EPS surp.>10 & ROE>15 (hold 20d) (lookback 3y) (max 10 pos) (fill delayed 2d, 10bps)

{
  "maxLookbackYears": 3,
  "eventFilter": {
    "eventType": "earnings",
    "conditions": [
      {
        "field": "epsSurprisePct",
        "operator": ">",
        "value": 0.1
      },
      {
        "field": "roe",
        "operator": ">",
        "value": 0.15
      }
    ]
  },
  "entryRule": {
    "type": "firstOpenAfterAnnouncement"
  },
  "exitRule": {
    "type": "afterTradingDays",
    "days": 20,
    "price": "close"
  },
  "benchmark": "SPY",
  "transactionCostBps": 10,
  "slippageBps": 10,
  "entryFillMode": "delayed_open",
  "conservativeFraction": 0.25,
  "delaySessions": 2,
  "maxConcurrentPositions": 10,
  "positionSizing": "equal_weight"
}