Open research. Searchable.
Every study here is free to read — with data basis, methodology and open limitations. Search your topic and see if there is already something on it.
General
1AI in Trading: Revolution or Buzzword?
A technical analysis of what machine learning actually delivers in trading – and where the promises don't hold up to reality.
Research
11Dealer Gamma in Practice: Why Most GEX Maps Hug the Spot — and How to Separate Structure from Day Weather
Gamma flip, call wall, put wall: nearly every freely available GEX map blends all expirations into one number — and ends up dominated by 0DTE gamma that physically decays during the session. A live decomposition on NQ (2026-06-10): how a call wall 'migrates' 1,300 points intraday without a single position changing, why intraday recomputation is repainting — and how a three-layer model (structure 7–45 DTE, near OI 0–5 DTE, 0DTE volume) nailed the day's high to the point.
The Turn-of-the-Month Effect: a mechanism edge through the validation gate
The first edge in the series that doesn't come from a price pattern but from a reason: forced participants (inflows, fund rebalancing) around the month boundary. Tested cross-asset (DAX/FTSE/NQ/Dow, 2018–2026, net of costs). The accumulated return concentration collapses under a clean significance test — but the trader frame reveals the actually usable part: EOM days are 4/4-significantly larger movement days (extra movement at open & close), more breakout-friendly on 3/4 markets. A case study on how the measurement frame decides between a find and a null.
Methodology: How to Develop a Trading Algorithm Honestly — a Reference Run
The process document for the whole series: the complete workflow from idea to MT5 algo in five phases, illustrated by the cross-asset 2nd-candle run. With the guiding principles that separate real from apparent edges — and why only one market survives in the end.
Phase 3 — The Validation Gate: Does the 2nd-Candle Edge Survive Out-of-Sample, Walk-Forward & Monte-Carlo?
The stress-test paper: out-of-sample split, rolling and anchored walk-forward, Monte-Carlo (shuffle + bootstrap) and deflated Sharpe on the final ruleset. Cross-asset over ~2,090 days per index, net of spread. Only one market passes.
Position Sizing & Kelly: How Much Risk on the Validated Edge?
Phase 4 of algo development — only on the validated core (NQ, DAX). Optimal-f (Kelly), fractional Kelly, vol-targeting and max-DD-stop, computed on out-of-sample parameters. Why full Kelly is suicide and quarter-Kelly the floor.
Phase 5 — The Finished Algorithm: MT5 Expert Advisor & Reference Backtest
The validated system as a deployable MQL5 algo — plus the real MT5 run against buy-and-hold and the perfect exit. NQ beat buy-and-hold ~2× (through end-2024), DAX is dead. And the most honest chapter: edge perishability — the backtest stayed green while the real account lost from 2025.
Exit Logic for the 2nd-Candle Breakout: Does Moving the Stop Pay Off?
Trailing, break-even, partials, multi-TP, exit at the Asia/ONR edge — what actually helps? Cross-asset study (DAX, FTSE, Nasdaq, Dow) over ~2,090 days per index, 37 exit variants tested net-of-spread against a reference rule.
Trend-Day Detection via the 7th Opening Candle
Does the 7th 15-minute candle (~90 min after open) deliver a tradeable trend signal? A cross-asset study (DAX, FTSE, Nasdaq, Dow) over ~2,090 days per index — directly comparable to the 2nd candle.
Trend-Day Detection via the 2nd Opening Candle
Does the 2nd 15-minute candle after cash open deliver a tradeable trend breakout? A cross-asset study (DAX, FTSE, Nasdaq, Dow) over ~2,090 days per index — tracking the move to the close instead of to the first opposing candle.
Reference Candle Break Across Indices — FTSE, Dow & Nasdaq
Does the DAX reference-candle behaviour transfer to other indices? The same methodology applied to FTSE 100, Dow Jones and Nasdaq 100 over ~2,090 trading days per index — the answer is consistent.
DAX Pre-Market Reference Candle — Breakout Behaviour After Cash Open
How far does the DAX break out of the 08:50–09:00 reference candle? A statistical study across 2,070 trading days (2018–2026): range, reversal, timing, offset and Asia/overnight sweeps — no strategy recommendation, just the data.
Strategy Development
1From Backtest to Live: Scientific Validation of Trading Strategies
How do you distinguish robust strategies from lucky flukes? A deep dive into the methods used by professional quants – from historical origins to modern application.
What we research next
Open questions we still want to investigate — some in progress, some just an idea. Missing a topic? Suggest it.
- Planned
Mechanism edges (forced participants): following the turn-of-the-month template, run options gamma/OPEX, the futures roll and the leveraged-ETF closing auction through the same validation gate.
- In progress
Night/Asia session: a dedicated reference-candle report — applying the DAX methodology to 22:00–08:00.
- Planned
News-event days (FOMC, ECB, NFP): how does the opening-candle breakout behaviour change?
- Planned
Volume & liquidity filter: does it lift the ≥1R hit rate, or just cost trades?
- Idea
Optimal take-profit / trailing — derived directly from the measured move distributions.
- Idea
Cross-asset check: does the 2nd/7th-candle trend pattern hold for crypto and single stocks too?
- Idea
Pre-market range size as a clean-vs-chop filter — at finer resolution.
Studies are free. The tools behind them by subscription.
The research studies stay open and free — including the findings that did not work. The subscription funds the tools they are built with: the Setup-Search engine, MarketPulse and indicator deep dives, running on the same data foundation as the studies.