Multi-Futures Daily Breakout

An intraday breakout strategy on Nasdaq and S&P futures with a daily-frame decision: one entry signal per session, evaluated against the previous day's price action. The system enters when intraday price clears a small fraction of the recent average true range, exits on a static stop or at session close, and risks a fixed fraction of equity per trade with risk bounded by the stop distance.

Entry: a single intraday breakout level is set from yesterday's range; the system enters at that level if it is reached during the session. Exit: a static price-distance stop or session-close liquidation, whichever comes first.

The simplicity is intentional: a robust, parameter-light setup whose edge has held across multiple instruments (full-size NQ and ES, the equivalent micro contracts, and equity ETFs). Costs are modeled pessimistically: every trade is costed as if execution were against retail-grade fills at a major broker, with slippage applied as a price adjustment on top of commissions.

The 2015-onwards window shows stronger results than the 2008–2014 out-of-sample stress test. Two regime differences appear to drive the gap. Post-2020 intraday sessions show more sustained directional moves once a break is established, while the 2008–2014 era was choppier with frequent reversals that pay breakout systems poorly. The same strategy is run identically across both windows; the difference is in how price has actually behaved.

Currently in a four-week real-broker paper validation phase. The live deployment decision is gated on that phase clearing pre-defined slippage and execution-quality bars.