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Strategy file: quantroduction-mixer-futures.js Market: futures

Description

Quantroduction Mixer (Futures). Long & short via closeMarket/closeLimit. Tracks gb.data.currentSide as source of truth. Same 11-indicator confluence as spot. Signal reversal closes current side first then re-enters opposite next cycle.

How it works

Futures variant of the Mixer (see Spot variant for the full theoretical grounding). The futures version adds leverage-aware weighting: each underlying signal's notional contribution is normalised by the leverage at which it will be expressed, so a 3x leveraged momentum sleeve and a 1x mean-reversion sleeve combine into a coherent target exposure. Funding rate is included as a carry component when the underlying perpetual has structural basis. Same combination math (Markowitz / risk-parity) applies but the realised volatility used for weighting is computed on leveraged returns, not raw underlying.

Allocation

How much of THIS pair’s wallet the strategy may use, what it must start with, and the hard config gate. Trading is BLOCKED until Wallet allocation % is set AND Allocation confirmed is ON. Optional grid splits an order into laddered post-only rungs for better fills.

Key Type Default Description
ALLOC_PCT range (range 1..100) 25 Percentage of THIS pair’s wallet balance the strategy may deploy. Effective cap = min(wallet × this %, the absolute Capital allocation). Every order is clamped to it and can never exceed it. REQUIRED — trading is blocked until this is set (>0) and Allocation confirmed is ON.
ALLOC_CONFIRMED boolean False Explicit acknowledgement that the allocation above is correct for this pair. The strategy will NOT place any entry order until this is ON. A clear "ALLOCATION CONFIGURED" line is logged once it is; otherwise an "ALLOCATION NOT CONFIGURED — refusing to trade" line is logged each cycle.
ALLOC_SPLIT_TOL range (range 0..100) 15 How far the starting base/quote split may deviate from what this strategy needs before it refuses to start. Long-only strategies want mostly quote/cash; two-sided market-makers want ~50/50 base/quote; futures want free margin. Mismatch beyond this % blocks trading (unless Enforce start inventory is OFF).
ALLOC_ENFORCE_SPLIT boolean True When ON, the strategy refuses to trade until the starting base/quote split is within tolerance of what it needs (archetype-aware). When OFF, a mismatch is logged as a warning but trading proceeds.
ALLOC_AUTO_REBALANCE boolean True Two-sided market-makers only. ON by default: if the pair starts off the target base/quote split, the strategy places a single bounded market order on start to reach it (e.g. buys ~half the allocation into base for a 50/50 maker), then begins normal trading. Set to OFF to instead stay blocked and log the exact amount to buy/sell manually. Long-only and futures strategies ignore this.
ALLOC_RESERVE_PCT range (range 0..50) 0 A buffer, as % of wallet, kept BELOW the allocation cap and never deployed. Use to leave headroom for fees/slippage. Effective cap = min(wallet × allocation %, absolute cap) − wallet × this %.
MXF_GRID boolean False When ON, an entry order is split into several laddered post-only rungs across a price band instead of one order — often gets better average fills. Cumulative size is still clamped to the allocation. OFF = single order.
MXF_GRID_LEVELS range (range 2..10) 3 Number of laddered rungs to split an entry into when "Split entries into a grid" is ON. More rungs = finer fills but more orders.
MXF_GRID_SPAN_PCT range (range 0.1..5) 0.5 Price band width, as % from the reference price, across which the grid rungs are spread. e.g. 0.5 places rungs from the reference price down to 0.5% below it (for buys).

Confluence

How the 11 indicator filters combine into a single signal

Key Type Default Description
MXF_ALLOW_LONG boolean True Master toggle for long-side trading
MXF_ALLOW_SHORT boolean True Master toggle for short-side trading
MXF_REQUIRE_ALL boolean False TRUE = all enabled indicators must agree (AND, strict). FALSE = any single one fires the signal (OR, loose).
MXF_COOLDOWN_MS range (range 0..120000) 12000 Minimum delay between order actions. Prevents duplicate orders on fast cycles.

Indicator Toggles

Turn each indicator on or off independently

Key Type Default Description
MXF_USE_SMA_CROSS boolean True Fast SMA above slow = bullish; below = bearish
MXF_USE_RSI boolean False RSI > LONG_ABOVE = bullish; < SHORT_BELOW = bearish
MXF_USE_MACD boolean False MACD above signal = bullish; below = bearish
MXF_USE_SUPERTREND boolean False Supertrend below price = bullish
MXF_USE_STOCHASTIC boolean False %K > 50 bullish; < 50 bearish
MXF_USE_BB boolean False Price above BB middle = bullish
MXF_USE_EMA_CROSS boolean False Fast EMA above slow = bullish
MXF_USE_AO boolean False AO > 0 bullish; < 0 bearish
MXF_USE_SAR boolean False SAR below price = bullish
MXF_USE_CCI boolean False CCI > LONG_ABOVE bullish; < SHORT_BELOW bearish
MXF_USE_ADX boolean False ADX > threshold confirms trend; DI+ vs DI- gives direction

