Intraday breakout on Nasdaq futures with a confirmation filter
Backtest results · hypothetical, not live
2020–today, NQ with a partial profit target
Performance
Detail
Results from a single backtest on QuantConnect. Costs and slippage modeled per the strategy's deployment specification.
About
An intraday strategy on Nasdaq futures built from an intraday breakout signal paired with a confirmation filter. Exits use a partial profit target and a trailing stop, and every position is closed by the session close.
The strategy works since 2020 and shows a Sharpe above 1.0 with a max drawdown under 16%. It survives 2-tick slippage modeling, which filters out many intraday strategies that look good on paper. The edge is narrower and the confidence is lower than the other models shown here. This is included as a strategy with real alpha that is still accumulating track record.