What it actually does
Same idea as Aperture, pointed at a different market.
Iris measures the first fifteen minutes of the US session on the S&P micro contract and trades the break of that range. The market draws the line; the engine trades what happens to it.
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.
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
- Failed breaks back into the range. The break triggers, price re-enters the range, and often continues out the far side. Its #1 weakness.
- 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
Drawdown-first, with hard lines that don't move.
A resting protective stop from the moment the position opens, sized from your risk settings rather than a fixed tick count.
A daily loss line flattens and stands the strategy down for the session. Nothing is held overnight.
You control the cash at risk and the maximum contracts. 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.