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Keystone Strategy

Five-model ML ensemble. 44 tick-level features. AM momentum + PM mean reversion on ES futures, RTH only.

5 ML Models
18+ Risk Gates
44 Tick Features
v035.320 Production
Strategy

Dual-session. Five models.

AM session (9:30-11:00): 5-model ML ensemble with quality gate requiring 100% agreement. PM session (13:00-16:00): Bollinger band mean reversion, independent from ML. Lunch blocked. Every component ablation-tested.

01

AM: ML Ensemble

5 models vote on every signal: F1 LSTM (1 vote), F2 LightGBM (2 votes), ONNX 1-min (1 vote), F3_UPSIDE (1 vote), F3_BARRIER (1 vote + override). Quality gate blocks unless 100% agreement.

02

PM: Bollinger Fade

200-tick rolling window, 2.5 sigma bands, 10-tick stop. Fades to mean on band touches. Completely independent from ML models. Statistically validated across 33+ RTH sessions.

03

Gate Stack

18+ sequential filters reject 80%+ of signals. Regime filter, anti-chop, session budgets, BE_PROTECT at 2 ticks, MFE tiered trailing stops. Gates prevent trading when the model has no edge.

Ablation Results

Measured, not marketed.

Every strategic decision is validated through ablation studies on historical data. Models that don't add independent edge get removed.

+$17,255 35-Day P&L
67% F2 Accuracy
5 Ensemble Models
$493 Avg / Day

v035.320 backtest, 35 RTH trading days, deterministic replay. Commission $3.98/RT. Fixed 1-lot sizing. Past results do not guarantee future performance.

Research

Read the full technical paper.

PhD-quality writeup covering feature engineering, model architectures, ablation studies, and statistical results.

Technical Paper
5-Model Ensemble Trading on ES Futures
44 tick features, dual-session architecture (AM ML + PM Bollinger), 5-model ensemble with quality gate, systematic ablation studies, research scorecard (GARCH/HMM/DTW tested and killed), and full statistical results.