Opening Drive Reclaim Research
B-minus MES/MNQ research for a New York open continuation setup: wait for a strong opening drive, pullback into VWAP/mean structure, then enter only after a closed-bar reclaim. The edge is real enough to track, but not strong enough to label prop-ready automation yet.
Equity Preview
Gold: quality modeBlue: frequency mode
Research Verdict
Tier B-Demo candidateNot prop-ready yet
The setup has a clean thesis and positive 2026 holdout, but the higher-frequency version takes a materially deeper drawdown. This should be demo-tracked and stress-tested before any automation or paid code release.
Primary window: 2023-07-10 through 2026-05-19. Frequency window: 2023-06-05 through 2026-05-26.
Variant Comparison
| Variant | Ruleset | Trades | Win | RR | PF | Net | Max DD | Trades/week | 2026 Holdout |
|---|---|---|---|---|---|---|---|---|---|
| Quality | 2-minute, NY open, long, ATR 1.25 stop, 1.0R target, 20-bar max hold, opening-drive threshold 1.4, with EMA200 trend gate, cooldown 3. | 165 | 63.0% | 1.0R | 1.56 | +34.3R | 7.61R | 1.11 | 37 trades, 62.2%, +6.86R |
| Frequency | 1-minute, NY open, long, ATR 1.25 stop, 1.0R target, 20-bar max hold, opening-drive threshold 0.8, no EMA200 gate, cooldown 3. | 516 | 57.8% | 1.0R | 1.24 | +50.6R | 17.19R | 3.32 | 86 trades, 59.3%, +11.53R |
Plain-English Rule Shape
| Component | Research setting |
|---|---|
| Market | MES and MNQ futures from normalized Databento bars. |
| Setup | Opening drive establishes directional intent, then price pulls back into VWAP/EMA20 and reclaims upward on a completed bar. |
| Entry | Long-only, next-bar entry after closed-bar reclaim. No intrabar/repainting signals. |
| Stop | Max of signal structure risk, ATR-stop multiple, and symbol minimum risk; capped by symbol max risk. |
| Target | Fixed 1.0R target in both public variants. |
| Time exit | Exit after 20 research bars if target/stop does not resolve first. |
TradingView / LuxAlgo Translation
| Input | Quality mode | Frequency mode |
|---|---|---|
| Chart | 2-minute MES/MNQ | 1-minute MES/MNQ |
| Session | NY open continuation window | NY open continuation window |
| Bias filter | Price above EMA200; opening drive up | Opening drive up; no EMA200 requirement |
| Mean reclaim | Pullback tags or undercuts VWAP; close reclaims VWAP and EMA20 | Same, looser opening-drive threshold |
| Momentum guard | RSI between 45 and 72; close greater than prior close | Same |
| Automation warning | Use closed-bar alerts only. Lux/TradingView implementation should print on bar close and never retroactively move arrows. | |
The Pine/LuxAlgo build should be treated as a visual approximation until bar-by-bar replay confirms it matches the Python research ledger.
Clean Signal Proof
The Opening Drive Reclaim Pine v6 draft was privately saved and chart-checked. The public image below is generated from the verified MES research ledger and normalized bars, so the signal can be shown without exposing private chart overlays or the locked Pine source.
Why It Is Not A-Tier Yet
The quality variant is solid but only trades about 1.1 times/week. The frequency variant trades about 3.3 times/week, but win rate drops to 57.8% and max drawdown rises to 17.19R. That is a legitimate research lead, not a hands-off prop bot.