monitoring/decay_baselines.json on each page load) and the historical MC V7 stat-grids below it (Sharpe, Daily EV, % of P&L, WF Retention — not in baselines JSON; see Section 3 staleness banner).monitoring/decay_baselines.json (refreshes per page load)In one sentence: We wait for the first 30 minutes of trading to establish a range, then trade breakouts from that range.
Setup: Opening range compresses energy as buyers and sellers establish fair value.
Entry: Volatility-band trigger breaks above/below the range on a 5-min bar close.
Exit: D15 holds for 75 minutes before activating a trailing stop, protecting against fakeout reversals.
Why: The OR breakout captures institutional order flow as the day’s trend direction resolves.
open ± K×VSO×open, K=0.5 (Long) / K=0.25 (Short), on 5-min close crossing triggermonitoring/decay_baselines.json (refreshes per page load)In one sentence: When price overextends beyond the opening range, it often snaps back.
Setup: Wait for a gap-flat day (|gap| < 0.30%) where both OR boundaries get breached.
Entry: Price stretches 1.5× the range below ORL — enter long targeting a snap-back.
Exit: 3C exit because its wider Phase 2 trail is critical for MR’s 2:1 R:R target.
Why: Big gaps change the character of moves. On flat-gap days, extensions are often temporary overreactions.
-2A extension (1.5× on gap-flat), requires double-break (both ORH+ORL breached)monitoring/decay_baselines.json (refreshes per page load)In one sentence: Same breakout concept as ES applied to gold futures, with wider parameters due to gold’s higher volatility.
Status: Monitor — walk-forward validation failed on worst-window criterion. D15 is still the better exit (3C is even worse on MGC).
K=0.5monitoring/decay_baselines.json (refreshes per page load)In one sentence: Mean reversion on gold futures — only Short side active (Long removed at PF 0.94).
Status: Monitor. Inherits D15 exit from MGC BO exit mode.
+2A extension, double-break required (short side only)monitoring/decay_baselines.json (refreshes per page load)In one sentence: When the market opens significantly lower than yesterday’s close, it frequently “fills the gap” — we go long expecting a return toward yesterday’s close.
Setup: Overnight sellers push price below prior close (ES) or prior London close (MGC), creating a gap. Statistical tendency: ~65% of gaps fill within the session.
Entry: ES: 25% gap fill confirmation (Entry C) → LIMIT. MGC: 1-min bar closes through open (Entry A) → MARKET. Both confirm the gap is filling before committing.
Exit: ES: D15 (75-min hold → OR-width trail). MGC: 3C trail (30-min engage → floor at 50% gap distance).
Why: ES Gap Fade is the portfolio’s MVP — PF 3.51. MGC Gap Fade (London close) is the highest PF strategy at 4.68 with 89.5% WR. Both uncorrelated with BO (r=0.065).
monitoring/decay_baselines.json (refreshes per page load)In one sentence: When ES gaps up significantly, institutional buying momentum typically continues through the day session — we buy on OR breakout confirmation.
Setup: Overnight gap-up signals institutional accumulation. When the opening range breaks to the upside, it confirms the bullish momentum.
Entry: BUY on OR High breakout confirmation after gap-up day. D15 exit provides optimal holding period.
Why: ES GC is the portfolio’s second-largest P&L contributor at $42/day (22.3%), with strong PF 1.90 and Sharpe 1.38.
monitoring/decay_baselines.json (refreshes per page load)In one sentence: Same gap continuation concept as ES but applied to micro gold (MGC), trading in the direction of the overnight gap after OR breakout confirmation.
Setup: Overnight gold gap signals institutional flow. When the opening range breaks in the gap direction, it confirms continuation momentum.
Why: MGC GC adds gold diversification to the gap continuation theme. PF 1.58 with low correlation to ES strategies.
monitoring/decay_baselines.json (refreshes per page load)In one sentence: After a significant gap-up on MNQ, when the market breaks below the opening range low, it signals a “dead cat bounce” reversal — we sell short expecting follow-through.
