Latest from AureonQuant
Strategy releases, platform updates, and performance milestones.
Introducing P120 — Regime-aware Elite strategy with improved drawdown control
P120 is our newest Elite-tier strategy and replaces P115 as the primary live signal on all Elite accounts, effective immediately. It builds on the research behind P115, incorporating three refinements: a more precise overnight-risk measure for session volatility, a regime filter that skips sessions when recent price action shows sustained directional momentum, and a wider session-selection threshold that recovers additional trade days in liquid conditions.
In backtesting, P120 produces a portfolio Sortino ratio of 13.01 versus P115's 12.57 — a 3.5% improvement in risk-adjusted return. The regime filter has the largest impact: it cuts out-of-sample peak drawdown from 16.5% to 8.7% while modestly increasing OOS trade count. The filter is highly selective, activating only during genuine momentum-down regimes and leaving normal mean-reversion sessions unaffected.
P120 represents the most complete implementation of our mean-reversion edge on MNQ and MES to date.
Introducing P115 — Multi-factor session filter for Elite-tier MNQ
P115 is our newest Elite-tier strategy. It extends P114 with an additional session-level filter that considers both volatility and liquidity conditions before allowing a session to trade. Sessions that pass on either dimension are included, recovering trade days that a pure volatility filter would exclude.
In backtesting, P115 significantly increases trade frequency compared to P114 while preserving comparable Sortino and win-rate characteristics — a better balance between selectivity and opportunity capture.
P115 is now the primary live signal on all Elite-tier accounts, replacing P114 effective immediately.
Introducing P114 — Elite-tier mean-reversion on MNQ
P114 is our latest intraday mean-reversion strategy, built on MNQ micro-futures and now available exclusively to Elite-tier subscribers. It targets a broader set of trade opportunities per session than its predecessor, which translates to more frequent signals and a larger cumulative edge over time.
In live out-of-sample trading since September 2025, P114 has delivered a 68% win rate across 100 sessions, with a Sortino ratio of 20.0, Sharpe of 8.6, and a profit factor of 5.15. Average gain per active session sits near 55 points on MNQ. Peak intraday drawdown on margin has remained below 15% throughout the live period.
Because of its elevated trade frequency and tighter execution requirements, P114 is best suited for accounts with access to full contract sizing and concierge-level support — both of which are hallmarks of the Elite plan.
P112 now live — Active risk-controlled mean-reversion on MNQ
P112 is our newest core strategy and is available to Pro and Elite subscribers. It trades MNQ micro-futures using an intraday mean-reversion approach layered with active risk controls that tighten exposure during adverse market conditions.
Since going live in September 2025, P112 has produced a 71.8% win rate over 71 sessions, a Sortino ratio of 30.1, Sharpe of 11.4, and a profit factor of 7.96. The average session gain is approximately 57 points on MNQ. Maximum drawdown on margin during the live period has stayed under 6%, reflecting how effectively the embedded risk controls contain losing streaks.
P112 joins the core strategy lineup alongside P96 and P98, and is included in the standard rotation for all Pro and Elite accounts.