M10R Trading Platform

09:25:00

SIGNALS

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Macro Gate

SPY Gap -0.4%

VXX Gap +2.1%

✓ GO

SPY ≥ -2% AND VXX ≤ +5%

Today's Signals

12

Long

4

Short

16

Total

Quick Stats

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Yesterday P&L

—

Win Streak

—

Sharpe 5d

—

Avg Daily

Market Snapshot ETF gaps

Regime Spreads

Foreign Markets Asia · EU

Earnings Today S12 candidates

Activity Feed ● LIVE

16 trades

Ticker ⇅	Dir ⇅	Grade ⇅	Size ⇅	Gap% ⇅	PM Close ⇅	Score ⇅	Sector ⇅	Setup ⇅	Est WR

Total P&L (30d)

+$5,247

$175/day avg

Win Rate

61.5%

Net of costs

Sharpe (ann)

8.94

Conservative: 4.65

Max DD

-$1,258

4 days max streak

Equity Curve (30 days)

Monthly P&L

Win Rate

Rolling 20d Sharpe

Decision Hierarchy (9:28)

Macro check: SPY gap ≥ -2% AND VXX gap ≤ +5% → if FAIL → NO TRADES
Direction: pm_close > prev_close = LONG, else SHORT
Grade: score_v4 → A+/A/B+/SKIP
SHORT validation: S1 OR S12 only (otherwise SKIP)
Size by grade
Execute MOO → exit at 9:55

SHORT Rules (S1 & S12 only)

Rule	Condition	Stats
S1 — Momentum	`gap_pm ∈ [-3%, -1%]` AND `prev_day_ret < -2%`	N=10,967 · WR 64.7% · Sharpe 5.90
S12 — Pre-Earnings	`earnings_dist == 1` AND `prev_day_ret < -5%`	N=244 · WR 75.6% · Sharpe 8.99

S1 improving yearly: 2023 Sh 4.89 → 2024 6.03 → 2025 7.56 → 2026 8.10

Grade Thresholds & Sizing

Grade	Score Range	Size
A+	5.5 – 11.5	$1,500
A	3.0 – 5.5 or ≥24	$1,000
B+	1.0 – 3.0	$500
SKIP	< 1.0	$0

Cost Model (avg 0.13%/trade)

Broker: 0.4 bps × 2 (entry + exit)
ECN: 0.3 bps × 2
FINRA TAF: 0.0166 bps × 2
SEC fee: 0.00278% (sell side)
Exit spread: 5 bps (9:55 market order)
SHORT locate: $0.02/share (mid/large only)

Entry = MOO auction (0 spread). LONG avg: 0.11%, SHORT avg: 0.26%

LONG Rules

All M10 Honest baseline signals pass if:

pm_vol ≥ 10K
NOT SPY < -2% or VXX > +5%
NOT micro-cap SHORT
Direction = LONG (pm_close > prev_close)
Grade ∈ [A+, A, B+]

No additional filters (April, Monday, tech-lags etc removed as in-sample only).

Risk & Monitoring

Alert	Trigger	Action
Losing streak	3 consecutive red days	Reduce size 50%
Drawdown	DD > $2K	Pause, review
Expected Sharpe	Live: 4-6 (vs backtest 8.94)	Normal range

Expected live return: 30-44% annually on $100K BP. Max streak: 4 days.