Indicator Parameters

Periods and thresholds for each indicator

Key Type Default Description
MXF_SMA_FAST range (range 2..50) 5
MXF_SMA_SLOW range (range 5..200) 10
MXF_RSI_LEN range (range 2..100) 14
MXF_RSI_LONG_ABOVE range (range 0..100) 50 RSI must exceed this to register bullish
MXF_RSI_SHORT_BELOW range (range 0..100) 50 RSI must drop below this to register bearish
MXF_MACD_FAST range (range 2..50) 12
MXF_MACD_SLOW range (range 5..100) 26
MXF_MACD_SIGNAL_LEN range (range 2..50) 9
MXF_ST_ATR_LEN range (range 2..50) 10
MXF_ST_FACTOR range (range 1..10) 3
MXF_STOCH_K range (range 2..50) 14
MXF_STOCH_D range (range 1..20) 3
MXF_STOCH_SMOOTH range (range 1..20) 3
MXF_BB_LEN range (range 5..100) 20
MXF_BB_MULT range (range 1..5) 2
MXF_EMA_FAST range (range 2..50) 5
MXF_EMA_SLOW range (range 5..200) 10
MXF_AO_FAST range (range 2..50) 5
MXF_AO_SLOW range (range 5..200) 34
MXF_CCI_LEN range (range 2..100) 20
MXF_CCI_LONG_ABOVE range (range -200..200) 0
MXF_CCI_SHORT_BELOW range (range -200..200) 0
MXF_ADX_LEN range (range 2..50) 14
MXF_DI_LEN range (range 2..50) 14
MXF_ADX_THRESHOLD range (range 10..50) 20 ADX must exceed this for trend confirmation

Exits

Stop loss, break-even guard, take profit

Key Type Default Description
MXF_STOP_LOSS_ENABLED boolean True
MXF_STOP_LOSS_PCT range (range 0.1..10) 2 Percentage below entry price
MXF_BREAK_EVEN_GUARD boolean True Refuse any exit at a net price below break-even (includes fees)
MXF_BE_OVERRIDE_CYCLES range (range 0..100) 10 After this many blocked cycles, SL fires anyway. Set 0 to disable override.
MXF_ESTIMATED_FEE_PCT range (range 0..1) 0.08 Used for futures BE calc when gb.data.breakEven is unavailable. Typical taker 0.08%.

