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Proteus Trading Algorithm Updates

I have updated Proteus I, II, and III. This update helps manage and prevent multiple contract entries. The revision numbers remain the same and the files have been updated.


All three strategies now:

  • Only enter when Position.MarketPosition == MarketPosition.Flat

  • Never scale into existing positions

  • Use only the cntrcts parameter for entry quantity

  • Have multiple safeguards to prevent duplicate entries

Live trading behavior should now more close match market replay results.


A quick Market Replay from November 2, 2025 through the end of the December contract month on December 12, 2025, show the results below. The Proteus II had the best total profit/drawdown as well as the best average trade profit. This is a market replay backtest and live results can vary. It is also a short window. The Proteus trading modules are the only strategy setups offered by Capstone that use Level II data to make trading decisions.




Proteus I v8

Hypothetical Market Replay

11/02/2025 - 12/12/2025

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Proteus II v5

Hypothetical Market Replay

11/02/2025 - 12/12/2025

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Proteus III v6

Hypothetical Market Replay

11/02/2025 - 12/12/2025

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CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY, SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

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