Strategy
Futures trading strategies for NQ and gold, backtested
We tested 14 popular intraday strategies on NQ (Nasdaq-100) and GC (gold) futures, using real CME 1-minute data from January 2023 and the same costs and sizing for each. The pass mark was set before the first run, and each strategy is compared with a random walk, where no strategy has an edge. None of the 14 has passed yet. The pages show every result, with trading windows in IST.
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8 strategies for NQ: 8 backtested, 0 planned
9:30 opening range breakout
Trade the first break of the 15-minute range after the New York open. Stop on the other side, 2R target, flat by 11:30.
09:30 to 11:30 New York
- Net
- $2,110
- Win rate
- 47.3%
- Avg R
- +0.06
- Trades
- 433
Random-walk baseline +0.07R. Doesn't meet the bar
London breakout of the Asia range
Enter when price breaks the Asia high or low during London. Stop on the other side of the range.
03:00 to 08:30 New York
- Net
- $237
- Win rate
- 46.0%
- Avg R
- +0.01
- Trades
- 322
Random-walk baseline -0.01R. Doesn't meet the bar
Asia range sweep and reversal
Fade a sweep of the Asia high or low that closes back inside the range.
03:00 to 08:30 New York
- Net
- -$746
- Win rate
- 36.1%
- Avg R
- +0.04
- Trades
- 762
Random-walk baseline -0.03R. Doesn't meet the bar
Previous-day high or low
Sweep-and-reject at yesterday's high or low.
08:30 to 12:00 New York
- Net
- -$8,148
- Win rate
- 31.6%
- Avg R
- -0.07
- Trades
- 528
Random-walk baseline -0.04R. Doesn't meet the bar
Overnight range at the open
Break of the overnight high or low at the open, then a retest.
09:30 to 11:30 New York
- Net
- -$12,284
- Win rate
- 30.8%
- Avg R
- -0.10
- Trades
- 730
Random-walk baseline -0.28R. Doesn't meet the bar
Gap fill
Fade large gaps from the previous regular-hours close back toward it.
09:30 to 12:00 New York
- Net
- -$13,366
- Win rate
- 19.7%
- Avg R
- -0.21
- Trades
- 517
Random-walk baseline +0.10R. Doesn't meet the bar
VWAP pullback
Trade with the trend when price pulls back to the day's VWAP.
09:30 to 15:00 New York
- Net
- -$1,806
- Win rate
- 33.2%
- Avg R
- -0.02
- Trades
- 422
Random-walk baseline -0.09R. Doesn't meet the bar
Sweep, change of character, fair value gap
Sweep of a session level, then a change of character, then entry on the fair value gap.
03:00 to 11:00 New York
- Net
- -$4,156
- Win rate
- 34.6%
- Avg R
- -0.03
- Trades
- 399
Random-walk baseline -0.10R. Doesn't meet the bar
How these are tested
Every rule was fixed before the first run. Each strategy is run on CME 1-minute bars from January 2023 with the same costs and sizing, split into an in-sample period (2023 to 2024) and an out-of-sample one (2025 on), and compared with the same rules on random-walk copies of the data, where nothing has an edge. To meet the bar a strategy needs at least 300 trades, an average of +0.10R after costs and 0.10R above the random-walk baseline, a t-statistic of 3 or more, profit in 3 of 4 years and out-of-sample, a profit factor of 1.2 or more, and a maximum drawdown within $1,000. 14 strategies are backtested and 0 meet it.
Backtests are hypothetical, fills and costs are assumed, and they are education, not trading advice.
All NQ (Nasdaq-100) strategies
- NQ: 9:30 opening range breakoutTrade the first break of the 15-minute range after the New York open. Stop on the other side, 2R target, flat by 11:30.
- NQ: London breakout of the Asia rangeEnter when price breaks the Asia high or low during London. Stop on the other side of the range.
- NQ: Asia range sweep and reversalFade a sweep of the Asia high or low that closes back inside the range.
- NQ: Previous-day high or lowSweep-and-reject at yesterday's high or low.
- NQ: Overnight range at the openBreak of the overnight high or low at the open, then a retest.
- NQ: Gap fillFade large gaps from the previous regular-hours close back toward it.
- NQ: VWAP pullbackTrade with the trend when price pulls back to the day's VWAP.
- NQ: Sweep, change of character, fair value gapSweep of a session level, then a change of character, then entry on the fair value gap.
All GC (gold) strategies
- GC: COMEX open and 08:30 data breakoutBreak of the 15-minute range after the 08:20 COMEX open, which includes the 08:30 data release. Stop on the other side, 2R target, flat by 11:30.
- GC: London breakout of the Asia rangeEnter when price breaks the Asia high or low during London. Stop on the other side of the range.
- GC: Asia range sweep and reversalFade a sweep of the Asia high or low that closes back inside the range.
- GC: Previous-day high or lowSweep-and-reject at yesterday's high or low.
- GC: VWAP pullbackTrade with the trend when price pulls back to the day's VWAP.
- GC: Sweep, change of character, fair value gapSweep of a session level, then a change of character, then entry on the fair value gap.
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