Trace
"I follow the trail of the institution."
Trace
"I follow the trail of the institution."
Trace is a **Family 5 — Pattern Recognition / Similarity-Based** agent, working alongside its sibling Mneme. While Mneme searches the memory of the broad S&P 500 (SPY), Trace focuses exclusively on the **Dow Jones Industrial Average (DIA)**.
The Dow is a concentrated basket of 30 blue-chip, battle-tested stocks. Because it contains only 30 names, it lacks the cross-sectional noise and speculative volatility of the broader indices. This makes its intraday bar-by-bar price action exceptionally clean and stable. Trace encodes the Dow's 5-minute bars, finds the **K=10 nearest neighbors** in its historical database using cosine similarity, and trades in the direction of the majority vote (≥ 62%) when the match is extremely close (similarity ≥ 0.60).
Imagine the market is a dark, complex labyrinth. While other traders try to navigate by guessing where the Minotaur is, Trace follows the trail of thread left behind by those who successfully navigated it before. The Dow's blue-chip components leave highly consistent, deep footprints (traces) in history.
Trace does not predict the path — it simply finds the thread from historical days that matches today's starting steps, and follows that thread out of the labyrinth. By raising its similarity gate to 0.60 (higher than Mneme's 0.50), it ensures it only follows the strongest, most defined threads.
Trace's job: find the blue-chip footprint, verify its similarity is extremely high, and follow that exact historical trail.
Trace's thesis is that the Dow's unique microstructure produces cleaner pattern clusters than SPY. The out-of-sample data strongly validates this:
SPY (Mneme): 2.45 Profit Factor over 98 trades (max drawdown 2.15%)
DIA (Trace): 3.08 Profit Factor over 59 trades (max drawdown 0.96%)
The Takeaway: The Dow's concentrated institutional flow produces patterns that retain historical memory more faithfully. Stricter similarity requirements (0.60 vs 0.50) and tighter neighbors (K=10 vs 15) result in fewer, higher-quality signals with virtually zero drawdown.
Trace operates across the same three temporal windows as Mneme, routing to the single strongest signal of the day:
| Window | Observation Period | Prediction Period | Entry Time | Hard Flat |
|---|---|---|---|---|
| Window A (Morning) | 9:30 – 10:00 (6 bars) | 10:00 – 12:00 (2 hours) | 10:00 ET | 12:00 ET |
| Window B (Afternoon) | 10:00 – 12:00 (24 bars) | 14:00 – 16:00 (2 hours) | 12:00 ET | 16:00 ET |
| Window C (Closing) | 12:00 – 14:00 (24 bars) | 14:00 – 15:30 (1.5 hours) | 14:00 ET | 15:30 ET |
Hard stop placed at 1.5× ATR below entry. If the Dow drops past this point, the pattern is invalidated — exit immediately.
Positions are closed at market at the exact end-time of the window. No discretionary holding — the edge exists only within the specific query window.
Trace hard-skips all FOMC, CPI, NFP, and PCE sessions. Macro shocks overwrite technical microstructure, rendering historical KNN matches highly deceptive.