Morning Dip Limit — a promising lead
An NQ futures scalp: on choppy mornings, rest a buy limit one ATR below the last 3-minute close, and take profit at the middle of that candle if a fast flush fills it. Shared for transparency and so others can test it. I am not confident in it yet.
NQ · long only 09:00–11:00 CT 3-min candles ~2 trades/day Jan 2 – Sep 25, 2026 1-second data
Status: research lead, not armed. Every number below is a backtest with modelled fills and fees on 1 NQ ($20/point, $2.25 per side). The rules came out of many looks at 2026 data. Aug 19 – Sep 25 is treated as out of sample. The download has every trade and a reference implementation that reproduces them exactly. Please try to break it.
Update Sep 28, 2026: 2010–2025 on 1-second data. We obtained 16 years of Databento 1-second NQ bars (real contracts, no price adjustment; on Aug 6 2026 it matches our NT8 feed on 23,221 of 23,223 seconds). The same rule, unchanged, 3-minute start 0, 1 NQ: 2010–2019 negative every year (PF 0.45–0.86), 2020–2024 about break-even (PF 0.97–1.02), 2025 +$11.8K at start 0 but −$6.8K to −$16.4K at the other four start times, 2010–2025 total −$48.6K (mean of five runs −$58.2K). 2026 is the best of 17 years by a wide margin. The near-market control lost more than the rule in both check years, so the dip distance still does work, but the edge did not exist before 2025 in this data. Details, per-year table and trade lists: MORNING_DIP_HISTORY_FINDINGS.md (added to the download).
01 The rules
Build 3-minute candles from 1-second NQ bars (UTC grid). ATR = simple mean of the last 14 true ranges. ER = |close change over 15 candles| ÷ sum of |close-to-close changes|.
From 09:00 to 11:00 CT , when a candle closes with ER ≤ 0.35 (choppy), arm a buy limit at close − 1.0 × ATR one second later.
The limit fills only if price trades 1 tick through it. Cancel after 9 minutes .
Target: the signal candle's high-low midpoint. Stop: 1.5 × ATR below the limit. Time stop: 15 minutes. Flat at 11:00 CT. One order or position at a time.Fill model: stops and market exits slip 1 tick; the fill second can stop but not target; inside each second the adverse move comes first.
02 Headline stats
3-minute version, 1 NQ, average of 10 candle start times (0, 18 … 162 s). Drawdown on daily closes.
Net, Jan 2–Sep 25 +$34,986
Trades 398
Trades / day 2.2
Win rate 62%
Profit factor 1.28
Avg win / loss $646 / −$834
Max drawdown $14.2K
Worst day −$4.9K
03 Equity curve
01/26 +$2.0K
02/26 +$8.8K
03/26 +$1.5K
04/26 +$3.8K
05/26 +$4.7K
06/26 −$2.7K
07/26 +$11.0K
08/26 +$1.2K
09/26 +$4.7K
04 The good, the bad and the ugly
The good
Positive at all 10 candle start times in every period.
A plateau, not a spike: every candle length from 2.5 to 5 minutes is positive.
All 13 nearby parameter settings are positive.
Placing the limit near the price loses money, so the dip distance does the work.
Out of sample (Aug 19 – Sep 25, Polygon data): +$8.3K, PF 1.92, 10/10 start times positive.
An independent re-implementation reproduced all 395 trades to the cent.
The bad
2025 is flat: +$5.5K on 593 trades, PF 1.03 (1-minute data).
ES does not work: −$6.7K May–Aug 2026, −$15.9K in 2025.
The short side loses. It may partly be a 2026 NQ uptrend effect.
Trend filters flip sign between 2025 and 2026, so none is used.
Sep 24–25 was flat.
The ugly
Drawdown of $8K–$22K at 1 NQ from late May to Jun 22, depending on start time. Worst days −$4.3K and −$3.8K.
Wins are smaller than losses. It needs about a 56% win rate to break even.
Resting limits fill on hard flushes. There is no bid/ask or queue data, so live fills may be worse.
In MNQ, commissions take about 15% of gross profit.
It simplifies a rule found in a large grid search on the same year.
