Investment Thesis
Core Belief
Markets exhibit exploitable inefficiencies at specific timeframes and conditions. These inefficiencies are: - Transient: They decay once crowded or regime shifts occur - Measurable: Statistical edge must be quantifiable with confidence intervals - Reproducible: Same inputs must yield same signals (no discretion)
Edge Sources
| Source | Mechanism | Decay Risk | Markets |
| Microstructure | Liquidity imbalances, order flow | High | FX, Futures |
| Technical patterns | Price action setups (ICT, SMC) | Medium | All |
| Session/time effects | Kill zones, session opens | Low-Medium | FX, Indices |
| Cross-asset signals | Correlations, divergences | Medium | Multi-asset |
| Volatility regimes | Vol clustering, mean reversion | Medium | All |
What We Do NOT Do
- No curve-fitting: Strategies must pass out-of-sample and walk-forward tests
- No lookahead: All features use only past data available at decision time
- No repainting: Signals locked at bar close, never modified retroactively
- No exploit trading: No latency arbitrage, no exchange manipulation
- No guarantees: All performance claims include confidence intervals
Competitive Advantage
- Process over prediction: Systematic validation pipeline catches bias before deployment
- Multi-asset coverage: Diversification across FX, crypto, futures, indices
- Prop-firm compatible: Position sizing and risk rules meet FTMO/MFF/TopStep requirements
- Adaptive monitoring: Automated drift detection triggers strategy review
Success Criteria
| Metric | Threshold | Rationale |
| Sharpe Ratio (net) | > 1.0 | Risk-adjusted returns above market |
| Max Drawdown | < 10% | Prop-firm compliance (most require < 10-12%) |
| Win Rate | > 45% | Combined with R:R of 1.5+ yields positive expectancy |
| Profit Factor | > 1.3 | Gross profit / gross loss |
| OOS Degradation | < 30% | Out-of-sample vs in-sample performance gap |
Market Selection Rationale
| Market | Why | Primary Timeframes |
| FX (EUR/USD, GBP/USD, USD/CAD, USD/JPY) | High liquidity, clear sessions, prop-firm eligible | 5m, 15m, 1H |
| Crypto (BTC, ETH, majors) | 24/7 markets, high volatility, trending behavior | 15m, 1H, 4H |
| Gold/Silver Futures | Safe haven flows, trend persistence | 15m, 1H |
| NASDAQ Futures | High volatility, clear US session patterns | 5m, 15m |
Assumptions (Documented)
- Historical patterns have predictive value for future price action
- Transaction costs remain within modeled ranges (±20%)
- Execution latency < 500ms is achievable on target platforms
- Broker/exchange APIs maintain uptime > 99%
- Regulatory environment remains stable for retail/prop trading
Risk Acknowledgments
- Past performance does not guarantee future results
- All strategies can fail simultaneously in tail events
- Model assumptions may be violated in regime changes
- Liquidity can evaporate in crisis periods