Setup: Gap-up ≥ 0.30% establishes bullish sentiment. When price then breaks below OR low, it traps late longs and triggers selling.
Entry: SELL on breakdown below OR Low after gap-up day. Confirmation bar required.
Status: Currently in DRY-RUN mode (ENABLE_MNQ_DC=false). Monitoring signals without placing trades.
monitoring/decay_baselines.json (refreshes per page load)In one sentence: After the morning Opening Range establishes key support/resistance, this strategy watches for price to revisit those levels during the low-volume afternoon window (13:00–14:30 ET), entering mean-reversion trades expecting the OR level to hold.
Setup: OR High and OR Low act as natural support/resistance. Afternoon revisits of these levels often see mean-reversion bounces.
Entry: LIMIT at OR level when 1-min bar close is within 2.0 pts. LONG at ORL (support bounce), SHORT at ORH (resistance rejection).
Status: LIVE. Context filter: None (V1). 16/16 WF folds, PF 1.68, Sharpe 3.92.
monitoring/decay_baselines.json (refreshes per page load)In one sentence: Watches for MGC (Micro Gold) price to revisit the morning Opening Range levels during 10:00–12:00 ET. V5 breakout-aware filter skips trades when the OR level was already broken and held during the morning session.
Entry: LIMIT at OR level when 1-min bar close is within 5.0 pts of ORH or ORL.
Context filter (V5): Skips LONG if ORL was broken in the morning AND price is still below ORL at scan start. Skips SHORT if ORH was broken in morning AND price still above ORH.
monitoring/decay_baselines.json (refreshes per page load)In one sentence: Watches for MNQ (Micro Nasdaq) price to revisit the morning Opening Range levels during 13:00–15:00 ET. Uses 1.5:1 reward-to-risk ratio (15pt target / 10pt stop).
Entry: LIMIT at OR level when 1-min bar close is within 20.0 pts of ORH or ORL.
Asymmetric R:R: 15pt target vs 10pt stop = 1.5:1 R:R, reflecting NQ volatility profile.
monitoring/decay_baselines.json (refreshes per page load)In one sentence: Watches for Crude Oil (CL) price to revisit the morning Opening Range levels, entering bracket trades at those support/resistance zones.
Entry: LIMIT at OR level when price touches ORH or ORL.
V3 enhancements: Optimized stop/target ratios calibrated to crude oil volatility profile.
monitoring/decay_baselines.json (refreshes per page load)In one sentence: Watches for 10-Year T-Note (ZN) price to revisit the morning Opening Range levels, entering bracket trades at those support/resistance zones.
Entry: LIMIT at OR level when price touches ORH or ORL.
V3 enhancements: Optimized stop/target ratios calibrated to bond volatility profile.
| Strategy | PF | Sharpe | EV/Day | LOO Δ | Status |
|---|---|---|---|---|---|
| CL ORTouch V3 | 5.42 | 5.38 | $14 | -2.9% | TOP CARRIER |
| ZN ORTouch V3 | 4.65 | 5.92 | $12 | -1.5% | CARRIER |
| SI ORTouch V3 | — | — | — | -1.1% | CARRIER |
| ES ORB MR | 1.55 | 2.11 | $16 | -0.9% | CARRIER |
| MGC ORTouch | 6.00 | 7.10 | $5 | -0.6% | Near-neutral |
| CL Dead Cat | 1.80 | 1.20 | $5 | -0.6% | Near-neutral |
| HG ORTouch V3 | — | — | — | -0.2% | Near-neutral |
| ES Cond ORF | 2.34 | — | $6 | +0.0% | Near-neutral |
