MES 5-minute — Sweet-Spot Study
Operator's discretionary stack (fractal + MA ribbon + VWMA55 + 九轉序列 TD + VRVP), decoded & backtested · MES · round-trip cost 1 pt · 27931 bars · 2026-01-09 05:10 → 2026-06-08 22:25 (~0.41y) · generated 2026-06-08
Read this first
The fractal Pine script is entry-only — every return here depends on exits we added. "Return" = a single-instrument timing strategy on MES, one position at a time, full equity per trade, net of 1-pt round-trip cost, flattened at session end — not leveraged-futures P&L. The window is ~5 months (one UP regime): high overfitting risk. This headline is the LONG side (the operator's actual signal); the Long vs short vs combined section adds the derived short mirror and the regime caveat. The walk-forward row, not the leaderboard top, is the honest read.
Bottom line
Sweet spot: fractal+TD7+RTH · ATR1.5×RR3
— 26 trades, +2.4% return, Ret/DD 3.28, 50% win,
+160 pts ≈ $+799/contract.
- vs buy & hold MES (+6.2%, Ret/DD 0.65): the sweet spot does NOT beat buy-and-hold on raw return, with lower drawdown (+0.7% vs +9.7%).
- vs bare fractal (+9.3%, Ret/DD 3.01): confluence
improves the risk-adjusted result.
The winning edge over the bare triangle comes from the TD exhaustion-timing filter (plus the
ATR1.5×RR3exit) — the other confluence filters did not add risk-adjusted value on this single up-trending window. - Walk-forward OOS on the held-out 40%: the in-sample winner returned -0.2% (Ret/DD -0.23, 3 trades) — the edge did NOT hold up; this is in-sample fit, not a tradeable system.
Honest caveat: 5 months is one broad regime. Even a config that survives this walk-forward is one bear market away from a different verdict. Treat the sweet spot as a hypothesis to forward-test, not a deployable edge.
What the chart screenshots show
Reading ~7 of the operator's 26 MES 5-minute screenshots, the indicator stack is consistent: green/red fractal triangles at swing lows/highs, the multi-line MA ribbon (white SMA5 hugging price, then the slower lines fanning out), a heavier white VWMA55 line, the 九轉序列 TD count numbers (small 7s and 9s printed at exhaustion points), and the VRVP volume profile histogram down the left edge. The recurring lesson:
- Winning fractal long (e.g. the steady up-leg screenshots): a green triangle prints at a swing low while price is at or reclaiming the VWMA55 and the ribbon is rising / stacked bullish (short MAs above long MAs). Price then rides up the ribbon. The TD count often shows a recent 7/9 buy-setup just before — downside exhaustion into the entry.
- Failed fractal long (the choppy-top & down-leg screenshots): a green triangle prints but price is below a falling ribbon and below the VWMA55 — a counter-trend "catch the falling knife" that the ribbon context vetoes. Several reds and greens cluster with no follow-through.
- VRVP / high-volume nodes: price stalls and reverses at the fat part of the left-edge histogram (high-volume nodes act as S/R); thin nodes get traversed fast. This is discretionary — we approximate it with a rolling volume-by-price node-proximity flag and wire it as an optional add-on on the anchor configs (its marginal effect is measured, but it is the lowest-priority signal).
These observations drove the confluence rules tested below: fractal + price>VWMA55 + ribbon-rising/stacked + recent-TD-buy is the "good entry" the screenshots depict; bare fractal is the "every triangle" baseline it must beat.
Backtest results — ranked by Ret/DD (risk-adjusted)
27931 bars · 374 config combos · 193 took ≥30 trades (EXCLUDED by the selectivity cap — too busy to be a rare high-conviction setup). Buy & hold here = +6.2% (Ret/DD 0.65, Sharpe 0.96, MaxDD +9.7%).
⚠ Selectivity cap — read before trusting any number
By the operator's deliberate rule, only configs that take fewer than 30 trades in this ~5-month window are eligible to be crowned. The goal is to isolate the rare, high-conviction A+ setups, not the busy high-frequency configs. This is a choice to trade statistical robustness for selectivity: under 30 trades means wide confidence intervals and higher fluke risk. The featured config below takes 26 trades — its win rate, profit factor and Ret/DD are a small-sample read, NOT a statistically proven edge. Treat every crowned config as a hypothesis to forward-test.
