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Complete 3-Bot Multi-Asset Quant Suite (MES + MCL + SOL)
Complete 3-Bot Multi-Asset Quant Suite (MES + MCL + SOL)
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Multi-Asset Systematic Futures Trio: S&P 500, Crude Oil & Solana
Complete, uncompiled, broker-agnostic Python source code for three institutional algorithmic strategies spanning Equity Indices (MES), Energy Commodities (MCL), and Digital Assets (SOL).
Disinflationary trend following & regime momentum on Micro S&P 500.
Supply tightness, breakout trend & risk premia on Micro WTI Crude Oil.
Systematic long breakout & trailing-stop momentum on Solana futures.
Systematic Portfolio Strategy Overview
Building resilient systematic trading infrastructure requires diversification not just across parameters, but across non-correlated asset classes. This multi-asset package provides production-grade source code for three institutional trading models:
-
Micro E-Mini S&P 500 (
bot_mes_fed_pivot_momentum): Employs multi-moving average crossovers, VWAP levels, Donchian channels, and realized-volatility filters to capture macro equity expansions. -
Micro WTI Crude Oil (
bot_mcl_geo_backwardation): Exploits term-structure supply shocks and breakout momentum with tiered R-multiple target exits and ATR-based inverse volatility sizing. -
Solana Futures (
bar_sol_long_20260924_100807_gen2): Engineered for high-beta digital asset markets, utilizing EMA trend confirmation, RSI thresholds, spread filters, and one-way trailing stops.
Strategy Specifications & Parameters
| Parameter | MES Fed Pivot | MCL Geo-Backwardation | SOL Long Gen2 |
|---|---|---|---|
| Exchange & Symbol | CME · MESM6
|
NYMEX · MCLN6
|
CME · SOL
|
| Direction / Bias | LONG Only | LONG Only | LONG Only |
| Max Sizing Cap | 3 Contracts | 4 Contracts | 1 Contract |
| Data Poll Cadence | 60 seconds | 60 seconds | 60 seconds |
| Key Indicators | RSI, MACD, EMA/SMA, Donchian, VWAP, Vol Regime | RSI, MACD, EMA/SMA, Donchian, ATR Volatility | RSI, EMA, ATR Volatility |
| Position Sizing Logic | % Capital + Margin cap + VIX scale | % Capital + Inverse ATR + VIX scale | Dedicated sizing routine |
| Profit / Exit Engine | Trailing stop, Time exit, Thesis flip | Scaled R-targets, Trailing stop, Thesis flip | One-way Ratcheting Trailing Stop |
| Annualized Return | +3.92% (est.) | +11.28% (est.) | +34.59% (Backtested) |
| Sharpe Ratio | 1.527 (est.) | 1.871 (est.) | 1.000 |
Quant Desk Risk & Execution Plumbing
- 100% Broker & Platform Agnostic: Proprietary data and order layers have been cleanly abstracted behind standard Python placeholders. Connect seamlessly to Interactive Brokers, Rithmic, Tradovate, or paper-trading simulated fill engines.
- Built-In Circuit Breakers: Automated consecutive-loss kill switches (5 losses), daily/weekly drawdown circuit breakers, and bid/ask spread filters.
- Feed Quality Protection: Stale data guards automatically suppress orders if market data feeds disconnect or lag.
- Maintenance Window Defense: Exchange-maintenance-window block prevents executing during CME/NYMEX daily maintenance pauses.
-
Standard Library Foundation: Requires only standard Python 3.10+ (
asyncio,logging,typing) with zero locked libraries.
What You Receive in This Package
-
bot_mes_fed_pivot_momentum_portable.py(Clean, commented MES strategy file) -
bot_mcl_geo_backwardation_portable.py(Clean, commented MCL strategy file) -
bar_sol_long_20260924_100807_gen2_portable.py(Clean, commented SOL strategy file) - Asynchronous mock order-fill engine for immediate paper trading
- Structured JSON event telemetry module for real-time order auditing & analytics
Frequently Asked Questions
Q: Does this require Rithmic or Redis?
A: No. All proprietary Redis and vendor-locked Rithmic infrastructure has been decoupled and replaced with universal Python placeholder interfaces.
Q: Can I run this with paper trading first?
A: Yes. The included mock execution handlers allow you to stream live bars and simulate fills with zero financial risk.
Q: Can these bots be calibrated for micro or mini contracts?
A: Yes. All instrument symbols, point values, tick sizes, and risk allocation percentages are exposed in a clear calibration block at the top of each script.
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