Every order flow strategy starts the same way. Someone hands you numbers — minimum bar volume 100, minimum delta 100, stop 10, target 20. You don’t know where they came from. Neither did the person who gave them to you.

Then you copy those numbers to a different instrument, or a different bar size, and they quietly stop meaning anything at all.

The next release of MZpack Strategies replaces that guesswork with measurement.

Filters that calibrate themselves

Min bar Volume and Min bar Delta are absolute numbers, and absolute numbers don’t travel. A value that filters properly on ES 10 Range filters nothing on NQ, and nothing at all on 30 Range.

The new auto-calibration measures your instrument instead. It builds a distribution of what a bar actually looks like across your last N sessions, inside your trading session only, and sets the thresholds at a percentile you choose.

You set one number instead of guessing three. And that number is portable — 70 means the same thing on every instrument and every bar size.

There is a second layer to it. Bar activity is not flat across the day, so thresholds are calibrated per hour of the session. On ES 10 Range we measured the difference: a single threshold is roughly 25% too strict at the open and 35% too loose in the last hour. The per-hour version filters for what is heavy for that time of day.

Know what a signal is worth before you trade it

Footprint Action ships ten signals. Until now, the only way to find out which ones work on your instrument was to switch them on and watch.

Signal Probe evaluates every signal independently of the pattern tree — including the ones you have switched off for trading. It answers “what would this signal have given” without letting the signal anywhere near an order.

Signal Report turns that into one table at the end of a run: how many times each signal fired, its median favourable and adverse excursion, and its expectancy in ticks under your current stop and target. Signals with too few events are flagged, so a five-event fluke doesn’t read as your best performer.

No spreadsheets. No scripting. One table, one question answered: which signals are worth your attention.

The journal: every outcome, at tick resolution

For traders who want to go further, every signal event can be exported with its outcome recorded in full.

For each event, the journal stores the first moment price reached every level away from entry — favourable and adverse, tick by tick, timed to the tick rather than to the bar.

That last detail is the point. On a 10 Range chart, a 10-tick stop is exactly one bar wide, so a stop and a target routinely sit inside the same bar. Bar data cannot tell you which came first. Tick data can.

The practical result: you can resolve any stop and target pair offline, from data you already collected. No re-running history for every combination you want to test.

Two new run modes, and one faster default

Probe collects the historical journal with trading switched off. TradeProbe trades and observes at the same time, so you can keep measuring the signals you haven’t committed to yet.

Separately, the footprint indicator now calculates on bar close by default. On our test runs this cut backtest time roughly in half, with results identical to the tick.

Availability

These features are in final testing for the next or two MZpack Strategies release. Existing licence holders get them at no additional cost.

If you want to be part of the testing round, or you have a view on what the Signal Report should show, come find us on Discord — the defaults aren’t locked yet, and this is the moment to push back on them.