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Backtested a combined intraday mean reversion strategy on ES + NQ futures (2010-2026)
Built a rules-based strategy using 4-5 technical conditions that must all align simultaneously on a completed 15-min bar. Signal identifies genuine intraday capitulation moves in uptrending markets. No discretion — fully mechanical.
Strategy rules:
• Long only
• 15-min bars, RTH only
• Entry at market on next bar open
• Stop: 0.30% below fill
• Target: 0.75% above fill (2.5:1 R:R)
• EOD forced flat — zero overnight exposure
• One trade per day maximum per instrument
• Holiday and early-close calendar aware
ES (1 contract, $50/pt)
Full 2010-2026: 157 trades | 65.0% WR | PF 4.97 | $11,106/yr | MaxDD $2,828 | Sharpe 2.48 | Calmar 3.93
OOS 2019-2026: 146 trades | 67.8% WR | PF 5.29 | $22,191/yr | MaxDD $2,828 | Sharpe 3.63 | Calmar 7.85
NQ (1 contract, $20/pt)
Full 2010-2026: 163 trades | 60.7% WR | PF 4.29 | $12,841/yr | MaxDD $3,944 | Sharpe 1.80 | Calmar 3.05
OOS 2019-2026: 137 trades | 64.2% WR | PF 5.29 | $26,587/yr | MaxDD $3,944 | Sharpe 2.75 | Calmar 6.74
Combined Portfolio (1 ES + 1 NQ)
OOS Annual: \~$48,778 | Combined MaxDD: \~$5,500 | Combined Calmar: \~7.2 | Positive months: 72% | Breakeven WR: \~29% | Actual WR: 65-68%
OOS Year by Year (ES + NQ Combined)
2019: +$4,686
2020: +$1,781
2021: -$906
2022: +$5,190
2023: +$64,916
2024: +$132,281
2025: +$119,440
2026 partial: +$12,348
Methodology notes:
• Data: Databento 1-min OHLCV resampled to 15-min, 2010-2026
• Costs: 1 tick slippage each way + $4.50 commission per trade
• IS period 2010-2018: strategy barely fired — regime dependent
• OOS period 2019-2026: 137-146 trades per instrument
• Zero lookahead bias verified — signal on completed bar, entry at next bar open
• Currently live paper trading on Interactive Brokers with automated execution bot
Questions for the community:
1. OOS Sharpe of 3.63 on ES — is this realistic or am I missing something in my backtest methodology?
2. 2023-2025 dominate returns heavily — how concerned should I be about regime dependency and is there a standard way to stress test this?
3. What additional robustness checks would you run before going live with real capital?
4. Kelly fraction comes out \~55%, using half Kelly at 27.5% for scaling — does this seem appropriate given the trade frequency (\~20 trades/yr per instrument)?
5. The IS period (2010-2018) had almost no signals — strategy is clearly regime dependent on elevated intraday volatility. Is this a disqualifying characteristic or acceptable given the mechanical explanation for why it works?