Strategy 10
Statistical arbitrage algorithm for /MES micro S&P 500 futures. Uses regression-based mean-reversion analysis to identify and trade statistically significant price deviations — delivering the portfolio's highest win rate with steady, consistent returns.
Signal Framework
Strategy 10 uses regression-based mean-reversion analysis to identify and trade statistically significant price deviations in /MES micro S&P 500 futures.
Enters when current price deviates beyond a defined standard deviation threshold from the regression-modeled mean. A trend filter suppresses entries during strong directional momentum.
Profit target is set at the regression mean. Stop is placed at an extended deviation level. All positions are closed by end of session — no overnight exposure.
Fixed stop per trade, daily loss limit, flat-at-close enforcement. Position sizing is fixed — one /MES contract per active signal. Trend filter reduces size during extended deviation periods.
How Strategy 10 Works
Strategy 10 is a statistical arbitrage algorithm operating on /MES micro S&P 500 futures. Unlike momentum or trend-following approaches, statistical arbitrage exploits the mathematical tendency of prices to revert to their mean. The algorithm builds a continuous regression model of expected price levels based on rolling historical data, then identifies when current price has deviated beyond 1.5 standard deviations from the expected mean.
When a statistically significant deviation is detected, the algorithm enters a reversion trade with a predefined profit target at the mean and a stop at an extended deviation level. This tight risk-reward structure is supported by a trend-filter override — during strong directional trends, trade size is reduced to protect against extended mean deviation periods.
What You Need to Run Strategy 10
Strategy 10 — Frequently Asked Questions
Statistical arbitrage identifies when a market has deviated from its statistically expected mean price relationship and trades the reversion back to that mean. In Strategy 10, the algorithm models the expected price behavior of /MES using historical regression analysis and enters trades when current prices deviate beyond a defined standard deviation threshold.
Strategy 10 is calibrated for /MES micro contracts to allow tight position sizing relative to the statistical edge. The micro contract's smaller tick value enables the algorithm to enter and exit at the precise price levels that matter for stat arb approaches. Traders can run multiple /MES contracts to scale exposure proportionally as their account grows.
Statistical arbitrage strategies perform best during ranging or oscillating market conditions. During strong directional trends, mean-reversion approaches can face headwinds. Strategy 10 includes a trend filter — if momentum exceeds a set threshold, the strategy reduces size or pauses until conditions normalize.
Strategy 10 — Coming Soon
This strategy is not yet available for purchase. Subscribe to the All-In-One Bundle to receive access at launch.
- Strategy 10 NinjaTrader algorithm file
- PDF setup guide and video walkthrough
- Full backtest data and performance reports
- Email support from the FalcoAlgo team
- All future updates to Strategy 10
- Access to the FalcoAlgo trader community
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