05 Candle start time
Each 3-minute candle can start at 0, 18 … 162 seconds. A fragile rule usually breaks when the start moves.
06 Candle length
Same rules counted in candles, 5 start times each, 1 NQ.
07 Which parts matter
08 Other data and markets
09 Every trade (3-minute, start 0 s)
395 trades, 1 NQ, times in CT. All 15 start-time versions are in the download.
Date Entry Exit Limit Exit px Stop pts Target pts Exit type Net $ Cum $ 2026-01-02 09:18:04 09:24:35 25,553.75 25,478.50 75.00 76.75 stop -1,509.5 -1,510 2026-01-02 09:49:14 09:52:01 25,532.25 25,457.00 75.00 57.25 stop -1,509.5 -3,019 2026-01-02 10:12:06 10:13:42 25,300.50 25,341.25 77.50 40.75 target +810.5 -2,208 2026-01-02 10:51:59 11:00:00 25,321.50 25,341.00 66.75 53.50 schedule +385.5 -1,823 2026-01-05 10:34:54 10:38:25 25,678.25 25,688.50 25.50 10.25 target +200.5 -1,622 2026-01-05 10:41:28 10:43:05 25,673.75 25,682.75 24.00 9.00 target +175.5 -1,447 2026-01-05 10:56:38 11:00:00 25,669.25 25,658.75 26.25 25.00 schedule -214.5 -1,662 2026-01-06 09:36:52 09:51:52 25,736.50 25,725.25 36.25 25.50 time -229.5 -1,891 2026-01-06 10:00:11 10:15:11 25,672.25 25,672.25 36.00 39.50 time -4.5 -1,896 2026-01-06 10:43:40 10:47:05 25,661.50 25,680.75 32.25 19.25 target +380.5 -1,515 2026-01-07 09:17:17 09:25:06 25,829.25 25,861.50 45.00 32.25 target +640.5 -874 2026-01-07 09:38:55 09:39:00 25,871.25 25,830.50 40.50 17.75 stop -819.5 -1,694 2026-01-07 10:24:30 10:39:30 25,900.50 25,907.00 33.50 23.75 time +125.5 -1,568 2026-01-08 09:35:17 09:41:08 25,659.25 25,691.50 54.75 32.25 target +640.5 -928 2026-01-08 09:47:40 09:58:35 25,654.25 25,665.00 55.00 10.75 target +210.5 -718 2026-01-08 10:08:02 10:12:06 25,650.25 25,652.25 51.00 2.00 target +35.5 -682 2026-01-08 10:30:21 10:45:19 25,615.50 25,656.75 47.25 41.25 target +820.5 +138 2026-01-08 10:52:07 10:58:46 25,640.00 25,663.75 44.00 23.75 target +470.5 +609 2026-01-09 09:41:52 09:56:52 25,814.25 25,788.50 83.50 37.50 time -519.5 +90 2026-01-12 09:33:04 09:48:04 25,885.75 25,888.25 43.00 36.75 time +45.5 +135 2026-01-13 09:18:42 09:33:42 25,870.00 25,848.75 67.25 40.50 time -429.5 -294 2026-01-13 09:41:23 09:46:36 25,825.25 25,846.50 52.50 21.25 target +420.5 +126 2026-01-13 09:48:58 09:50:19 25,817.25 25,840.00 44.50 22.75 target +450.5 +576 2026-01-14 09:30:04 09:45:04 25,602.75 25,558.75 74.00 66.25 time -884.5 -308 2026-01-14 10:35:16 10:45:13 25,550.25 25,507.25 42.75 25.50 stop -864.5 -1,172 2026-01-14 10:51:09 11:00:00 25,455.50 25,459.25 44.75 40.75 schedule +70.5 -1,102 2026-01-15 09:28:41 09:30:46 25,855.00 25,879.75 59.25 24.75 target +490.5 -612 2026-01-15 09:44:15 09:48:18 25,869.00 25,817.00 51.75 32.50 stop -1,044.5 -1,656 2026-01-20 09:47:39 10:01:12 25,360.00 