propdesk — MES prop gauntlet

17-day gauntlet to validate ORB + VWAP on MES before buying a Bulenox $50K Option 1 eval. Paper-only from the US (F-1 status). Real eval purchase from Sweden (May 11+).

Layout

propdesk/
├── strategies/     # ORB, VWAP (pure-rules first; agents added only if measurable edge)
├── backtest/       # NautilusTrader BacktestEngine runners
├── data/           # Databento parquet/DBN, pull scripts
├── analysis/       # CPCV, DSR, PBO, Monte Carlo (Day 3)
├── agents/         # LangGraph DAG (Day 4-7; deferred pending edge evidence)
└── logs/

Day 1-3 gates (Apr 24-26)

• ORB: DSR > 0, PBO < 0.5, OOS Sharpe > 1.0, PF > 1.3
• VWAP Trend: DSR > 0, WR > 40%, positive on >70% of CPCV paths
• If ORB fails DSR: kill it here, do not tune.
• If both fail: stop, don't proceed to paper.

What's built

• strategies/orb.py — ORBStrategy (5-min bars, 09:30-09:35 range, bracket @ 10R, 15:55 flat)
• backtest/run_orb.py — BacktestEngine with FillModel(prob_fill=0.3, slip=0.5) + LatencyModel(50ms)
• data/pull_mes.py — Databento pull script

What's NOT built yet

• Databento instrument → NT Instrument conversion in backtest/run_orb.py (stubbed, raises NotImplementedError)
• VWAPTrendStrategy (Day 2)
• CPCV / DSR / PBO / Monte Carlo analysis (Day 3)
• LangGraph agent DAG (Day 4+, gated on showing rules have edge first)

What you need to do (human)

1. Databento signup: https://databento.com/signup (free trial). Get API key from https://databento.com/portal/keys. Export:

   export DATABENTO_API_KEY=db-xxxx
   

   Then:

   /root/venv/bin/python /root/propdesk/data/pull_mes.py --start 2020-01-01 --end 2025-12-31
   

   Est. cost ~$50 for 5 years of 5-min MES continuous.

2. Tradovate Demo (Day 8 prep): https://tradovate.com/ — free, CME data included.

3. Do NOT buy Bulenox yet. 14-day free trial starts Day 13 (May 6), covers first Sweden days.

Gauntlet start state (as of 2026-04-24 19:00 UTC)

• Disk: 8.7G droplet, ~1G free after cleanup (deleted weather backtest.db, 1.3G freed)
• Installed: nautilus_trader==1.225.0, databento==0.75.0 in /root/venv
• TradePilot v2.6 5m run: -$168, 38.5% WR (sunset candidate)
• TradePilot v2.6 15m run: -$175, 30% WR (confirms OB+LS has no edge on BTC)
• Weather v9.7: 12 open, 5 settled (0/5 wins). Kill decision pending 26APR24 resolutions.