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1# Sample construction filters (CLAUDE.md §6). All liquidity screens use LAGGED data only.2baseline:3 session: regular_hours_only # 09:30-16:00 ET, calendar-truncated half days4 min_price_lagged: 5.0 # USD, prior-month median close5 min_bars_per_day_lagged: 100 # prior-month median RTH bars/day6 min_history_days: 607 exclude_suspected_split_window_days: 1 # +/- days around detected split jumps8 duplicate_rule: aggregate # volume-sum, max(high), min(low), first open, last close9universes:10 all_instruments: {}11 liquid_top500: { rank_by: lagged_dollar_volume, top_n: 500 }12 liquid_top1000: { rank_by: lagged_dollar_volume, top_n: 1000 }13 liquid_top3000: { rank_by: lagged_dollar_volume, top_n: 3000 }14periods:15 pre_decimalization: ["1992-01", "2001-01"]16 post_decimal_pre_regnms: ["2001-02", "2007-02"]17 regnms_to_2019: ["2007-03", "2019-12"]18 modern: ["2020-01", "2026-03"]19 # NOTE: period cuts are provisional; main analyses use flexible year effects (CLAUDE.md §13)20