u/jerry_farmer ·
Reddit — r/algotrading
· April 10, 2026 at 08:34
· ⬆ 23 pts
· 💬 11 comments
| View on Reddit ↗
AI Summary
Summary
The post is an update from a quant trader detailing improvements to a high-frequency mean reversion scalping algorithm originally for Nasdaq and now adapted to Gold.
The author's thesis is that a mean reversion strategy on a 5-second timeframe, enhanced with a volatility filter and consolidated logic, can generate good live results on both Nasdaq and Gold futures.
Quality assessment: Noise/Speculation. While the author claims live results, no verifiable data, equity curves, or statistical performance metrics are provided. The post is a progress update lacking the rigor of well-researched due diligence.
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Comments11
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Following my previous post ([Link](https://www.reddit.com/r/algotrading/comments/1rtepah/how_i_improved_results_on_a_scalping_algo_mean/) ) here are my new Nasdaq Scalping results following your advices. I also adapted the algo on Gold for some diversification (2nd screenshot).
For those who didn't see my previous post, it's a mean reversion strategy working on 5sec timeframe, and yes slippage is included in backtests.
Both are running live now (Nasdaq has been running for almost 3 months) and give very good results, except on some days with Iran war related surprise news...
Improvements:
\- I was running 2 different sets of settings in parallel for different regimes, I combined the 2 sets into one single strategy to avoid a double trigger and have better control on sizing.
\- Added a max volatility filter to avoid entering a trade in extreme volatility.
\- Added a "lunch pause" that mostly decreased overall perf, even if I miss a positive trade sometimes.
I've tried so many extra filters / rules that mostly resulted to overfitting. I'm currently working on a dynamic sizing that slightly improve results, nothing crazy.
Thank you for all your comments and advices on my previous post, it helped a lot!
If you have any other advices or want to team up, let me know!
The author has successfully adapted the same 5-second mean reversion scalping algorithm to trade Gold (assumed GC futures, proxied by GLD). This implies the identified market microstructure inefficiency or behavior pattern is not unique to Nasdaq but also present in Gold markets. The adaptation for diversification highlights Gold as a viable asset for this specific HFT strategy, though it provides no directional view. Same as Nasdaq risks; Gold may have different liquidity and volatility characteristics that could impact performance.
The author has a live, 5-second mean reversion scalping algorithm running on Nasdaq (assumed NQ futures, proxied by QQQ) for three months with "very good results." The algorithm's success suggests short-term, mean-reverting behavior exists in the Nasdaq, which could be exploited by similar strategies. This is not a direct trade call but an indicator that a specific, high-frequency approach is currently perceived as viable by one developer. Strategy fails during high-volatility news events (e.g., geopolitical); potential overfitting; no proof of stated results; high execution/slippage risk for non-HFT.
This Reddit post, published April 10, 2026,
features u/jerry_farmer
discussing GLD, QQQ.
2 trade ideas extracted by AI with direction and confidence scoring.