MNQ Open Drive Active RTH Router
A one-minute MNQ active-RTH/open-drive portfolio routed through the MES clean prop anchor. The latest governor pass improves the evaluation profile from the older $125 conservative setting to a faster $200 risk mode while keeping modeled rule-breach risk controlled.
Why this route is now the default test candidate
The high-frequency graft produced more trades, but it did not improve enough to justify the drawdown and cost sensitivity. The active-RTH speed governor is the better first paper-automation target: faster than the conservative profile, cleaner than the extra high-frequency add-on.
| Stress | Trades | Win | ExpR | PF | Max DD | Eval pass | Eval fail | Median | p95 DD |
|---|---|---|---|---|---|---|---|---|---|
| Baseline | 471 | 60.7% | +0.307R | 1.86 | 6.16R | 98.2% | 0.9% | 28d | $1,494 |
| Random 10% miss + 0.03R cost | 439 | 59.9% | +0.272R | 1.74 | 5.72R | 95.9% | 1.2% | 32d | $1,590 |
| +0.05R added cost | 471 | 60.3% | +0.257R | 1.68 | 7.21R | 94.8% | 2.0% | 33d | $1,708 |
| +0.10R added cost | 471 | 59.7% | +0.207R | 1.52 | 8.26R | 87.1% | 5.0% | 36d | $1,889 |
Latest promotion decision
| Mode | Accepted trades | Risk | Daily stop | Profit lock | Pass | Fail | Median | Verdict |
|---|---|---|---|---|---|---|---|---|
| Active-RTH speed | 471 | $200 | $650 | $800 | 98.2% | 0.9% | 28d | Promote for evaluation paper test. |
| Active-RTH conservative | 463 | $200 | $500 | $800 | 98.1% | 0.9% | 29d | Nearly equal, slightly slower, slightly lower historical DD. |
| Open-drive-only speed | 360 | $225 | $650 | $800 | 99.0% | 0.6% | 25d | Safest fast pass, but fewer weekly signals. |
| High-frequency add-on | 494 | $200 | $650 | $650 | 97.7% | 0.9% | 28d | Watchlist only; extra frequency does not justify added DD. |
Entry, stop, target, and governor logic
The public page shows the research-grade operating shape. Exact thresholds, route weights, private code, and automation files remain private buyer material.
| Item | Validated public rule | Execution note |
|---|---|---|
| Market | MNQ one-minute active-RTH/open-drive sleeves plus MES clean anchor routing | Start with micros only. Do not scale to NQ/ES without retesting. |
| Chart family | 1-minute active-RTH signal source plus existing MES/MNQ open-drive router families | Closed-bar signals only; no intrabar hindsight arrows. |
| Time window | New York RTH windows, with focus on open-drive and active-RTH conditions | Disable around high-impact scheduled news until the news cooldown model is separately verified. |
| Bias | Open-drive reclaim, continuation, sweep-reclaim, and active-RTH structure 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, 1.0R to 1.5R depending sleeve | Take target automatically; discretionary stretching must be retested. |
| Evaluation governor | $200 risk, max 4 accepted trades/day, $650 daily stop, $800 daily profit lock | Evaluation mode only. Funded mode should reduce risk. |
| Funded governor | Modeled at $90 funded risk in this verification | Use lower risk when payout survival matters more than time to pass. |
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/current_router_governor_verify_active_speed_20260629/trades_open_drive_plus_active_rth__speed_4trade_wide.csv | Accepted trades used for the latest promoted speed-governor profile. |
| Governor summary | work/current_router_governor_verify_active_speed_20260629/current_router_governor_summary.csv | 5,000-path baseline, added-cost, and missed-fill Monte Carlo prop simulations. |
| Portfolio replay | work/portfolio_router_replay_highfreq_addon_20260629/portfolio_router_summary.csv | Comparison against high-frequency and compression add-ons. |
| 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.