Turnaround Tuesday on MES and MNQ

Paper trading, not investment advice. Every account and book on these pages trades paper money: the Alpaca paper accounts DAILY ($1,000,000 from Sep 30, 2026), INTRA1 ($100,000 from Sep 30, 2026) and INTRA2 ($100,000 from Sep 30, 2026); the simulated books SIM-TT ($100,000 from Sep 29, 2026), SIM-V2B ($100,000 from Sep 28, 2026) and SIM-V2B-TOM ($100,000 from Sep 28, 2026), filled at the official close; and market-analysis's ledgers, one contract per position against a $100,000 reporting equity. No real money is at stake. Positions, trades and P&L are published the same day, as the engines record them, with each number's source and cost model labelled. Nothing here is a recommendation to buy, sell or hold any security, and nothing is tailored to you. Each strategy is a pre-registered experiment, read once on a date or at a trade count fixed in advance; until then its record says little either way. I may hold or have held positions in securities shown here. Markets can and do lose money.

Turnaround Tuesday on micro S&P 500 and Nasdaq-100 futures: it buys at a Monday's close after two down closes, and sells at the first close above the previous session's high. A local paper ledger fills the near-close scan's orders at the close, with futures costs; a second book in it trades the rule on the final closes.

Instruments: MES ($5 an S&P 500 point) and MNQ ($2 a Nasdaq-100 point), each decided on its own from SPY's or QQQ's daily bars, with every dividend added back.
Entry: buy at a Monday's close when it is below the previous session's close, and that close is below the one before. A week whose Monday is a holiday has no entry.
Exit: sell at the first close above the previous session's high.
Size: half of the book's equity in each instrument it enters, fixed in dollars at entry, in fractional contracts; the position then moves with the price.
Costs: each fill pays one tick (0.25 index points) of slippage and $0.85 of commission a micro contract, at the previous close's index level; each session held pays a financing spread of 0.5% a year on the notional; a position held into its roll session pays a tick and two commissions. The roll session is 5 sessions before the third Friday of March, June, September and December.
Cash: the equity earns the T-bill rate, and a position earns its proxy's total return, with the fund's expense ratio added back, less that rate, as a future does.
Orders: trade-at-settlement, filled at the session's close, as decided by the near-close scan on the day's 5-minute snapshot at about 15:40.
Books: the live book trades the near-close scan's orders, and the rule book the rule's own decisions on each final close, with no timing effects. A near-close order that differs from the final close's decision is logged as drift.

Name	Value	Unit	Where it lives	Pinned by
NAMES	ES, NQ	futures, traded as MES and MNQ	syseq/strategy/turnaround.py:18	tests/test_turnaround.py:246
PROXY.ES	SPY	the fund whose bars stand for ES	syseq/strategy/turnaround.py:19	—
PROXY.NQ	QQQ	the fund whose bars stand for NQ	syseq/strategy/turnaround.py:19	—
MONDAY	0	weekday, Monday = 0	syseq/strategy/turnaround.py:21	tests/test_turnaround.py:39
SHARE	0.5	of the book's equity per instrument, at entry	syseq/execution/futures_paper.py:32	tests/test_turnaround.py:85
MICRO_MULTIPLIER.ES	5	USD an index point (MES)	syseq/research/p10futures.py:28	tests/test_p10.py:53
MICRO_MULTIPLIER.NQ	2	USD an index point (MNQ)	syseq/research/p10futures.py:28	tests/test_p10.py:53
COST	base	protocol 10's cost level	syseq/execution/futures_paper.py:31	tests/test_turnaround.py:85
TICK.ES	0.25	index points	syseq/research/p10futures.py:27	tests/test_p10.py:53
TICK.NQ	0.25	index points	syseq/research/p10futures.py:27	tests/test_p10.py:53
SLIP_TICKS.base	1	ticks a fill	syseq/research/p10futures.py:32	tests/test_p10.py:53
COMMISSION.base	0.85	USD a micro contract a side	syseq/research/p10futures.py:33	tests/test_p10.py:387
FIN_SPREAD.base	0.005	a year over the T-bill rate, on the notional held	syseq/research/p10futures.py:35	—
ROLL_MONTHS	3, 6, 9, 12	months	syseq/research/p10futures.py:39	—
ROLL_SESSIONS_BEFORE	5	sessions before the third Friday	syseq/research/p10futures.py:41	tests/test_p10.py:62

What is read: the live and rule books, and where the rule book's year falls in its backtest's one-year range; read on the same day as the other paper books
Read on: Sep 30, 2027
Trades needed: —
Trades logged: —
Hard stop: —
Shipped on: —
Deployed commit: c7b1582

Closed trades: 0
Won: —
P&L: —
Net P&L: —
Closed without a P&L: —
Closed without a net P&L: —
Open: 0

The book's value

Its NAV at each session's close as its ledger keeps it, before the interest and dividends the ledger credits it; the line is the $100,000 it was given.

The book's value — data table

Turnaround Tuesday on MES and MNQ: its book's NAV at each session's close
Session	NAV
Sep 29, 2026	$100,016.10
Sep 30, 2026	$100,032.23
Oct 1, 2026	$100,048.23
Oct 2, 2026	$100,064.04
Oct 5, 2026	$100,079.89
Oct 6, 2026	$100,095.85
Oct 7, 2026	$100,111.89
Oct 8, 2026	$100,127.92
Oct 9, 2026	$100,143.99
Oct 12, 2026	$100,160.11
Oct 13, 2026	$100,176.21

Record Local ledger

Cost model

Simulated micro futures on MES and MNQ, fractional contracts filled at the close: a tick of slippage and a micro contract's commission a fill, the financing spread for each session held and the roll's cost; the equity earns the T-bill rate. The book's value is after every cost.

No trade yet.

The paper book's pre-registration (findings systematic-equity/DESIGN/150)
Where the rule came from (findings systematic-equity/RESEARCH/250)

What it is

The rule

Its read

Record so far

Trades

Where the research is