NQ: VWAP pullback
Trade with the trend when price pulls back to the day's VWAP. Backtested on real CME NQ 1-minute bars.
Short answer
We backtested the VWAP pullback on NQ (Nasdaq-100 futures (NQ and MNQ)) using real CME 1-minute bars from 2 Jan 2023 to 18 Oct 2026. It took 422 trades, won 33.2% of them and made -$1,806 after costs, an average of -0.02R 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 19:00 to 00:30 IST in summer or 20:00 to 01:30 IST in winter (09:30 to 15:00 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
Mon, 5 Oct 2026, long. In at 09:58 EST (09:58 New York), out at 10:26 EST (10:26 New York). 10-minute candles, 1 MNQ, $93 at risk.
- Setup
- VWAP from the open. The side is where the close is relative to VWAP after 15 minutes, at least 0.10% away09:45 to 15:00 EST (09:45 to 15:00 New York)
- Entry
- Limit order one tick past VWAP on the first pullback to it
- Stop
- 0.15% of the entry price
- Target
- 2R, twice the distance to the stop
- Time exit
- Flat by this time at the latest15:30 EST (15:30 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 -0.02 against -0.09 on random-walk copies of the same days (±0.03): no better than chance.
- At least 300 trades422
- Average R of +0.10 or more-0.02
- t-statistic of 3 or more-0.2
- Beats a random walk by 0.10R+0.08R over -0.09R
- Profitable in 3 of 4 years2 of 4
- Positive out-of-sample (2025 on)+0.00R
- Profit factor of 1.2 or more0.94
- Max drawdown within $1,000-$3,833
Net profit
-$1,806
after $745 costs
Trades
422
on 43.0% of days
Win rate
33.2%
avg win $220, avg loss -$116
Average R
-0.02
95% range -0.16 to +0.12
Profit factor
0.94
expectancy -$4 a trade
Max drawdown
-$3,833
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.
- 202340%
- 202437%
- 202543%
- 202653%
| Reason for no trade | Days | Share of all days |
|---|---|---|
| no clear side | 532 | 54.2% |
| no pullback to VWAP | 24 | 2.4% |
| no bars after the anchor | 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 | 201 | 32.8% | -$908 | -0.03 | 0.95 | -$3,671 |
| Out-of-sample 2025 to Oct 2026 | 221 | 33.5% | -$899 | 0.00 | 0.94 | -$2,731 |
| By year | Trades | Win rate | Net | Avg R | Profit factor | Max drawdown |
|---|---|---|---|---|---|---|
| 2023 | 104 | 30.8% | -$1,206 | -0.09 | 0.87 | -$3,417 |
| 2024 | 97 | 35.1% | $298 | +0.03 | 1.04 | -$2,084 |
| 2025 | 111 | 30.6% | -$1,451 | -0.08 | 0.84 | -$2,356 |
| 2026 | 110 | 36.4% | $553 | +0.08 | 1.09 | -$770 |
| By side | Trades | Win rate | Net | Avg R | Profit factor | Max drawdown |
|---|---|---|---|---|---|---|
| Long | 212 | 31.1% | -$2,384 | -0.08 | 0.86 | -$3,888 |
| Short | 210 | 35.2% | $578 | +0.04 | 1.04 | -$2,481 |
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 | 422 | 33.2% | -$1,806 | -0.02 | 0.94 | -$3,833 | - |
| Target 1R | 422 | 48.6% | -$2,626 | -0.03 | 0.90 | -$4,588 | 560 |
| Target 1.5R | 422 | 38.6% | -$3,389 | -0.04 | 0.89 | -$5,090 | 560 |
| Target 3R | 422 | 28.0% | $1,962 | +0.07 | 1.06 | -$3,395 | 560 |
| Stop 0.10% | 422 | 29.9% | -$7,860 | -0.11 | 0.80 | -$10,739 | 560 |
| Stop 0.20% | 422 | 38.2% | $4,875 | +0.12 | 1.18 | -$1,921 | 560 |
| Side needs 0.20% | 141 | 29.1% | -$2,176 | -0.13 | 0.81 | -$2,892 | 841 |
| Risk budget $250 | 422 | 33.2% | -$2,964 | -0.02 | 0.95 | -$8,023 | 560 |
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 127
- Failed on drawdown 561
- Unfinished 294
18.5% of finished attempts passed, in a median of 65 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 -0.02R with a 95% range of -0.16 to +0.12R 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.
- GC: VWAP pullbackTrade with the trend when price pulls back to the day's VWAP.
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