MES Scalping Strategy with Configurable Signals and Session Filters

Summary

This MES strategy offers selectable long-only, short-only, and paired-direction modes. Entry signals come from moving-average crossovers or states and RSI overbought or oversold readings. In paired mode, the selected signal maps to its directional counterpart, and an optional reversal setting allows switching sides when an opposite signal appears. Signals are evaluated on one bar and entered at the next bar’s open, with a session filter that can restrict trading to regular hours, evening hours, extended hours, or a custom window.

Risk controls include fixed point-based profit and loss distances, a maximum holding time, and an optional exit after a long gap between bars. The document claims multi-year stress testing on MES and ES one-minute data, with five-second data used to examine same-bar ambiguity, and states that an evening session performed best across signals. It gives selected profit-factor claims in tooltips, but the provided source is truncated and the test methodology, full results, and robustness evidence are not available here. Treat the claims as unverified and parameter-specific.

Key ideas

• The strategy provides distinct long-only, short-only, and paired-direction signal modes.
• Entry choices include moving-average crossovers or states and RSI threshold conditions.
• Signals are shifted to the next bar’s open, with optional reversals when trading both directions.
• Session filters, fixed point exits, a holding-time cap, and a gap exit shape trade management.
• The document reports backtesting claims but lacks complete results and sufficient detail to verify robustness.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.