| ES ORTouch | 1.68 | 3.92 | $4 | +0.1% | Near-neutral |
| ES Gap Fade →MES | 1.03 | 0.07 | $1 | +0.1% | Near-neutral |
| ES ORB Short | 1.55 | 2.11 | $16 | +1.5% | VARIANCE DRAG |
| ES ORB Long | 1.55 | 2.11 | $16 | +3.1% | VARIANCE DRAG |
| — | — | — | — | DISABLED | |
| — | — | — | — | INVALIDATED | |
| — | — | — | — | INVALIDATED |
| TopStep (S3) | |
|---|---|
| ES | 1ct |
| MGC | 2ct |
| MNQ | 1ct |
| CL | 1ct |
| ZN | 1ct |
| SI | 1ct |
| HG | 1ct |
| PDLL | $1,000 |
| Strategy | Reason | Disabled | Last PF | Baseline | Status |
|---|---|---|---|---|---|
| CL S1 (Crude) | No validation data for crude overnight. Replaced by CL ORTouch V3. | 2026-02-18 | — | — | disabled |
| S1-C Overnight (ES) | Synthesized PF 3.89 was never validated. MC PF=0.93. | 2026-02-20 | 0.93 | S1C | disabled |
| ZN ORB | PF=0.87. 322 trades/yr amplifies losses; variance drag. | 2026-02-20 | 0.87 | ZN_ORB | disabled |
| ZN Gap Fade v1 (Entry C) | PF=0.52. Stop too tight for bonds. Replaced by long-only time-trail variant (PF 1.04). | 2026-02-20 | 0.52 | ZN_GF | disabled |
| ZN Gap Cont v1 → Already re-enabled as part of ZN ORTouch deployment. | Collateral (ZN master toggle off). PF=1.21 — re-enabled with ZN ORTouch deployment. | 2026-02-20 | 1.21 | ZN_GC | collateral |
| MGC ORB / GC / GF (early variants) → MGC ORB superseded by current MGC ORB split (live). | MGC_GF: $74/yr Sharpe 0.08 — full MGC family deprecated, replaced by MGC ORTouch + MGC ORB split (BO + MR). | 2026-02-20 | — | MGC_ORB | disabled |
| NQ Gap-Up Pullback (MNQ) | Failed live. PF=1.09, Sharpe=0.24. Not viable for MNQ. | 2026-02-21 | 1.09 | MNQ_GU | failed |
| MNQ Dead Cat | $592/yr Sharpe 0.52. Insufficient edge for MNQ. | 2026-02-21 | — | MNQ_DC | failed |
| ES Gap Cont (ES_GC) | High variance drag in MC V7. LOO +3.3%. | 2026-04-08 | — | ES_GC | disabled |
| MGC Gap Cont V2 → Pending re-research after session-time bug fix; backtest in openclaw-research/ | Session time bug invalidated PF; pending re-research. | 2026-04-15 | — | MGC_GC | invalidated |
| ZN Gap Cont V2 → Pending re-research after session-time bug fix; backtest in openclaw-research/ | Invalidated by session time correction. | 2026-04-15 | — | ZN_GC | invalidated |
openclaw-research/outputs/realistic_mc/.| Strategy | LOO Δ | Classification | |
|---|---|---|---|
| CL ORTouch V3 | -2.9% | TOP CARRIER | |
| ZN ORTouch V3 | -1.5% | Carrier | |
| SI ORTouch V3 | -1.1% | Carrier | |
| ES ORB Mean Rev | -0.9% | Carrier | |
| MGC ORTouch | -0.6% | Near-neutral | |
| CL Dead Cat | -0.6% | Near-neutral | |
| HG ORTouch V3 | -0.2% | Near-neutral | |
| ES Cond ORF | +0.0% | Near-neutral | |
| ES ORTouch | +0.1% | Near-neutral | |
| ES Gap Fade →MES | +0.1% | Near-neutral | |
| ES ORB Short | +1.5% | VARIANCE DRAG | |
| ES ORB Long | +3.1% | VARIANCE DRAG | |
| ES Gap Cont | — | DISABLED | |
| MGC Gap Cont V2 | — | INVALIDATED | |
| ZN Gap Cont V2 | — | INVALIDATED | |
| MC V7 Portfolio | 81.7% DLL pass |
| Degradation | Pass Rate (DLL) |
|---|---|
| 0% | 81.7% |
| 10% | ~74% |
| 20% | ~65% |
| Slippage | Pass Rate (DLL) |
|---|---|
| +1 tick | 83.0% |
| +2 ticks | 76.0% |
/api/health.