NQ: Gap fill
Fade large gaps from the previous regular-hours close back toward it. Backtested on real CME NQ 1-minute bars.
Short answer
We backtested the Gap fill on NQ (Nasdaq-100 futures (NQ and MNQ)) using real CME 1-minute bars from 2 Jan 2023 to 18 Oct 2026. It took 517 trades, won 19.7% of them and made -$13,366 after costs, an average of -0.21R per trade. It did not clear the bar: it failed 7 of 8 tests, including "Average R of +0.10 or more". Against a random-walk copy of the same data it scored 0.31R worse, so it did worse than chance. It trades 19:00 to 21:30 IST in summer or 20:00 to 22:30 IST in winter (09:30 to 12:00 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
Thu, 1 Oct 2026, short. In at 09:35 EST (09:35 New York), out at 10:00 EST (10:00 New York). 5-minute candles, 1 MNQ, $96 at risk.
- Setup
- The 09:30 New York open is at least 0.20% away from the previous regular-hours close
- Entry
- Fade the gap at the open of the 09:35 bar09:35 to 12:00 EST (09:35 to 12:00 New York)
- Stop
- One tick beyond the high or low of the first minutes
- Target
- The previous close, if that is at least 1R away
- Time exit
- Flat by this time at the latest12:00 EST (12:00 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 barFixed before any strategy was run. Every check must hold after costs. Average R is -0.21 against +0.10 on random-walk copies of the same days (±0.07): worse than chance.
- At least 300 trades517
- Average R of +0.10 or more-0.21
- t-statistic of 3 or more-2.2
- Beats a random walk by 0.10R-0.31R over +0.10R
- Profitable in 3 of 4 years0 of 4
- Positive out-of-sample (2025 on)-0.27R
- Profit factor of 1.2 or more0.74
- Max drawdown within $1,000-$13,366
Net profit
-$13,366
after $2,095 costs
Trades
517
on 52.6% of days
Win rate
19.7%
avg win $378, avg loss -$125
Average R
-0.21
95% range -0.38 to -0.01
Profit factor
0.74
expectancy -$26 a trade
Max drawdown
-$13,366
vs $1,000 allowed on a $25K account
Equity curve
Running net profit, by quarter
By year
Net profit, and trades taken
How trades ended
Net profit by exit type
Days with a trade
Share of each year's trading days on which the strategy traded, and why the other days had no trade.
- 202352%
- 202458%
- 202550%
- 202650%
| Reason for no trade | Days | Share of all days |
|---|---|---|
| gap too small | 320 | 32.6% |
| one micro risks more than the budget | 75 | 7.6% |
| reward below the minimum | 44 | 4.5% |
| stop too tight to trade | 21 | 2.1% |
| no previous close | 5 | 0.5% |
Breakdowns
Nothing is tuned on the out-of-sample years: 2023 to 2024 is the in-sample period, 2025 on is out-of-sample.
| Period | Trades | Win rate | Net | Avg R | Profit factor | Max drawdown |
|---|---|---|---|---|---|---|
| In-sample 2023 to 2024 | 283 | 21.2% | -$5,688 | -0.16 | 0.80 | -$5,765 |
| Out-of-sample 2025 to Oct 2026 | 234 | 17.9% | -$7,678 | -0.27 | 0.67 | -$7,678 |
| By year | Trades | Win rate | Net | Avg R | Profit factor | Max drawdown |
|---|---|---|---|---|---|---|
| 2023 | 134 | 22.4% | -$1,577 | -0.11 | 0.88 | -$3,386 |
| 2024 | 149 | 20.1% | -$4,110 | -0.22 | 0.72 | -$4,258 |
| 2025 | 130 | 18.5% | -$2,290 | -0.17 | 0.82 | -$5,754 |
| 2026 | 104 | 17.3% | -$5,389 | -0.39 | 0.49 | -$5,742 |
| By side | Trades | Win rate | Net | Avg R | Profit factor | Max drawdown |
|---|---|---|---|---|---|---|
| Long | 227 | 21.6% | -$3,082 | -0.10 | 0.86 | -$4,050 |
| Short | 290 | 18.3% | -$10,284 | -0.30 | 0.65 | -$10,842 |
Rule variations
Small changes to the rules, to check the result is not fragile. They are never used to choose the rules.
| Variation | Trades | Win rate | Net | Avg R | Profit factor | Max drawdown | Days skipped |
|---|---|---|---|---|---|---|---|
| Primary rules | 517 | 19.7% | -$13,366 | -0.21 | 0.74 | -$13,366 | - |
| Gap at least 0.10% | 594 | 20.2% | -$13,138 | -0.16 | 0.78 | -$13,333 | 388 |
| Gap at least 0.30% | 432 | 19.0% | -$9,840 | -0.20 | 0.77 | -$10,446 | 550 |
| Enter at 09:45 | 431 | 22.0% | $7,718 | +0.14 | 1.18 | -$6,063 | 551 |
| Reward at least 0.5R | 543 | 22.3% | -$12,556 | -0.19 | 0.76 | -$12,556 | 439 |
| Risk budget $250 | 552 | 20.3% | -$21,056 | -0.21 | 0.76 | -$21,440 | 430 |
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 121
- Failed on drawdown 836
- Unfinished 25
12.6% of finished attempts passed, in a median of 19 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 -0.21R with a 95% range of -0.38 to -0.01R can't be told apart from zero. Education, not trading advice.
More 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.
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