25,389.00 62.50 29.00 target +575.5 -1,080 2026-01-20 10:15:21 10:29:25 25,384.25 25,406.25 54.00 22.00 target +435.5 -645 2026-01-20 10:42:26 10:57:26 25,376.00 25,394.25 52.25 31.25 time +360.5 -284 2026-01-21 10:32:12 10:36:32 25,433.00 25,396.25 36.50 27.50 stop -739.5 -1,024 2026-01-23 10:28:09 10:32:56 25,793.00 25,766.50 26.25 19.75 stop -534.5 -1,558 2026-01-23 10:45:38 10:47:13 25,798.50 25,815.00 31.50 16.50 target +325.5 -1,233 2026-01-26 09:44:20 09:45:45 25,834.25 25,858.25 34.75 24.00 target +475.5 -758 2026-01-26 10:00:03 10:00:45 25,869.00 25,892.00 35.00 23.00 target +455.5 -302 2026-01-26 10:18:56 10:22:39 25,868.50 25,888.75 31.75 20.25 target +400.5 +98 2026-01-27 09:52:32 10:05:37 26,067.50 26,090.50 29.00 23.00 target +455.5 +554 2026-01-27 10:29:10 10:44:10 26,089.75 26,096.25 20.00 12.75 time +125.5 +680 2026-01-27 10:46:35 10:49:06 26,079.75 26,094.75 15.75 15.00 target +295.5 +975 2026-01-27 10:52:08 10:52:32 26,082.75 26,089.50 15.75 6.75 target +130.5 +1,106 2026-01-27 10:59:49 11:00:00 26,080.50 26,079.75 16.25 7.00 schedule -19.5 +1,086 2026-01-28 10:22:00 10:29:24 26,157.25 26,179.75 31.75 22.50 target +445.5 +1,532 2026-01-28 10:30:57 10:42:08 26,164.00 26,135.75 28.00 11.00 stop -569.5 +962 2026-01-29 09:50:06 10:05:06 25,588.50 25,563.00 78.25 38.00 time -514.5 +448 2026-01-30 09:29:06 09:35:38 25,812.50 25,876.75 82.50 64.25 target +1,280.5 +1,728 2026-01-30 10:18:08 10:33:08 25,785.75 25,819.50 66.25 46.50 time +670.5 +2,398 2026-01-30 10:52:01 11:00:00 25,772.50 25,757.25 58.25 49.75 schedule -309.5 +2,089 2026-02-02 09:56:38 10:10:04 25,831.50 25,852.25 42.25 20.75 target +410.5 +2,500 2026-02-02 10:40:33 10:55:33 25,866.75 25,879.50 34.75 25.50 time +250.5 +2,750 2026-02-03 09:53:01 09:54:44 25,562.00 25,587.75 84.50 25.75 target +510.5 +3,260 2026-02-03 10:05:17 10:20:17 25,562.75 25,547.25 89.25 30.50 time -314.5 +2,946 2026-02-03 10:23:00 10:38:00 25,510.25 25,511.25 62.25 41.25 time +15.5 +2,962 2026-02-03 10:50:44 10:53:14 25,489.50 25,505.50 53.50 16.00 target +315.5 +3,277 2026-02-04 09:36:05 09:38:58 25,141.75 25,227.00 98.75 85.25 target +1,700.5 +4,978 2026-02-04 09:46:05 09:46:39 25,158.00 25,176.00 102.50 18.00 target +355.5 +5,333 2026-02-04 10:03:02 10:18:02 25,078.50 25,073.50 96.50 88.75 time -104.5 +5,228 2026-02-04 10:33:48 10:40:57 25,082.25 25,008.25 73.75 42.25 stop -1,484.5 +3,744 2026-02-05 09:48:53 09:53:17 24,580.25 24,646.50 108.50 66.25 target +1,320.5 +5,064 2026-02-05 10:08:32 10:15:55 24,565.75 24,635.25 96.50 69.50 target +1,385.5 +6,450 2026-02-06 10:56:36 11:00:00 25,005.25 25,000.75 43.00 21.75 schedule -94.5 +6,356 2026-02-10 09:52:35 10:07:35 25,376.75 25,363.25 54.00 28.00 time -274.5 +6,081 2026-02-10 