Index Futures
US Index Micro Futures
cme micro index futures during rth / overnight sessions.
The four-engine architecture re-tailored to CME micro index futures (S&P/Nasdaq/Dow/Russell); a live CME book sharpens sizing; the thinnest market (Russell) is sized most conservatively.
source · S3 §1, §5, §12Flat per-contract fees make short setups fee-sensitive; the regime classifier can saturate; the AI gate does not certify durable structure.
source · S3 §1, §5, §12Calibration criteria are gates, not outcomes; no realized-performance claim is made.
engines & regime · methodology
The four canonical engines re-tailored to CME micro index futures; each engine maps to a real index microstructure, arbitrated by the volatility-regime selector across RTH and overnight sessions.
Engine arbitration → confluence gate → cooldown → hybrid-AI gate → order-flow-scaled leverage → entry. A live CME depth-of-market book sharpens the order-flow sizing; the thinnest instrument (Russell / M2K) carries the most conservative sizing. Flat per-contract fees are modeled explicitly.
Calibration criteria are applied as gates, not outcomes — a configuration either clears the gate or it does not ship.
source · S3 §2-5, §9In live trading the leverage map runs on the real CME depth-of-market order flow, required as a precondition — the engine fail-closes rather than substitute a proxy. A bar-derived order-flow proxy is used only during calibration, never live.
source · S3 §12- ○pending
Whitepaper
- ○pending
Standing requirements
- ○pending
Live heatmap
Awaiting RX42 charter-compliant cycle
- ◐partial
Calibration matrix
Q7_Calibration_Matrix_S3.xlsx exists locally
- ◐partial
Change / defect / repair log