NQ Volatility Breakout

A semi-hourly intraday strategy on the Nasdaq-100 futures contract. The system measures the typical range of price moves at each half-hour mark over the past several weeks and waits for the current session to break decisively beyond that range. When it does, the strategy takes a directional position and holds it only intraday. Every trade is flat by the close.

Liquid index futures consistently exhibit short bursts of directional pressure that compound through the trading day. By acting only when a move is unusually strong relative to recent precedent, the strategy filters out routine noise and concentrates on the days that matter. A volatility-aware position sizing keeps risk per trade roughly constant whether markets are calm or turbulent.

Entry: at each half-hour decision mark, the system goes long when the current price has cleared the upper edge of a recent volatility envelope, or short when it has cleared the lower edge. Exit: a trailing stop tied to session VWAP closes the trade when price retreats back through VWAP from a winning side. Any open position is liquidated at session close.

Two risk tiers of the same strategy are shown side-by-side. The interesting comparison is how much additional CAGR a more aggressive sizing buys, and what it costs in drawdown. A separate 2015–2020 out-of-sample window is included as an honesty check on an earlier NQ regime.