Intraday momentum breakout reproduced across Nasdaq and S&P
Backtest results · hypothetical, not live
Higher leverage: more CAGR, more drawdown
Performance
Detail
Results from a single backtest on QuantConnect. Costs and slippage modeled per the strategy's deployment specification.
About
An intraday momentum breakout strategy that has been reproduced across both major US index families, the Nasdaq-100 and the S&P 500, using both futures contracts and equity ETFs. The same underlying dynamic appears regardless of which instrument is used. This cross-symbol consistency is the strongest evidence that the edge is structural rather than an artifact of one instrument's microstructure.
Two variants are included. Both define an intraday breakout level from recent price behavior and enter when the session moves decisively beyond it. Both exit intraday; every trade is flat by the close.
A volatility-aware position sizing keeps risk per trade roughly constant whether markets are calm or turbulent. Costs are modeled pessimistically: every trade is costed as if execution were against retail-grade fills, with slippage applied as a price adjustment on top of commissions.
Multiple risk tiers and out-of-sample windows are included to show how the edge behaves across different capital levels, leverage choices, and market regimes. Currently in live simulation, returning +3% so far.