Risk-adjusted best: fractal+TD7+RTH entry · ATR1.5×RR3 exit
(26 trades, +160 pts ≈ $+799/contract).
Top configs (n<30 (selective), ranked by Ret/DD)
| Entry | Exit | Trades | Win | PF | Return | Ret/DD | Sharpe | MaxDD | Expo |
|---|---|---|---|---|---|---|---|---|---|
| fractal+TD7+RTH | ATR1.5×RR3 | 26 | 50% | 2.10 | +2.4% | 3.28 | 2.89 | +0.7% | 1% |
| fractal+TD7+RTH | ATR2×RR3 | 26 | 54% | 2.17 | +3.1% | 3.26 | 2.88 | +1.0% | 2% |
| fractal+>vwma55+stacked+TD7+RTH | vwmaCross | 7 | 43% | 3.04 | +1.2% | 2.43 | 1.96 | +0.5% | 0% |
| fractal+>vwma55+stacked+TD7+RTH | ATR1×RR1 | 7 | 71% | 2.51 | +0.3% | 2.37 | 1.70 | +0.1% | 0% |
| fractal+>vwma55+stacked+TD7+RTH | time48 | 7 | 43% | 3.65 | +1.5% | 2.26 | 2.38 | +0.7% | 1% |
| fractal+>vwma55+stacked+TD7+RTH | ATR2×RR3 | 7 | 43% | 2.68 | +0.9% | 2.25 | 2.00 | +0.4% | 1% |
| fractal+>vwma55+stacked+TD7+RTH | ATR1.5×RR3 | 7 | 43% | 2.61 | +0.7% | 2.22 | 1.88 | +0.3% | 0% |
| fractal+TD7+RTH | ATR1×RR3 | 26 | 46% | 1.84 | +1.4% | 2.18 | 2.14 | +0.7% | 1% |
| fractal+TD7+RTH | time24 | 25 | 68% | 1.82 | +2.2% | 2.04 | 1.96 | +1.1% | 2% |
| fractal+>vwma55+stacked+RTH | ATR2×RR3 | 22 | 41% | 1.73 | +1.6% | 1.85 | 1.78 | +0.9% | 2% |
| fractal+>vwma55+stacked+TD7+RTH | ATR1×RR3 | 7 | 43% | 2.83 | +0.6% | 1.85 | 1.82 | +0.3% | 0% |
| fractal+>vwma55+stacked+TD7+RTH | time24 | 7 | 71% | 3.49 | +1.3% | 1.84 | 2.17 | +0.7% | 1% |
| fractal+TD7+RTH | ATR1.5×RR2 | 26 | 50% | 1.61 | +1.3% | 1.81 | 1.77 | +0.7% | 1% |
| fractal+>vwma55+stacked+RTH | time48 | 22 | 41% | 2.16 | +2.4% | 1.80 | 2.10 | +1.3% | 3% |
| fractal+stacked+RTH | time24 | 29 | 55% | 1.96 | +2.2% | 1.78 | 2.07 | +1.2% | 2% |
| fractal+TD7+RTH | ATR1×RR2 | 26 | 50% | 1.73 | +1.2% | 1.74 | 1.97 | +0.7% | 1% |
| fractal+>vwma55+stacked+RTH | time24 | 23 | 48% | 1.83 | +1.7% | 1.72 | 1.83 | +1.0% | 2% |
| fractal+TD7+RTH | ATR2×RR2 | 26 | 54% | 1.62 | +1.6% | 1.71 | 1.85 | +1.0% | 2% |
| fractal+>vwma55+ribbon↑+TD7+RTH+HVN | vwmaCross | 2 | 50% | 3.05 | +0.2% | 1.69 | 1.32 | +0.1% | 0% |
| fractal+TD7+RTH | time48 | 24 | 54% | 1.74 | +2.4% | 1.68 | 1.78 | +1.4% | 3% |
| fractal+stacked+RTH | ATR2×RR3 | 27 | 48% | 1.67 | +1.7% | 1.67 | 1.61 | +1.0% | 3% |
| fractal+stacked+RTH | time48 | 27 | 44% | 1.93 | +2.4% | 1.59 | 1.90 | +1.5% | 4% |
| fractal+TD7+RTH | ATR1.5×RR1.5 | 26 | 50% | 1.43 | +0.9% | 1.54 | 1.34 | +0.6% | 1% |
| fractal+>vwma55+stacked+TD7+RTH | ATR1.5×RR2 | 7 | 43% | 2.00 | +0.5% | 1.38 | 1.38 | +0.3% | 0% |
