@quantbeckman The real contribution is not “Sharpe 31”, but the demonstration that:
Market making is an impulse-controlled, inventory-dominated, regime-fragile problem — and RL only works when heavily constrained.
@investingidiocy Who knows what Sharpe is even being referenced? Trade level Sharpe on an intraday? Days traded for a selective regime aware strategy that only trades x% of the time, annualized daily on days traded, something else? Who knows. And if they are sharing it it’s crap.
This system is not profitable because:
•it uses +7 points
•it waits between 8–15 CT
•it enters after yesterday was up
Those things are incidental.
It’s profitable because:
EMD is a thin, momentum-responsive, low-noise index future
that:
•tends to trend on days following strong closes
•has lower institutional liquidity defense at intraday breakout levels
•has smoother trend continuation because of its participant base
•is highly sensitive to broad index flows without the density of ES/NQ
It’s structural.
This exact logic on ES/NQ/YM?
Fails or goes flat.
But EMD — the “micro-cap Russell cousin” with thinner books — has consistent post-trend-day continuation behavior.
Gold is about to break above $4,150 and silver is about to break above $53. Get ready for a silver short squeeze for the ages. But the main event will be the global rug pull on the U.S. dollar and Treasury market. This is a coming Cat-5 financial hurricane hiding in plain sight.
Suspect you guys will be ... like zero surprised by this ... if you don't already know.
Half of the total market traded volume (that which occurs in the "dark" - aka the dark pools) ... bought the dip.