Project specifications
- Market
- NAS100
- TF
- M15
- Platform
- MT5
- Client type
- Prop trader
- Delivery window
- 8 weeks
- Stack
- MQL5, index M1 data, daily statistics
- Strategy
- Intraday momentum + volume filter
- Modules
- Trading window + daily trade cap
- Testing
- Two-year test with out-of-sample split
Who this was for
Sam Quant Desk
- Role
- Prop index trader
- City
- Shiraz
- Project reference
- TBT-1404-13
The client's idea
Sam Quant Desk works NAS100 on M15; the opening brief was: Trade only the minutes with real momentum — leave the rest of the day alone.
Initial challenge
The earlier version filled directionless stretches with low-quality trades, and costs ate the result.
Solution
A trading window limited to the opening minutes, a relative-volume filter, and a daily trade cap to keep execution cost under control.
Why this design
The daily trade cap was built in from the start so execution cost stays predictable. It matches how NAS100 is actually traded and can be tested against the data already available.
Safeguards and risk control
Each module can be switched off on its own, and the exposure cap and daily stop are part of the expert rather than a later add-on.
Our next-step proposal
The proposed next step is a reporting module wired into the trade journal.
Portfolio
Measured results
These are the figures the test produced — not a promise about future performance.
- 760 Trades reviewed
- 0.5 pt Average execution slippage
- 10.1 % Max drawdown in test
- 16 Configurable inputs
Portfolio
How the delivery ran
Every project moves through these five phases, with the window for each agreed in the specification.
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Discovery and problem framing
CompletedLearning how the client actually works NAS100, separating decision rules from execution habits.
Day 1–4
-
Written specification
CompletedAgreeing the modular architecture and the parameters that must stay extensible.
Day 5–13
-
Implementation
CompletedBuilding the expert with independent signal, risk, execution and reporting modules.
Day 14–33
-
Testing and validation
CompletedTesting each module alone, then the combination on M15 data, reviewing every output.
Day 34–45
-
Handover and support
CompletedHandover with a module map and a walkthrough of the inputs.
Day 46–49