Strategy pattern · Momentum
Futures momentum with order-flow confirmation, tested against costs and latency first.
This futures momentum strategy is a Super Algo Kit pattern card from a real build. It scores 1-second momentum on a full-size index future and waits for five seconds of order flow to agree. Then it trades the micro contract with fixed risk and a daily halt. It is graded C: it was observed on paper only, with assumed costs.
strategy facts
One-second momentum with order-flow confirmation on micro index futures
- Family
- Momentum, from a real build that was generalised and anonymised
- Markets
- Index futures: the signal on the full-size contract, orders on the micro, such as MES for ES
- Timeframes
- 1-second bars, with five seconds of order-flow confirmation
- Evidence grade
- C: weak or anecdotal evidence. The real build recorded no validated edge
- Status
- Paper: observed on paper only; a short window with assumed costs is no evidence either way
- Data needed
- 1-second bars or ticks with trades and quotes, micro contract quotes, dated contract specs and a session calendar
- Main risk
- At a 1-second horizon, fees and spread can eat a large share of the amount risked
From the kit's own card. Not investment advice.
Paper first
Test it before you trade it.
Super Algo Kit runs inside the coding agent you already use. It interviews you, writes the spec with pass marks set first, then builds, backtests and paper-tests. Real money starts only when you type the authorize command.
The plan, step by step
Tick them off as you go.
How does this futures momentum strategy work?
Very short-term price velocity and acceleration are each divided by ATR, the average true range, so they compare across calm and busy markets. They combine into a 0 to 100 score on the full-size contract.
When the score stays high for three checks and the regime vetoes pass, five seconds of order flow must agree. Only then does an order go to the micro contract, a smaller contract on the same index that suits a small account.
Order-flow momentum rules in plain words
This is a summary of the card's sketch. The builder's thresholds are trials to declare, not settings to trust.
- Score: velocity and acceleration, scaled by ATR, must stay above a high threshold.
- Vetoes: declared filters such as spread, volatility state and event windows.
- Confirmation: five seconds of agreeing order flow, such as initiated-volume imbalance.
- Window: trade only in a declared window after the open, and be flat before the close.
- Risk: fixed risk per trade, an ATR stop and target, and a halt after two stop-outs.
What the paper run showed, and what it did not
The real build's paper window ended slightly negative under assumed margins and fees. It was short, ran with many entries blocked and used simulator fills, so it says nothing either way about an edge.
The engineering lessons are clearer. Warm-up gaps after reconnects and the circuit breaker blocked so many entries that the window mostly tested the blocking logic. No live order path existed, so the gap between paper and live was never measured.
How Super Algo Kit tests it before any money
Pass marks are declared first, and every threshold is logged as a trial before walk-forward checks. The backtest needs tick data with queue behaviour and a latency model from data to order, with the pack's costs per micro contract.
Baselines come first: raw velocity alone, then the score, then the score with confirmation. Sizing is tested at small equity, where it must refuse a trade rather than round up. A longer paper run then uses the real order path and reports the share of signals blocked.
Before you rely on it
Where it fails.
- At 1 second, costs dominate: a 1 ATR stop can be a few ticks, so fees and spread eat much of it.
- Latency from data to order can exceed the signal's horizon, and the micro may already hold the move.
- Prices this fast often bounce between bid and ask, reversing the signal.
- A small account may not afford one micro at the stop; sizing must refuse, never round up.
- Seven or more free parameters give many chances to fit noise.
FAQ
Futures momentum and order flow: questions.
Does this futures momentum strategy work?
Super Algo Kit makes no claim that it does. The real build was observed on paper only, and its short window ended slightly negative under assumed costs. The card grades it C and asks for tick data, a latency model and a longer paper run.
Why trade the micro contract instead of the full-size future?
The micro is a smaller contract on the same index, so a small account can trade small size. The signal is read on the full-size contract, which leads the micro slightly, so the micro's fill may already contain the move.
Can a 1-second strategy cover its costs?
That is the main question Super Algo Kit's tests must answer, and the card warns that costs dominate at this horizon. A stop of one ATR measured on 1-second bars can be a few ticks, so fees and spread take a large share of it. If sub-second execution becomes a requirement, the kit's low-latency build set applies, simulator first.
What data does an order-flow backtest need?
It needs 1-second bars or ticks with trades and quotes for the confirmation measure, and micro contract quotes to measure fills, spreads and lag. Contract specs such as tick value, multiplier and margin come dated from the market pack, with no assumptions.
Keep reading
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- Super Algo Kit owner-lesson card: one-second momentum with order-flow confirmation on micro index futures, generalised and anonymised from a real build
- Related literature cards in the kit: time-series momentum, order-book imbalance, volatility targeting, drawdown circuit breaker
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Super Algo Kit is development software. It is not investment advice, a signal service or a promise of performance. Trading involves substantial risk, including the loss of all capital you trade with.