10:21:01 10:27:08 25,358.75 25,372.00 46.25 13.25 target +260.5 +6,342 2026-02-10 10:51:15 11:00:00 25,319.00 25,327.00 43.50 28.75 schedule +155.5 +6,497 2026-02-11 10:27:54 10:40:29 25,211.00 25,240.25 65.25 29.25 target +580.5 +7,078 2026-02-11 10:49:28 11:00:00 25,199.25 25,180.50 60.00 28.25 schedule -379.5 +6,698 2026-02-12 09:33:22 09:40:56 25,183.75 25,111.00 72.50 49.00 stop -1,459.5 +5,238 2026-02-12 09:56:06 10:05:47 25,040.00 24,977.75 62.00 58.75 stop -1,249.5 +3,989 2026-02-13 09:40:08 09:55:08 24,817.25 24,825.75 112.75 55.00 time +165.5 +4,154 2026-02-13 10:21:02 10:26:58 24,787.00 24,826.75 80.25 39.75 target_gap +790.5 +4,945 2026-02-17 09:33:32 09:45:56 24,458.25 24,532.25 103.75 74.00 target +1,475.5 +6,420 2026-02-17 10:57:25 10:57:50 24,739.25 24,757.75 59.50 18.50 target +365.5 +6,786 2026-02-18 10:49:23 10:57:23 25,089.75 25,064.75 24.75 14.50 stop -504.5 +6,282 2026-02-19 09:50:57 09:58:55 24,876.75 24,923.25 68.00 46.50 target +925.5 +7,207 2026-02-19 10:05:47 10:15:21 24,883.50 24,914.25 61.25 30.75 target +610.5 +7,818 2026-02-19 10:28:20 10:43:20 24,890.50 24,878.75 50.75 47.25 time -239.5 +7,578 2026-02-19 10:51:45 10:54:32 24,808.00 24,862.50 52.00 54.50 target +1,085.5 +8,664 2026-02-20 09:32:55 09:39:05 24,941.25 24,997.75 122.50 56.50 target +1,125.5 +9,789 2026-02-20 10:17:34 10:32:34 25,029.00 25,015.75 70.00 66.00 time -269.5 +9,520 2026-02-23 09:52:37 10:02:50 24,785.00 24,728.25 56.50 48.50 stop -1,139.5 +8,380 2026-02-24 10:30:40 10:45:40 24,994.00 24,995.00 38.75 20.00 time +15.5 +8,396 2026-02-25 09:34:20 09:49:20 25,309.75 25,300.50 41.25 21.00 time -189.5 +8,206 2026-02-25 09:55:26 10:00:02 25,269.25 25,298.75 35.75 29.50 target +585.5 +8,792 2026-02-26 10:36:57 10:46:05 25,030.75 24,983.75 46.75 26.75 stop -944.5 +7,847 2026-02-26 10:55:39 11:00:00 24,969.75 24,963.50 42.75 19.75 schedule -129.5 +7,718 2026-02-27 09:51:13 10:00:41 24,956.50 24,988.00 63.00 31.50 target +625.5 +8,343 2026-02-27 10:08:57 10:13:34 24,964.00 24,991.25 57.50 27.25 target +540.5 +8,884 2026-02-27 10:40:07 10:54:33 24,964.50 24,985.50 53.50 21.00 target +415.5 +9,299 2026-03-02 09:22:43 09:23:13 24,869.75 24,912.25 75.00 42.50 target +845.5 +10,144 2026-03-02 09:28:41 09:30:10 24,869.00 24,895.50 75.00 26.50 target +525.5 +10,670 2026-03-02 09:54:08 09:57:06 24,899.00 24,929.25 61.50 30.25 target +600.5 +11,270 2026-03-02 10:26:04 10:38:57 24,904.00 24,956.75 53.00 52.75 target +1,050.5 +12,321 2026-03-03 09:18:45 09:33:45 24,429.25 24,402.50 110.25 88.50 time -539.5 +11,782 2026-03-04 10:12:17 10:27:17 25,080.25 25,100.50 55.00 52.00 time +400.5 +12,182 2026-03-05 09:21:58 09:27:00 25,080.50 25,006.00 74.25 68.50 stop -1,494.5 +10,688 2026-03-05 09:30:39 