output/luxalgo-buyer-assets/pinescripts/vwap-snap-funded-demo.lux.pine
Tier C/B funded-demo research
VWAP Snap Funded Demo
A 2-minute MES/MNQ NY-open VWAP mean-reversion snap candidate with improved funded-mode behavior and still-elevated evaluation drawdown risk.
Trades2481.60 per week
Win rate57.3%10k validated
Target RR1.0Rdefault model
Expectancy+0.088Rper trade
Profit factor1.20gross wins / losses
Max DD12.48Rhistorical path
Eval pass74.1%10,000 paths
Eval fail22.9%trailing/DD fail
Median pass35 daysp25 24 / p75 49
Funded payout94.2%modeled eligibility
Historical Equity Curveclosed-trade R path
Exact operating profile
Entry, stop, target, and governor logic
The public page shows the research-grade operating shape. Source code, alert wiring, and platform-specific automation files remain private until unlock.
| Item | Validated rule | Execution note |
|---|---|---|
| Chart | 2-minute execution chart | The research candidate is a 2-minute VWAP snap model. |
| Market | MES/MNQ micro futures | Micro sizing is required for drawdown and fill-drift control. |
| Direction | Long only | The promoted candidate is not a long/short pair. |
| Session | NY-open window | Do not extend it into lunch or power hour without retesting. |
| Setup | Previous bar stretched below VWAP by 0.55 ATR, then current bar closes up | A mean-reversion snap, not a blind falling-knife buy. |
| Trend filter | Price must be above EMA200 | This keeps the snap aligned with the higher-timeframe bias. |
| RSI filter | RSI below 50 at signal | Requires the pullback to still be early rather than fully chased. |
| Entry | Closed-bar signal, next-bar/market style entry in the approximation | Backtest used next-bar execution from replay. |
| Stop | Max of structure risk and 0.65 ATR, with minimum-risk floor | No widening after entry. |
| Target | Fixed 1.0R target | Bracketed target, not discretionary target stretching. |
| Time exit | 20 bars on the validated 2-minute model | Exit if neither stop nor target resolves inside horizon. |
| Governor | Demo/funded risk only until forward parity is proven | Evaluation fail rate is too high for flagship unattended automation. |
Fast-pass governor frontier
Speed versus survival settings
These rows keep the same signal logic and only change risk dollars plus daily lockouts. Faster pass settings raise drawdown failure risk, so they belong in demo first.
| Mode | Risk | Daily stop | Daily lock | Pass | Fail | Median | P75 | Avg DD |
|---|---|---|---|---|---|---|---|---|
| Governor optimizer pending for this strategy. | ||||||||
TradingView package
PineScript approximation staged privately.
This is staged as free/demonstration research first because the evaluation fail rate is materially higher than the Open Drive engine.
Buy arrows, stop line, target line, session controls, and alert conditions are included in the staged script.
The script is private buyer/testing code and has not been published to the TradingView public library.
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 |
|---|---|---|
| Market data | Normalized MES/MNQ continuous-contract intraday bars from work/databento_validation_normalized. | Coverage checked from source CSVs: 2023-06-01 through 2026-05-29. |
| Replay engine | work/drawing_board_edge_hunt_20260624.py plus work/prop_alpha_expanded_tournament.py. | 1-minute bars are resampled into the tested 2-minute and 5-minute execution views before signals are replayed. |
| Validation files | work/prop_alpha_expanded_validation_20260625 and work/prop_alpha_portfolio_validation_20260625. | Promoted candidates were rerun through 10,000 Monte Carlo prop-firm paths. |
| Rule template | Topstep-style 50K Combine/XFA simulator, verified from official Topstep help pages on 2026-06-25. | Includes MLL, optional DLL, contract limits, micro ratio, consistency, payout-day, and automation caveats. |
| Costs | $1.24 commission per side and 1 tick slippage per side in the current simulator template. | Live fills must be audited before scaling. If costs drift, the strategy is paused. |
Risk note
Strategy research is educational software and trading research, not financial advice. Backtests and Monte Carlo simulations can fail in live markets due to fees, slippage, latency, platform behavior, regime changes, and user execution.