Продолжение сильного движения на фьючерсах и акциях MOEX
Предварительный разбор публикации · публикация 2026-06-29
Паспорт проверки и источников
None of top20 passed reported stability review despite many profitable fitted variants.
Время изменения файла — не время последней рыночной котировки. Статус публикации не подтверждает работу бота; research, paper и live требуют отдельных результатов.
- gas_research/output/strong_move_continuation_scan.json — 2026-06-29T17:46:09+00:00
- gas_research/output/strong_move_continuation_review.json — 2026-06-30T06:49:51+00:00
- gas_research/data/moex_shares_intraday/summary.json — 2026-06-29T17:18:48+00:00
A broad scan tested the idea: after a strong intraday move, join the same direction and take 0.5-1.0%. Futures and liquid TQBR shares were included.
- Universe13 futures contracts + 28 liquid shares with TQBR M10 data
- Scan1850 variants had positive test PnL after filters
- Stable candidates0 of top-20 rows passed the robust train/test/all stability filter
- DecisionDo not promote to paper/live; keep as research-only watchlist until a stable forward monitor exists
The scanner checks impulses over 6, 12, 24 and 48 bars. After a move of 2%, 3% or 4%, it enters in the same direction at the next bar open. Exits are 0.5% or 1.0% take-profit, 0.5% or 1.0% stop, or fixed max hold.
The headline test-only results are dangerous: many have excellent test PF but negative train PnL. Those are not deployable.
A stricter robust review was added after the initial scan. It requires positive train/test/all PnL, enough trades, stable PF, and acceptable PnL-to-drawdown. Result: 0 of the top-20 rows passed.
This is rejected for deployment now. It can stay as a research-only watchlist, but it should not be mixed into Arena or real trading until a new scan produces robust candidates and a forward paper monitor confirms them.
Charts