| fractal+>vwma55+stacked+TD7+RTH | ATR2×RR2 | 7 | 43% | 2.00 | +0.5% | 1.34 | 1.46 | +0.4% | 0% |
| fractal (bare fractal, best exit) | time48 | 200 | 55% | 1.39 | +9.3% | 3.01 | 2.06 | +3.1% | 32% |
| Buy & hold MES | — | — | — | — | +6.2% | 0.65 | 0.96 | +9.7% | 100% |
Highlighted = the featured sweet spot, chosen as the best Ret/DD among configs that take fewer than 30 trades (the operator's selectivity cap to surface rare high-conviction setups). Each row shows its trade count so the thinness is visible: a high Ret/DD on a handful of trades is a small-sample read, not a proven edge. The "bare fractal" row is the baseline: confluence filters must beat IT (and buy & hold) to be worth the added complexity.
Walk-forward — is the edge real, or in-sample fit?
Pick the risk-adjusted-best config (by Ret/DD, under the same <30-trade selectivity cap) on the first 60% of bars (in-sample). Then run that exact config, untouched, on the last 40% (out-of-sample). If OOS collapses, the leaderboard was fit. Note: a sub-30-trade config split 60/40 leaves very few OOS trades, so the OOS row here is itself a tiny sample — read it as directional, not conclusive.
| Window | Config | Trades | Win | PF | Return | Ret/DD | Sharpe | MaxDD |
|---|---|---|---|---|---|---|---|---|
| In-sample (60%) | fractal+>vwma55+stacked+TD7+RTH · time48 | 4 | 50% | 13.58 | +1.7% | 4.44 | 3.70 | +0.4% |
| → same config, OOS (40%) | fractal+>vwma55+stacked+TD7+RTH · time48 | 3 | 33% | 0.66 | -0.2% | -0.23 | -0.91 | +0.7% |
| best config fit ON the OOS window | fractal+>vwma55+ribbon↑+TD7+RTH+HVN · ATR2×RR2 | 1 | 100% | ∞ | +0.2% | 17.63 | 6.44 | +0.0% |
If the OOS "same config" row is far worse than in-sample — and worse than the config you'd have picked WITH hindsight on the OOS window — the edge is mostly fit.
Long vs short vs combined
Regime caveat — read before the numbers
The operator trades SHORT as well as long, so we mirrored the green-triangle
BUY signal into a faithful derived SELL signal (fractalDownTrend — not in the
operator's Pine, which only plots the long side) and re-ran the whole sweep three ways: long-only,
short-only, and combined. But the 5-month sample is a predominantly UP regime. That is the
single worst environment in which to judge a short strategy — shorts spend the whole window fighting
an upward drift. So whatever the short numbers say here, they are not a fair test of the short
signal. We report them honestly and refuse to either bury a bad short result or cherry-pick a lucky
short winner.
