output/luxalgo-buyer-assets/pinescripts/mes-power-hour-continuation-router.lux.pine
Tier B/A prop-router research
MES Clean Power Hour Router
A MES-focused RTH router candidate built from clean midday and power-hour continuation, reclaim, and failed-sweep sleeves under one prop-firm governor. It is more frequent than the conservative portfolio anchor and cleaner than the rejected single-strategy VWAP snap tournament, but it still needs forward paper automation logs before any live-bot label.
ReplayRTH routerMES-focused, 2m/5m families
Trades2791.80 per week baseline
Win rate65.2%10k validated baseline
Target RR1.0-1.5Rpositive-R bracket sleeves
Expectancy+0.344Rper accepted trade
Profit factor2.04baseline gross wins/losses
Max DD5.20Rhistorical accepted path
Eval pass95.2%$125 risk / 10,000 paths
Cost-stress pass86.6%+0.05R added cost
Median pass51dp25 41 / p75 63
Historical Equity Curveaccepted router trades, normalized R path
Stress comparison
Why this one gets promoted
The broad VWAP snap continuation/fade tournament was rejected because its top candidate had a 32.2% prop failure rate. This router survives because drawdown stays controlled across baseline and cost-stressed paths.
| Stress | Trades | Win | ExpR | PF | Max DD | Eval pass | Eval fail | Median | Funded payout |
|---|---|---|---|---|---|---|---|---|---|
| Baseline | 279 | 65.2% | +0.344R | 2.04 | 5.20R | 95.2% | 0.0% | 51d | 100.0% |
| +0.03R added cost | 279 | 64.9% | +0.314R | 1.92 | 5.59R | 91.2% | 0.0% | 55d | 100.0% |
| +0.05R added cost | 279 | 64.9% | +0.294R | 1.85 | 5.85R | 86.6% | 0.04% | 57d | 100.0% |
| Random 10% miss + 0.03R cost | 255 | 63.9% | +0.284R | 1.80 | 4.88R | 81.8% | 0.08% | 59d | 100.0% |
| Miss every 5th fill + 0.05R cost | 224 | 64.3% | +0.289R | 1.82 | 5.72R | 80.0% | 0.03% | 60d | 100.0% |
Operating profile preview
Entry, stop, target, and governor logic
The public page shows the research-grade operating shape. Exact thresholds, route weights, and automation files remain private buyer material.
| Item | Validated public rule | Execution note |
|---|---|---|
| Market | MES-focused micro futures router | Do not translate to ES or NQ without retesting the contract, tick value, and risk model. |
| Chart family | RTH 2-minute and 5-minute research families | Closed-bar signals only; no intrabar hindsight arrows. |
| Time window | Midday plus power-hour risk windows | Disable outside validated windows and around high-impact scheduled news. |
| Bias | Continuation, VWAP/EMA reclaim, and failed-sweep sleeves | Route under one active global position; do not stack correlated signals. |
| Entry | Confirmed signal, intended next-bar fill | Cancel stale entries that miss the intended bar; do not chase. |
| Stop | Immediate structure/ATR bracket stop | No stop widening, no averaging down, no rescue logic. |
| Target | Positive-R bracket, mostly 1.0R to 1.5R sleeves | Take target automatically; manual discretionary stretching must be retested. |
| Eval risk | $125 per accepted trade | Designed for pass probability per drawdown, not raw speed. |
| Funded risk | $80-$110 per accepted trade | Use lower risk when payout survival matters more than time to pass. |
TradingView package
PineScript approximation staged privately.
A Pine v5 approximation has been staged for buyer/demo testing. It is not the full private Python router and has not been public-published to TradingView.
Buy arrows, stop line, target line, VWAP/EMA context, session gates, and alert condition are included.
Research passed the 10k stress pass. Live-style paper broker logs are still required before unattended automation.
Sources and testing protocol
What this validation is based on
The page is a research summary, not audited live performance. These are the internal files and rule assumptions behind the published metrics.
| Area | Source | Test note |
|---|---|---|
| Tradebook | work/rth_frequency_scout_gate_replay_20260628/trades_midday_plus_clean_power_hour_mes__eval_2trade_110.csv | Router-gated accepted trades with next-bar fill, bracket order, one-active-position, and daily-cap behavior. |
| 10k stress | work/rth_gate_router_stress_clean_powerhour_mes_10k_20260629/RTH_ROUTER_GATE_STRESS.md | Baseline, added-cost, missed-fill, random-missed-fill, and funded/evaluation risk profiles. |
| Rejected broad search | work/prop_alpha_timewindow_continuation_fade_pulse_20260628 | Single-strategy VWAP snap candidates were rejected for prop failure risk despite faster median pass. |
| Rule template | work/prop_alpha_lab.py Topstep-style 50K template | Includes max loss, daily lockouts, payout-day logic, commission, slippage, and Monte Carlo reshuffling. |
| Data source | work/databento_validation_normalized | Normalized MES/MNQ continuous-contract intraday bars used by the local research lab. |
Risk note
Strategy research is educational software and trading research, not financial advice. This is a paper/demo research candidate, not a live-funded approval. Live markets can break backtests through fees, slippage, latency, platform behavior, missed fills, rule changes, and regime shifts.