09:37:19 24,964.50 25,010.50 70.25 46.00 target +915.5 +11,603 2026-03-05 10:10:11 10:25:11 24,992.75 24,989.75 68.25 55.25 time -64.5 +11,538 2026-03-06 09:50:31 09:55:16 24,773.25 24,826.00 66.50 52.75 target +1,050.5 +12,589 2026-03-06 10:55:08 11:00:00 24,851.50 24,880.75 62.00 48.75 schedule +580.5 +13,170 2026-03-09 09:27:20 09:28:18 24,385.50 24,409.50 100.00 24.00 target +475.5 +13,645 2026-03-09 10:36:48 10:45:57 24,593.25 24,632.25 45.75 39.00 target +775.5 +14,420 2026-03-10 10:32:03 10:42:38 25,126.50 25,158.00 41.00 31.50 target +625.5 +15,046 2026-03-10 10:47:08 10:50:26 25,124.25 25,158.00 38.00 33.75 target +670.5 +15,716 2026-03-11 09:23:04 09:33:56 25,051.75 24,975.50 76.00 33.75 stop -1,529.5 +14,187 2026-03-11 10:12:38 10:27:38 24,982.75 24,984.00 57.75 52.50 time +20.5 +14,208 2026-03-11 10:45:01 10:51:24 24,912.00 24,951.00 63.50 39.00 target +775.5 +14,983 2026-03-16 09:30:04 09:34:57 24,930.25 24,878.25 51.75 39.25 stop -1,044.5 +13,938 2026-03-16 09:38:47 09:53:47 24,873.25 24,883.25 47.50 22.25 time +195.5 +14,134 2026-03-16 10:05:33 10:13:54 24,866.00 24,901.75 49.75 35.75 target +710.5 +14,844 2026-03-16 10:50:35 10:58:33 24,923.50 24,890.25 33.00 17.75 stop -669.5 +14,175 2026-03-17 09:17:57 09:19:00 24,996.25 25,037.00 43.75 40.75 target +810.5 +14,986 2026-03-17 10:04:52 10:19:52 25,057.25 25,042.75 45.50 25.75 time -294.5 +14,691 2026-03-17 10:29:21 10:36:39 25,010.00 24,972.25 37.50 29.75 stop -759.5 +13,932 2026-03-18 09:26:05 09:41:05 24,853.25 24,838.00 63.50 45.50 time -309.5 +13,622 2026-03-18 10:20:48 10:32:56 24,875.25 24,906.25 42.50 31.00 target +615.5 +14,238 2026-03-19 09:22:25 09:34:56 24,443.25 24,519.50 79.25 76.25 target +1,520.5 +15,758 2026-03-19 09:38:00 09:51:19 24,491.50 24,508.75 72.75 17.25 target +340.5 +16,098 2026-03-19 10:19:55 10:34:55 24,483.25 24,420.50 71.25 43.25 time -1,259.5 +14,839 2026-03-20 09:38:05 09:53:05 24,274.75 24,256.50 62.25 32.75 time -369.5 +14,470 2026-03-23 09:41:41 09:47:21 24,600.50 24,640.25 68.00 39.75 target +790.5 +15,260 2026-03-23 09:50:13 09:52:59 24,599.50 24,613.50 60.25 14.00 target +275.5 +15,536 2026-03-23 10:18:13 10:33:13 24,640.25 24,615.00 57.50 38.25 time -509.5 +15,026 2026-03-23 10:38:46 10:46:24 24,550.75 24,497.25 53.25 51.00 stop -1,074.5 +13,952 2026-03-24 10:32:34 10:47:34 24,313.75 24,342.50 87.00 51.75 time +570.5 +14,522 2026-03-24 10:56:44 11:00:00 24,307.50 24,294.75 48.25 35.75 schedule -259.5 +14,262 2026-03-25 10:07:24 10:12:05 24,451.75 24,403.00 48.50 38.75 stop -979.5 +13,283 2026-03-25 10:38:08 10:53:08 24,396.00 24,357.00 58.75 33.50 time -784.5 +12,498 2026-03-26 09:44:19 09:55:00 24,123.50 24,062.50 60.75 52.25 stop -1,224.5 +11,274 2026-03-26 10:31:55 10:41:15 