| Strategy | Trades | Win | PF | Return | Ret/DD | Sharpe | MaxDD | Expo | Note |
|---|---|---|---|---|---|---|---|---|---|
| Long-only — fractal+TD7+RTH · ATR1.5×RR3 | 26 | 50% | 2.10 | +2.4% | 3.28 | 2.89 | +0.7% | 1% | the prior study's winner |
Short-only — fractal↓+| 2 | 50% | 5.33 | +0.7% | 2.65 | 2.55 | +0.3% | 0% | DERIVED mirror · evaluated in an UP regime | |
| Combined L/S — L/S+>vwma55+stacked+TD7+RTH · time24 | 12 | 75% | 4.79 | +2.2% | 3.07 | 2.80 | +0.7% | 1% | one position at a time, either direction |
| Buy & hold MES | — | — | — | +6.2% | 0.65 | 0.96 | +9.7% | 100% | benchmark |
On this data the SHORT side subtracts: the best short-only config looks marginally positive in-sample but does not survive validation, and the combined long+short book does NOT beat long-only on a risk-adjusted, out-of-sample basis. Out-of-sample (the honest read), the frozen short config returned -0.2% (Ret/DD -0.59, 2 trades) — it did not hold up. This is exactly what theory predicts: the 5-month sample (2026-01→06) is a predominantly UP regime — a broad grind higher. Shorting a rising tape is structurally a losing proposition; every short is fighting the drift. We are therefore evaluating shorts in the worst possible environment for them, so a poor short result here is uninformative about whether the short mirror is a good signal — it only confirms you should not short an uptrend.
Long/short verdict
The TD-timed LONG remains the best risk-adjusted config. Adding shorts drags on this window — so the recommendation is unchanged: trade the long, hold the short as a hypothesis. A fair short evaluation NEEDS a sustained down/chop regime; until the tape turns, the short mirror is a hypothesis to forward-test, not a live edge. The short signal is mechanically the exact reflection of the long one, so if the long signal is real, the short one is a credible candidate the moment the regime cooperates — but this window cannot prove it.
Walk-forward — short & combined (out-of-sample, last 40%)
| Mode · config | Window | Trades | Return | Ret/DD | Sharpe | MaxDD |
|---|---|---|---|---|---|---|
| Combined L/S · L/S+>vwma55+stacked+TD7+RTH · time24 | IS 60% | 8 | +2.3% | 5.19 | 4.04 | +0.4% |
| → same config OOS | OOS 40% | 4 | -0.1% | -0.18 | -0.79 | +0.7% |
Short-only · fractal↓+| IS 60% | 2 | +0.7% | 2.65 | 3.29 | +0.3% | |
| → same config OOS | OOS 40% | 2 | -0.2% | -0.59 | -2.39 | +0.3% |
A short/combined config that survives OOS here still only survived an UP regime — the drawdown that would matter (a sustained selloff) is not in this sample.
What the signals + knobs do
| Signal / knob | What it encodes |
|---|---|
| fractal (long base) | Pine v4 fractalUpTrend: bullish bottom-reversal triangle — down-fractal shape + 3-bar bullish thrust + body expansion + new high + prior EMA(5)<EMA(11). The operator's actual BUY signal. |
| fractal↓ (short base) | DERIVED mirror fractalDownTrend — axis-flipped reflection: up-fractal HIGH shape + 3-bar bearish thrust + body expansion + new low + prior EMA(5)>EMA(11). NOT in the operator's Pine (which only plots the long side); built so the study can test the short direction. |
| >vwma55 / <vwma55 | long: close ≥ rolling 55-bar VWMA; short: close ≤ VWMA. Price holding above/below the dynamic S/R. |
| ribbon↑ / ribbon↓ | long: close > SMA44 & rising; short: close < SMA44 & falling. |
| stacked / stacked↓ | long: SMA22 > SMA44 > SMA120 (stacked bull); short: SMA22 < SMA44 < SMA120 (stacked bear). |
| TD7 / TD7↓ | long: DeMark BUY-setup ≥7 within 6 bars (downside exhaustion); short: SELL-setup ≥7 within 6 bars (upside exhaustion). |
| RTH | time-of-day filter: only the US cash session (09:30-16:00 ET, timezone-aware). Direction-agnostic. |
| exit ATR k×RR | stop = entry − k·ATR(14); target = entry + RR·(entry−stop). k∈{1,1.5,2}, RR∈{1,1.5,2,3}. |
| exit time | flat after N 5m bars (6/12/24/48 ≈ 30min/1h/2h/4h). |
| exit vwmaCross | flat when close falls back below VWMA55. |