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NQ: 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. Backtested on real CME NQ 1-minute bars.

Short answer

We backtested the 9:30 opening range breakout on NQ (Nasdaq-100 futures (NQ and MNQ)) using real CME 1-minute bars from 2 Jan 2023 to 18 Oct 2026. It took 433 trades, won 47.3% of them and made $2,110 after costs, an average of +0.06R 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 0.01R worse, so there is no clear edge over chance. It trades 19:00 to 21:00 IST in summer or 20:00 to 22:00 IST in winter (09:30 to 11:30 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

09:0009:00 New York09:3009:30 New York10:0010:00 New York10:3010:30 New York11:0011:00 New York11:3011:30 New YorkRangeTime exit limitStop29,844.75Target29,703.00Sell 29,797.50Target hit+2.00R · +$188

Fri, 18 Sept 2026, short. In at 09:48 EST (09:48 New York), out at 10:16 EST (10:16 New York). 5-minute candles, 1 MNQ, $95 at risk.

Range
The first 15 minutes after the start09:30 to 09:45 EST (09:30 to 09:45 New York)
Entry
First break one tick beyond the range, stop order09:45 to 11:30 EST (09:45 to 11:30 New York)
Stop
Opposite side of the range
Target
2R, twice the distance to the stop
Time exit
Flat by this time at the latest11:30 EST (11:30 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 +0.06 against +0.07 on random-walk copies of the same days (±0.02): no better than chance.

  • At least 300 trades433
  • Average R of +0.10 or more+0.06
  • t-statistic of 3 or more1.1
  • Beats a random walk by 0.10R-0.01R over +0.07R
  • Profitable in 3 of 4 years2 of 4
  • Positive out-of-sample (2025 on)+0.06R
  • Profit factor of 1.2 or more1.09
  • Max drawdown within $1,000-$1,772

Net profit

$2,110

after $509 costs

Trades

433

on 44.1% of days

Win rate

47.3%

avg win $120, avg loss -$99

Average R

+0.06

95% range -0.04 to +0.16

Profit factor

1.09

expectancy $5 a trade

Max drawdown

-$1,772

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

Equity curve

Running net profit, by quarter

-$2,000-$1,000$0$1,000$2,000$3,00023Q123Q1: -$11423Q2: -$64123Q323Q3: -$1,03823Q4: -$1,42224Q124Q1: -$65624Q2: -$55824Q324Q3: $1,17024Q4: $1,76625Q125Q1: $2,13525Q2: $2,29625Q325Q3: $2,70125Q4: $2,15426Q126Q1: $2,18826Q2: $1,81626Q326Q3: $2,110

By year

Net profit, and trades taken

-$1,4222023182 trades$3,1882024162 trades$388202576 trades-$44202613 trades

How trades ended

Net profit by exit type

-$20,484Stop175 trades, -1.01R$13,251Target60 trades, +2.00R$9,344Time exit198 trades, +0.41R

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
    71%
  • 2024
    63%
  • 2025
    29%
  • 2026
    6%
Reason for no tradeDaysShare of all days
one micro risks more than the budget54355.3%
no bar at the start of the range40.4%
no breakout before the time exit20.2%

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 202434446.8%$1,766+0.061.10-$1,772
Out-of-sample 2025 to Oct 20268949.4%$344+0.061.08-$1,330
By yearTradesWin rateNetAvg RProfit factorMax drawdown
202318244.5%-$1,422-0.060.86-$1,724
202416249.4%$3,188+0.181.40-$673
20257650.0%$388+0.061.11-$902
20261346.2%-$44+0.070.95-$708
By sideTradesWin rateNetAvg RProfit factorMax drawdown
Long23548.9%$1,315+0.061.11-$1,602
Short19845.5%$796+0.061.08-$1,319

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 rules43347.3%$2,110+0.061.09-$1,772-
Target 1R43353.1%$1,804+0.051.09-$2,092549
Target 1.5R43349.2%$2,561+0.061.12-$1,519549
Target 3R43346.4%$3,112+0.081.14-$1,213549
Range 5 min69839.5%-$8360.000.98-$4,480284
Range 30 min24154.4%$2,104+0.091.23-$789741
Stop at the middle83636.5%-$3,396-0.010.95-$5,571146
Risk budget $25075448.8%$9,552+0.071.16-$3,796228

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 263
  • Failed on drawdown 425
  • Unfinished 294

38.2% of finished attempts passed, in a median of 130 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 +0.06R with a 95% range of -0.04 to +0.16R can't be told apart from zero. Education, not trading advice.

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