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NQ: Asia range sweep and reversal

Fade a sweep of the Asia high or low that closes back inside the range. Backtested on real CME NQ 1-minute bars.

Short answer

We backtested the Asia range sweep and reversal on NQ (Nasdaq-100 futures (NQ and MNQ)) using real CME 1-minute bars from 2 Jan 2023 to 18 Oct 2026. It took 762 trades, won 36.1% of them and made -$746 after costs, an average of +0.04R per trade. It did not clear the bar: it failed 6 of 8 tests, including "Average R of +0.10 or more". Against a random-walk copy of the same data it scored 0.07R better, so there is no clear edge over chance. It trades 12:30 to 18:00 IST in summer or 13:30 to 19:00 IST in winter (03:00 to 08:30 New York time).

Strategy setup

Times in your time zone: EST (America/New York), New York times beside them. Change it in your profile.

Real days from the data

01:0001:00 New York03:0003:00 New York05:0005:00 New York07:0007:00 New Yorkasia_high 30,935.75Time exit limitStop30,937.50Target30,912.00Sell 30,929.00Target hit+2.00R · +$264

Fri, 2 Oct 2026, short. In at 03:16 EST (03:16 New York), out at 03:17 EST (03:17 New York). 5-minute candles, 8 MNQ, $136 at risk.

Levels
The Asia high and low03:00 to 08:30 EST (03:00 to 08:30 New York)
Setup
Price trades at least a tick beyond a level it had not passed, then a bar closes back inside within 15 minutes
Entry
Market order at the open of the next bar
Stop
One tick beyond the sweep's extreme
Target
2R, twice the distance to the stop
Time exit
Flat by this time at the latest08:30 EST (08:30 New York)
Size
Whole MNQ micros, so the stop risks at most $150 (maximum 10). Skipped if one micro would risk more
Frequency
One trade a day

One tick lost on stop and market fills, a target needs price to trade a tick through it, the stop counts first when one bar touches both, and a target can't be hit in the bar a limit order fills. Commission is a placeholder $0.50 per micro per side, not Tradeify's actual rate.

Does it clear the bar?

Doesn't meet the bar

Fixed before any strategy was run. Every check must hold after costs. Average R is +0.04 against -0.03 on random-walk copies of the same days (±0.03): no better than chance.

  • At least 300 trades762
  • Average R of +0.10 or more+0.04
  • t-statistic of 3 or more0.8
  • Beats a random walk by 0.10R+0.07R over -0.03R
  • Profitable in 3 of 4 years2 of 4
  • Positive out-of-sample (2025 on)+0.04R
  • Profit factor of 1.2 or more0.99
  • Max drawdown within $1,000-$3,924

Net profit

-$746

after $5,915 costs

Trades

762

on 77.6% of days

Win rate

36.1%

avg win $216, avg loss -$123

Average R

+0.04

95% range -0.05 to +0.14

Profit factor

0.99

expectancy -$1 a trade

Max drawdown

-$3,924

vs $1,000 allowed on a $25K account

Equity curve

Running net profit, by quarter

-$1,000-$500$0$500$1,000$1,500$2,000$2,50023Q123Q1: $1,69423Q2: $2,16023Q323Q3: $60023Q4: -$11624Q124Q1: -$35024Q2: $94624Q324Q3: $1,40324Q4: $11625Q125Q1: $23825Q2: $1,77825Q325Q3: $1,55225Q4: $1,82126Q126Q1: $1,29126Q2: $1,48626Q326Q3: -$26526Q4: -$746

By year

Net profit, and trades taken

-$1162023212 trades$2322024201 trades$1,7062025197 trades-$2,5662026152 trades

How trades ended

Net profit by exit type

-$59,917Stop484 trades, -1.04R$58,458Target265 trades, +2.00R$714Time exit13 trades, +0.52R

Days with a trade

Share of each year's trading days on which the strategy traded, and why the other days had no trade.

  • 2023
    82%
  • 2024
    78%
  • 2025
    76%
  • 2026
    73%
Reason for no tradeDaysShare of all days
no setup in the window17918.2%
stop too tight to trade363.7%
one micro risks more than the budget30.3%
no bars in the window20.2%

Breakdowns

Nothing is tuned on the out-of-sample years: 2023 to 2024 is the in-sample period, 2025 on is out-of-sample.

PeriodTradesWin rateNetAvg RProfit factorMax drawdown
In-sample 2023 to 202441336.1%$116+0.041.00-$3,924
Out-of-sample 2025 to Oct 202634936.1%-$861+0.040.97-$2,993
By yearTradesWin rateNetAvg RProfit factorMax drawdown
202321235.4%-$116+0.020.99-$3,236
202420136.8%$232+0.071.02-$1,468
202519740.1%$1,706+0.151.11-$1,578
202615230.9%-$2,566-0.100.81-$2,774
By sideTradesWin rateNetAvg RProfit factorMax drawdown
Long32535.7%-$487+0.040.98-$2,153
Short43736.4%-$258+0.050.99-$2,895

Rule variations

Small changes to the rules, to check the result is not fragile. They are never used to choose the rules.

VariationTradesWin rateNetAvg RProfit factorMax drawdownDays skipped
Primary rules76236.1%-$746+0.040.99-$3,924-
Target 1R76250.1%-$5,610-0.020.88-$6,667220
Target 1.5R76241.6%-$3,191+0.010.94-$5,595220
Target 3R76228.3%$254+0.051.00-$4,847220
Confirm in 5 min75236.0%-$856+0.040.99-$4,670230
Confirm in 30 min77136.2%-$1,001+0.040.98-$3,910211
Risk budget $25076436.1%$172+0.041.00-$4,852218

Tradeify $25K evaluation

Target $1,500, trailing drawdown $1,000, daily loss $600. An attempt starts on each of 982 trading days in turn.

  • Passed 198
  • Failed on drawdown 761
  • Unfinished 23

20.6% of finished attempts passed, in a median of 43 trading days. Attempts that start on consecutive days overlap, and with no edge a simulated evaluation passes or fails mostly by luck.

Hypothetical results from a backtest on CME NQ futures, 2 Jan 2023 to 18 Oct 2026, run 19 October 2026. 104 strategies and variations were tried across the Strategy section, so the best few would look good by chance. Past performance does not predict future results, fills and costs are assumed, and an average of +0.04R with a 95% range of -0.05 to +0.14R can't be told apart from zero. Education, not trading advice.

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