Strategy portfolio on the Micro E-mini S&P 500

# python mes.py   (CSV: time,open,high,low,close,roll)
F="MES_M10.csv"
a,b,c,d,e=.01,.015,40,48,1050
L=open(F).read().splitlines()
H=L[0].split(",")
I=[H.index(k) for k in("time","open","high","low","close","roll")]
D={}
for s in L[1:]:
    r=s.split(",")
    t,o,h,l,x,z=[r[i] for i in I]
    D.setdefault(t[:10],[]).append((t,int(t[11:13])*60+int(t[14:16])+10,float(o),float(h),float(l),float(x),z=="True"))
K=list(D)
n=S=0
for k in range(1,len(K)):
    P,T=D[K[k-1]],D[K[k]]
    if any(q[6] for q in T):continue
    u=max(q[3] for q in P);v=min(q[4] for q in P)
    if u<=v or len(T)<20 or not(T[0][2]-v)/(u-v)*100<c:continue
    p=T[0][5];g=p*(1+a);s=p*(1-b);w=T[1][5]
    for j in range(1,len(T)):
        _,m,_,h,l,x,_=T[j]
        if h>=g and l<=s:raise SystemExit(T[j][0])
        if h>=g:w=g;break
        if l<=s:w=s;break
        w=x
        if j>=d or m>=e or j==len(T)-1:break
    print("%s;%.1f;%.1f;%.1f"%(T[0][0],p,w,w-p))
    n+=1;S+=w-p
print(n,round(S))

Result in points, 1 contract, before costs. The simulation of the portfolio strategies follows the same entry, target, stop and exit mechanics; some have variations (such as a trailing stop and end-of-week exit) that do not appear in this example. The rules and parameters of the three strategies remain confidential.