FONFLO
Systematic ES futures research.
Quantitative research lab — autonomous strategy discovery.
Research process.
Every strategy starts as a thesis grounded in market microstructure. Why should this pattern create edge? If we can't explain why, we don't test it.
Six months of ES data minimum. Next-bar entries, intrabar stops, slippage, commissions. Walk-forward validation — train on old data, test on new. No curve fitting.
Every strategy is tested against random entries. If random timing with the same stop and target produces similar results, there's no edge — the strategy is noise.
Markets have moods — low volatility, normal, high. A strategy that works in calm markets might die in volatile ones. We test across all three and only trade where it works.
A = strong edge, validated out-of-sample. B = real edge, needs more data. C = marginal, observe only. F = no edge, killed. Most strategies get killed. That's the point.
Survivors run in paper trading before going live. If performance degrades more than 40% from backtest, the strategy gets pulled.
ES futures. That's it.
S&P 500 E-mini futures. One instrument, full focus. The most liquid futures contract in the world. We don't chase setups across fifty tickers.
Our research is autonomous.
An autonomous research system generates and tests new strategy hypotheses continuously. It rotates through ten categories of market microstructure patterns — delta divergence, absorption, failed breakouts, volume exhaustion — and backtests each one against six months of data with the same standards we'd apply to a live strategy.
Every result is logged. Wins and kills. When the research phase is complete, the full lab scoreboard will be published. You'll see every strategy we tested, every one we killed, and exactly why the survivors made the cut.
Research in progress.
2026