Hypothetical backtest at a glance
What did Iris do in its published backtest?
In a hypothetical backtest from Sep 15, 2025 to Aug 31, 2026, Iris took 162 trades on MES (1–9 MES contracts, sized to a fixed dollar risk). Net of commission and one tick of slippage per contract, the hypothetical net profit was $4,999 and the maximum drawdown was −$848, with a profit factor of 1.65 and a win rate of 45.1%. Based on 11 months of backtested data (Sep 2025 to Aug 2026), not a full 12.
| Backtest window | Sep 15, 2025 – Aug 31, 2026 |
| Market | MES · S&P breakout |
| Size tested | 1–9 MES contracts, sized to a fixed dollar risk |
| Trades | 162 |
| Hypothetical net profit | $4,999 |
| Max drawdown | −$848 |
| Profit factor | 1.65 |
| Win rate | 45.1% |
| Average trade | $30.86 |
| Largest win / loss | $390.50 / −$187.60 |
↓ The trade data behind these results: iris-trades.csv — every one of the 162 trades, losing trades included. Equity curve and monthly results: backtests. All 1,113 trades across 7 runs: trade data.
What it actually does
A range engine, pointed at the S&P open.
Iris measures the first fifteen minutes of the US session on the S&P micro contract. It does not chase the first break. It waits for price to break the range, pull back into it, and break again with a fresh push, and only takes the trade when the trend filter agrees. One bias per day: the side the first close outside the range picked. The market draws the line; the engine trades what happens to it.
Every decision is made on a closed one-minute bar and the stop rests at the broker from the moment the position opens. The stop starts on a volatility trend line and, once a bar closes through that line against the trade, moves to one tick beyond that bar. Target is a fixed multiple of the risk taken.
Running it alongside Aperture is deliberate but it comes with a caveat we would rather state than have you find out: the S&P and the Nasdaq are correlated markets. Two opening-range engines on two correlated indices are not two independent bets, and on a day when the open fails in both, they will tend to fail together. Size the pair accordingly — that is exactly the trap this whole portfolio approach exists to avoid.
Like Aperture it must be running before 09:30 ET, and it needs Tick Replay on in the data series. It trades from 09:45 to 11:00 ET and is flat by the session close, every day.
The honest two-sided ledger
Where it wins. Where it hurts.
Thrives in
- Index days with direction from the bell. A session that establishes a direction early and holds it is what the engine is built for.
- Volatility at the open. The opening range has to be wide enough to be worth breaking.
- Trend days. Once the S&P commits, the break tends to extend rather than round-trip.
Faces duress in
- The second break that fails. The pullback and re-break can trigger and still round-trip. When it does, the loss is the full initial stop. This is its #1 weakness and it clusters on choppy opens.
- Narrow opens. A compressed first fifteen minutes gives a break with no room.
- Correlated failure with Aperture. When index opens fail broadly, both engines are on the wrong side of the same day. Worth planning for rather than discovering.
The weakness is the point — and here it is a shared one. Iris and Aperture are the closest pair in the book. The rest of the portfolio is chosen to make money in conditions where opening-range engines struggle.
The regime truth
Low strike rate, big winners — and correlated with its sibling.
Iris has the same shape as Aperture: it loses small on the days the break fails, and the account is carried by the days that break and run. Most trades are not winners, by design.
The additional honesty this page owes you is about correlation. We publish a correlation view of the whole book precisely so you can see which engines move together, and these two do more than most. That is a sizing decision, not a reason to drop one of them.
The flip side of that honesty: if you run Iris and Aperture together, treat them as one position for risk purposes on any day the whole index complex is chopping.
Risk & bail-out
Sized to the dollars you name, not to a contract count.
A resting protective stop from the moment the position opens. Position size is computed from the distance to that stop and your target risk per trade, then trimmed until the real risk sits under your hard cap. A wide stop means fewer contracts, never more risk.
Nothing is held overnight: any open position is closed at the session close.
You control the target risk per trade, the hard cap, the maximum contracts and the reward-to-risk preset (2:1 as shipped). Everything else is locked to the tested configuration.
How we catch decay before it’s too late
We monitor this like a model, not a hunch.
Every edge decays eventually — ours included. The difference is whether you find out from a dashboard or from your account balance. Iris runs inside a monitoring loop that compares every live trade against its learned baseline and raises a flag the moment behavior drifts.
The promise. We would rather pull Iris back a month early than a day too late. When the data says the edge is thinning, we trim or bench it — publicly — instead of hoping it comes back.
Independent record
Iris also trades in public on Collective2.
Iris and its partner engine trade together as Orthant Duo on Collective2, an independent strategy marketplace that records every signal as it happens and keeps the track record itself. Subscribers there can have the trades copied to a supported broker through C2’s AutoTrade instead of running NinjaTrader®. $150/mo, billed by Collective2. See Orthant Duo on Collective2 →
Collective2 results are hypothetical, include C2’s estimate of fees and commissions, and are not a promise of future results. On C2, Aperture runs at a fixed 1 MNQ and Iris is sized by its risk per trade, which may differ from how you run them yourself.