NQ: Overnight range at the open
Break of the overnight high or low at the open, then a retest. Backtested on real CME NQ 1-minute bars.
Short answer
We backtested the Overnight range at the open on NQ (Nasdaq-100 futures (NQ and MNQ)) using real CME 1-minute bars from 2 Jan 2023 to 18 Oct 2026. It took 730 trades, won 30.8% of them and made -$12,284 after costs, an average of -0.10R 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 0.18R better, so the gap is small and not reliable. 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
Mon, 5 Oct 2026, long. In at 10:22 EST (10:22 New York), out at 10:25 EST (10:25 New York). 5-minute candles, 9 MNQ, $144 at risk.
- Levels
- The overnight high and low09:30 to 11:30 EST (09:30 to 11:30 New York)
- Setup
- A bar closes at least a tick beyond the level
- Entry
- Limit order one tick beyond the level when price comes back to it within 30 minutes
- Stop
- One tick beyond the worst price from the start of the break bar to the bar before the retest
- 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 barFixed before any strategy was run. Every check must hold after costs. Average R is -0.10 against -0.28 on random-walk copies of the same days (±0.03): clearly above chance.
- At least 300 trades730
- Average R of +0.10 or more-0.10
- t-statistic of 3 or more-2.0
- Beats a random walk by 0.10R+0.17R over -0.28R
- Profitable in 3 of 4 years0 of 4
- Positive out-of-sample (2025 on)-0.16R
- Profit factor of 1.2 or more0.81
- Max drawdown within $1,000-$12,751
Net profit
-$12,284
after $4,229 costs
Trades
730
on 74.3% of days
Win rate
30.8%
avg win $239, avg loss -$131
Average R
-0.10
95% range -0.20 to 0.00
Profit factor
0.81
expectancy -$17 a trade
Max drawdown
-$12,751
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.
- 202378%
- 202473%
- 202578%
- 202666%
| Reason for no trade | Days | Share of all days |
|---|---|---|
| no setup in the window | 234 | 23.8% |
| stop too tight to trade | 10 | 1% |
| no bars in the window | 4 | 0.4% |
| one micro risks more than the budget | 4 | 0.4% |
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 | 392 | 32.9% | -$4,778 | -0.05 | 0.86 | -$6,933 |
| Out-of-sample 2025 to Oct 2026 | 338 | 28.4% | -$7,506 | -0.16 | 0.76 | -$8,588 |
| By year | Trades | Win rate | Net | Avg R | Profit factor | Max drawdown |
|---|---|---|---|---|---|---|
| 2023 | 202 | 32.7% | -$2,012 | -0.05 | 0.89 | -$3,714 |
| 2024 | 190 | 33.2% | -$2,767 | -0.04 | 0.83 | -$4,852 |
| 2025 | 202 | 29.2% | -$4,245 | -0.14 | 0.77 | -$5,327 |
| 2026 | 136 | 27.2% | -$3,260 | -0.20 | 0.74 | -$3,884 |
| By side | Trades | Win rate | Net | Avg R | Profit factor | Max drawdown |
|---|---|---|---|---|---|---|
| Long | 389 | 33.7% | -$2,496 | -0.02 | 0.93 | -$4,158 |
| Short | 341 | 27.6% | -$9,788 | -0.20 | 0.69 | -$9,904 |
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 | 730 | 30.8% | -$12,284 | -0.10 | 0.81 | -$12,751 | - |
| Target 1R | 730 | 42.7% | -$17,243 | -0.16 | 0.68 | -$17,552 | 252 |
| Target 1.5R | 730 | 35.6% | -$14,548 | -0.13 | 0.76 | -$15,132 | 252 |
| Target 3R | 730 | 24.2% | -$9,904 | -0.08 | 0.86 | -$11,276 | 252 |
| Retest in 15 min | 720 | 31.2% | -$11,316 | -0.09 | 0.83 | -$11,783 | 262 |
| Retest in 60 min | 738 | 30.6% | -$12,534 | -0.11 | 0.81 | -$13,001 | 244 |
| Sweep and reverse | 739 | 32.2% | -$8,442 | -0.05 | 0.87 | -$12,750 | 243 |
| Risk budget $250 | 734 | 30.8% | -$16,820 | -0.10 | 0.83 | -$17,586 | 248 |
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 60
- Failed on drawdown 873
- Unfinished 49
6.4% of finished attempts passed, in a median of 31.5 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 -0.10R with a 95% range of -0.20 to 0.00R 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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