationale VWAP Full session or rolling 30–60 x 1-min bars Price > VWAP by >0.10%, +Volume > 1.5x recent average Detects price superiority during high volume, signaling accumulation OBV 20 x 1-min Linear regression slope > +2×σ (stddev) slope (last 20) Flags persistent "buying with volume" divergences CMF 20 x 5-min Value > +0.25 High readings indicate steady inflow through price range/volume mix Relative Dollar Volume (RDV) 20 bars Value > 2.0 Transaction $-volume spikes, ideal for sudden liquidity influx Accum/Dist Line (ADL) 14 bars 14-bar delta > 2×σ (last 14) Detects sharp positive inflection in accumulation MFI (Money Flow Index) 10 bars > 80 Alternative confirmation for volume/price mix EoM (Ease of Movement), Klinger 14/34–55 bars EoM > 2.0; KVO > 0 & rising Optional: for informed volume movement/osc. confirmations

Dynamic Parameter Adjustment:

• Compute rolling volatility (e.g. ATR(14) or 30-bar standard deviation of returns).
• Scale lookbacks: L_adj = int(base_L * clamp(0.5, 1.5, σ/σ_ref))
• Scale thresholds: thresh_adj = base * clamp(0.7, 1.3, σ/σ_ref)
• Example:

  atr = ATR(symbol, 14)
  vwap_thr = 0.001 * (1 + atr.current.value / price)
  cmf_thr  = 0.25  * (1 + atr.current.value / price)
  

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2. Large Universe Monitoring: Batch Rotation & Phased System

Efficient Monitoring System

• Batch rotation: Rotate through e.g. 100 stocks every 5 minutes using QC scheduler and a stateful pointer.
• Persistence: Use per-symbol dictionaries for indicator and phase state; always preserve history/indicator objects for paused stocks.
• Phased monitoring:
  • Phase 1: All symbols, 3 lightweight indicators (e.g. VWAP, ATR, SMA).
  • Phase 2: Only symbols with early signals, 6+ intensive indicators (add OBV, CMF, ADL, etc.).
• Universe example: Use dollar volume ranking for daily selection (top 300).

Sample Framework (Code Outline):

class LiquidityAccumulationMonitor(QCAlgorithm):
    def initialize(self):
        # ... universe selection, scheduler for rotation, etc.
        pass 
    def on_securities_changed(self, changes):
        # create/destroy indicators in symbol-keyed dicts, update phase state, etc.
        pass 
    def _process_next_batch(self):
        # for each batch symbol: run quick check (phase-1); upgrade to phase-2 for flagged stocks
        pass
    def _handle_phase_1(self, symbol):
        # run light indicator rules
        pass
    def _handle_phase_2(self, symbol):
        # run heavy signal logic (& potentially trade)
        pass 
    # ... see detailed example in code output above for full architecture and persistence management.

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3. Signal Logic, Filtering, Entry/Exit (With Anti-False Positive)

Signal Combination Best Practices:

• Boolean AND/OR (with window): e.g., VWAP breakout AND OBV slope AND CMF > threshold for N bars in a row
• Weighted scoring: Assign scores per indicator signal, sum, and trigger only if above a high threshold.
• Robust confirmations: Require price/volume candle pattern—e.g. strong range expansion, volume spike, bullish close—on/after indicator triggers.
• Persistence/anti-noise:
  • Hold requirements (N consecutive bars, multi-bar window, minimum score persistence)
  • Multi-indicator agreement
  • Optional: Confirm on higher time-frame (5-min/15-min breakout in a 1-min system)

Example (see code for more):

def boolean_confirmed(self):
    # VWAP/OBV/CMF aligned, each meets threshold, and held for >= 2 bars 
    pass
def weighted_score(self):
    # Score e.g., +3 = RSI oversold, +2 = OBV positive, +3 = Above VWAP, etc.
    pass
def candle_confirmation(self):
    # Last bar: bullish expansion, volume > prior bar x 1.2, close near high
    pass
def evaluate_signals(self):
    # Only enter if both indicator logic and price/volume confirm
    pass

• Exit criteria: (1) Opposite indicator alignment (2) end-of-day (3) stoploss/takeprofit.
• Risk:
  • Always have an SL and (optionally) TP.
  • Avoid re-entries in the same session unless new signals develop.

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All major recommendations above have robust code skeletons presented in the generated samples.
For full system code, see the code outputs for: indicator settings, dynamic tuning, universe management, phased architecture, batch rotation, and best-practice signal combination patterns.

Let me know if you'd like customization for a particular universe, indicator, or detailed rule example!

Sources: Manual Indicators - QuantConnect.com, Key Concepts - QuantConnect.com, docs writing algorithms indicators indicator universes, Key Concepts - QuantConnect.com, Key Concepts - QuantConnect.com