24,053.75 24,090.25 55.50 36.50 target +725.5 +12,000 2026-03-27 10:17:39 10:23:40 23,471.25 23,512.50 51.25 41.25 target +820.5 +12,820 2026-03-27 10:39:48 10:54:48 23,560.00 23,562.00 57.00 39.00 time +35.5 +12,856 2026-03-30 09:36:05 09:40:15 23,287.75 23,331.25 56.00 43.50 target +865.5 +13,721 2026-03-30 10:15:45 10:30:45 23,298.50 23,319.50 68.25 75.00 time +415.5 +14,136 2026-03-30 10:55:50 11:00:00 23,387.50 23,374.25 49.25 18.50 schedule -269.5 +13,867 2026-03-31 09:37:38 09:48:58 23,517.75 23,456.00 61.50 40.00 stop -1,239.5 +12,628 2026-03-31 10:45:55 11:00:00 23,469.25 23,446.00 62.00 41.50 schedule -469.5 +12,158 2026-04-02 10:48:49 11:00:00 24,141.50 24,135.75 69.25 30.25 schedule -119.5 +12,038 2026-04-06 09:38:29 09:53:29 24,321.00 24,299.00 69.25 49.75 time -444.5 +11,594 2026-04-06 10:25:36 10:40:36 24,268.00 24,286.00 51.25 42.50 time +355.5 +11,950 2026-04-07 09:59:04 10:05:14 24,023.50 23,962.50 60.75 53.50 stop -1,224.5 +10,725 2026-04-08 09:31:17 09:46:17 25,034.25 25,028.00 54.25 34.00 time -129.5 +10,596 2026-04-09 09:26:55 09:40:23 24,968.75 24,993.50 50.50 24.75 target +490.5 +11,086 2026-04-09 10:04:28 10:05:39 25,017.00 25,033.00 36.25 16.00 target +315.5 +11,402 2026-04-10 09:42:56 09:57:47 25,325.00 25,354.00 39.00 29.00 target +575.5 +11,977 2026-04-10 10:31:41 10:39:29 25,339.25 25,306.00 33.00 36.00 stop -669.5 +11,308 2026-04-10 10:55:04 11:00:00 25,274.50 25,264.25 31.25 24.00 schedule -209.5 +11,098 2026-04-13 10:31:28 10:37:34 25,305.50 25,332.00 36.25 26.50 target +525.5 +11,624 2026-04-14 10:04:46 10:19:46 25,788.50 25,801.75 26.25 20.25 time +260.5 +11,884 2026-04-15 10:32:36 10:41:38 26,173.00 26,195.50 28.00 22.50 target +445.5 +12,330 2026-04-15 10:56:04 10:59:12 26,191.50 26,207.00 25.50 15.50 target +305.5 +12,635 2026-04-16 09:18:23 09:30:55 26,318.50 26,368.50 59.25 50.00 target +995.5 +13,630 2026-04-17 09:20:21 09:31:03 26,727.25 26,757.50 62.25 30.25 target +600.5 +14,231 2026-04-17 10:42:26 10:57:26 26,837.75 26,831.50 41.00 25.75 time -129.5 +14,102 2026-04-20 09:29:38 09:44:38 26,723.75 26,707.00 52.75 25.75 time -339.5 +13,762 2026-04-20 09:51:05 09:51:19 26,663.50 26,615.00 48.25 33.00 stop_gap -974.5 +12,788 2026-04-20 09:56:37 09:57:28 26,632.25 26,653.25 53.00 21.00 target +415.5 +13,203 2026-04-20 10:50:19 11:00:00 26,644.50 26,658.00 51.50 29.00 schedule +265.5 +13,468 2026-04-21 09:20:55 09:35:55 26,825.25 26,843.00 47.25 36.75 time 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+1,375.5 +26,438 2026-07-31 10:25:23 10:40:23 28,191.75 28,232.75 92.00 97.75 time +815.5 +27,254 2026-08-03 10:28:34 10:34:02 28,731.50 28,777.00 43.75 45.50 target +905.5 +28,159 2026-08-05 09:22:36 09:37:36 29,927.00 29,853.50 107.25 