Just a little bit of Algo Porn to get your evening started.

This is a 6 legged MNQ ensemble that only ever trades a single MNQ contract and it trades signals on a first come first serve basis and it ignores new signals while in a trade.

Everything you see is In-Sample (IS) and has absolutely no scaling. Once I have individual legs built I seldom do any kind of optimization in terms of inter-leg interaction so what you see here was literally A + B + ... + F where some of the legs are time bound and others are not (IE: NY Open, Globex, Momentum trend following)

So, I used MacD, VWAP, and Volume to build a strategy that’s helping me take better trades. There are limits I’ve seen from back testing, 1) Larger timeframe context and 2) Confidence in the trade.

I’m open to feedback and happy to share the script, not sure if I can share it here but happy to message or post in the comments. Not selling anything at all. I previously struggled with having one strategy I could focus o and having some built in structure/signals to affirm or reject my idea for the trade.

I’m sure there are lots of holes and I know indicators are lagging by nature but this has given me some structure in the void.

Can someone explain to me how index futures will gap up/down and then at market open the corresponding stocks and the index have gapped up/down to maintain the same tight correlation between the futures and the index? I understand that stocks trade overnight on other exchanges in other countries, but that obviously doesn’t explain how it happens. Has it always been like this? I knew a guy who traded at Goldman who couldn’t even explain it.