Sizing & Runtime

Order size, minimum sell amount, base trading limit

Key Type Default Description
PERIOD select 1 Gunbot core PERIOD
MXF_TAKE_PROFIT_LEVELS string [{"pct":0.4,"portion":0.34},{"pct":0.8,"portion":0.33},{"pct":1.5,"portion":1.0}] Multi-level TP table as a JSON array of {pct, portion} objects. pct = % from entry to trigger (above for longs, below for shorts); portion = fraction of CURRENT position to close at that level (0.0-1.0). Set the final level's portion to 1.0 to guarantee full close. Default: 34% at +/-0.4%, 33% at +/-0.8%, rest at +/-1.5%. Must be valid JSON; invalid input falls back to the in-code default.
TRADING_LIMIT range (range 10..10000) 100 Gunbot-level order size cap in quote currency
BE_GUARD boolean True Wraps Gunbot sell methods. Blocks sells priced below data.breakEven while holding a long. Buys never affected.
MXF_TRADING_LIMIT_BASE range (range 10..10000) 100 Fallback base-currency amount if strategy config lacks TRADING_LIMIT
MXF_MIN_CLOSE_QTY range (range 0..10) 0.001 Avoid dust closes on futures contracts
VERBOSE_LOGS boolean False When ON, the full Quantroduction × Gunbot dashboard (every config value + state snapshot) re-emits every VERBOSE_INTERVAL_MIN minutes for forensic audit. When OFF (default), the dashboard only fires once per Gunbot restart per pair.
VERBOSE_INTERVAL_MIN range (range 5..240) 30 How often the dashboard re-emits when VERBOSE_LOGS is ON. Lower = more frequent / noisier; higher = quieter. Has no effect when VERBOSE_LOGS is OFF.
BE_GUARD_BLOCK_MARKET_SELLS boolean True Default ON (legacy). Set OFF to enable SOFT BE_GUARD: market sells and closeMarket pass through (treated as urgent / stop-loss). Only limit sells below break-even remain blocked. Prevents BE_GUARD from silently swallowing stop-loss exits.
SCRATCH_LIVENESS_MIN range (range 0..120) 0 When >0: if the pair holds inventory and hasn't filled in N minutes AND the bid is at break-even+1bp, force a market exit to rotate capital. 0 = disabled. Typical: 30.
CONSEC_RESET_CYCLES range (range 60..2880) 480 After this many cycles without any order activity, auto-reset consecutiveLosses to 0. Default 480 cycles ≈ 2h at 15s/cycle. Prevents a 3-loss streak from killing the pair for the entire session.
DRIFT_ATR_FRAC range (range 0..0.5) 0 When >0: scale drift-requote threshold to this fraction of the recent 10-candle high-low range (clamped 2-100 bps). 0 = use fixed *_STALE_DRIFT_BPS. Typical: 0.05 = 5% of recent range. Adapts drift detection to per-pair volatility.
SKEW_QTY_MAX range (range 1..5) 2.5 Maximum ask:bid qty ratio when inventory is heavily skewed. 2.5 means a heavily-bagged pair quotes up to 2.5x ask qty vs bid qty to drain inventory faster. Set 1.0 to disable (symmetric quoting).
SKEW_QTY_TARGET range (range 0.1..0.9) 0.5 Target inventory fraction of pair equity. 0.5 = 50/50 balanced base/quote. Skew kicks in proportionally as actual exposure deviates from target.
PORTFOLIO_INCLUDE boolean True When ON (default), this pair participates in the shared PORTFOLIO_EXP_BUDGET — its exposure counts toward portfolio total and bids pause when budget is exceeded. When OFF, the pair stands alone (use PAIR_EXP_BUDGET for own cap).
PORTFOLIO_EXP_BUDGET range (range 0..1) 0 Cap on total portfolio inventory as fraction of total allocated equity (sum across PORTFOLIO_INCLUDE pairs). 0 = disabled. Typical: 0.6 = 60% inventory cap across the included portfolio. When exceeded, bids pause but exits remain active.
PAIR_EXP_BUDGET range (range 0..1) 0 This pair's own exposure cap as fraction of pair equity (inventory / pair allocated capital). Applies independently of portfolio budget. 0 = disabled. Typical: 0.2 = 20% per-pair cap.
DISABLE_BREAKER_WINDDOWN boolean False When OFF (default), an active breaker (3 consecutive losses or daily loss limit) actively frees capital: cancels open orders and scratch-sells inventory IF profitable (bid >= BE+1bp). When ON, legacy halt-and-hold behaviour.
TRACE_ALL boolean False Master switch for the Quantroduction tracer. When ON, writes detailed per-cycle JSONL to gunbot_logs/quantroduction/ AND emits a verbose console summary. Equivalent to setting every _TRACE to true. Useful for diagnosing silent gates and breakers. Disk overhead ~1MB/day/pair.

Portfolio & Runtime (per-pair overrides)

Per-pair runtime knobs. Override any of these on a single pair without changing the strategy defaults.

Key Type Default Description
NO_CLOSE_MARKET boolean False On exchanges that don't expose closeMarket reliably, set this to true to force the compat wrapper to route every close through sellMarket / buyMarket instead.
NO_POST_ONLY boolean False On exchanges that reject post-only orders (e.g. some DEX flavours), force the compat wrapper to fall back to plain limit orders. Increases taker risk; only enable if your exchange genuinely cannot process post-only.
RESET_BREAKER_ONCE boolean False Set to true once to clear any tripped circuit breaker (consecutive-loss / daily-loss). The strategy auto-clears this flag after the reset fires so you don't have to remove it.
RESET_STATS_ONCE boolean False Set to true once to zero out wins, losses, consecutive losses, peak equity, max drawdown, trade count, and daily-loss lock. Total PnL is preserved. The flag auto-clears after the reset fires.
LOG_LEVEL select NORMAL Controls how verbose the strategy's logs are. QUIET only logs errors and trade events. NORMAL adds breaker / state changes. VERBOSE adds per-cycle gate decisions (useful for tuning).
MIN_ORDER_QUOTE range (range 1..50) 5 Minimum notional that the exchange will accept for an order, in quote currency. Set higher than the exchange's true minimum to leave buffer for slippage on validation.
QUANTRODUCTION_TRACE boolean False Master switch for the diagnostic tracer. When on, every gate decision and breaker event is recorded so you can see exactly why the strategy did or did not act this cycle.
WARMUP_CYCLES range (range 0..50) 5 How many cycles the strategy waits at startup before placing any orders. Lets indicators warm up and the strategy compute a baseline before reacting.
SPREAD_PNL_JUMP_GUARD range (range 0.1..1) 0.5 Realized-PnL deltas larger than this fraction of pair equity are treated as deposits/withdrawals/data-glitches and skipped. Default 0.5 means a single delta over 50% of equity is ignored. Lower for tighter glitch detection on small accounts.

References & further reading

Configuration playbook