Understand how M2M works — from the signals we detect to the methodology behind our backtests.
21 terms explained in plain English
Walk-forward validation, execution assumptions, regime gating
6-factor quality engine and squeeze scoring explained
Parameters are optimized only on in-sample data (Jan 2020 – Dec 2022). All published results come from the out-of-sample period (Jan 2023 – present) — data the optimizer never saw. Strategies that degrade significantly between periods are shelved, not published.
Every simulated trade includes 0.05% slippage and round-trip transaction costs. Entries execute at next-day open (no same-bar entry). Gap-through stops are modeled — if the market opens past your stop, you get filled at the open price.
Our 5-state trend regime engine classifies the market using SPY, SMA(50/200), and ADX(14). Signals only publish during strong trends (ADX > 25). This single filter improved win rate from 52% to 60% and profit factor from 0.94 to 1.44.
Stop losses scale to each stock's volatility using ATR. Low-volatility stocks get tighter stops; volatile names get wider ones (4%–16% range). This prevents the common mistake of fixed percentage stops that destroy performance on high-beta names.
Every strategy signal is scored on 6 weighted factors, each contributing to a total score of 0-100. Only signals scoring 65+ AND with 4+ factors above their midpoint are published.
The flow scanner uses a composite squeeze score (0-100) measuring how many factors align for a potential squeeze: unusual options activity, short interest, gamma positioning, IV dynamics, and technical compression. Higher scores indicate stronger confluence.