72.50 time -1,474.5 +26,684 2026-08-05 09:53:42 09:57:31 29,816.75 29,862.25 84.00 45.50 target +905.5 +27,590 2026-08-05 10:18:07 10:31:37 29,792.00 29,858.25 71.25 66.25 target +1,320.5 +28,910 2026-08-05 10:45:36 10:57:11 29,793.50 29,729.25 64.00 42.50 stop -1,289.5 +27,621 2026-08-06 10:19:20 10:34:20 29,598.25 29,559.75 72.25 62.25 time -774.5 +26,846 2026-08-06 10:53:49 11:00:00 29,542.00 29,515.50 63.50 20.75 schedule -534.5 +26,312 2026-08-07 09:39:31 09:54:31 29,677.00 29,687.75 96.25 68.50 time +210.5 +26,522 2026-08-10 09:52:20 09:59:53 29,832.00 29,779.75 52.00 38.00 stop -1,049.5 +25,473 2026-08-11 10:05:46 10:10:04 29,757.50 29,709.50 47.75 35.50 stop -964.5 +24,508 2026-08-11 10:34:08 10:49:08 29,677.75 29,672.00 36.75 31.75 time -119.5 +24,389 2026-08-12 09:31:10 09:31:17 29,855.25 29,889.25 68.75 34.00 target +675.5 +25,064 2026-08-12 09:50:30 10:05:30 29,877.75 29,848.75 65.75 39.50 time -584.5 +24,480 2026-08-12 10:23:27 10:30:00 29,846.00 29,875.75 50.50 29.75 target +590.5 +25,070 2026-08-13 09:50:54 10:02:01 30,209.50 30,229.00 37.75 19.50 target +385.5 +25,456 2026-08-13 10:27:43 10:34:18 30,201.25 30,165.00 36.00 16.00 stop -729.5 +24,726 2026-08-13 10:49:12 11:00:00 30,129.50 30,117.00 41.25 37.00 schedule -254.5 +24,472 2026-08-14 09:18:15 09:33:15 30,181.50 30,137.00 59.50 51.25 time -894.5 +23,578 2026-08-17 09:18:55 09:33:55 30,182.75 30,198.75 62.00 30.75 time +315.5 +23,893 2026-08-17 10:39:25 10:54:25 30,233.50 30,244.50 30.50 28.75 time +215.5 +24,108 2026-08-18 09:46:13 10:00:27 29,602.00 29,534.75 67.00 56.25 stop -1,349.5 +22,759 2026-08-18 10:10:39 10:12:48 29,514.25 29,543.25 54.25 29.00 target +575.5 +23,334 2026-08-19 10:40:27 10:44:55 29,559.75 29,595.25 41.50 35.50 target +705.5 +24,040 2026-08-20 09:20:00 09:20:43 29,308.50 29,383.00 89.25 74.50 target +1,485.5 +25,526 2026-08-20 10:11:15 10:26:15 29,328.25 29,308.50 67.00 79.00 time -399.5 +25,126 2026-08-25 09:42:39 09:51:53 29,210.75 29,237.25 64.50 26.50 target +525.5 +25,652 2026-08-25 10:00:38 10:15:38 29,212.00 29,224.25 62.75 24.00 time +240.5 +25,892 2026-08-25 10:47:33 10:56:11 29,241.00 29,264.25 39.75 23.25 target +460.5 +26,352 2026-08-26 09:27:01 09:37:08 29,174.25 29,217.50 57.25 43.25 target +860.5 +27,213 2026-08-26 10:51:40 10:56:13 29,260.50 29,226.50 33.75 15.25 stop -684.5 +26,528 2026-08-26 10:59:16 11:00:00 29,222.25 29,217.50 35.25 15.75 schedule -99.5 +26,429 2026-08-27 09:53:49 09:53:55 29,560.75 29,573.25 53.25 12.50 target +245.5 +26,674 2026-08-27 10:25:15 10:40:15 29,589.75 29,557.50 43.00 33.75 time -649.5 +26,025 2026-08-27 10:43:08 10:45:32 29,549.00 29,515.00 33.75 11.25 stop -684.5 +25,340 2026-08-28 10:37:22 10:40:09 29,752.00 29,712.00 39.75 25.75 stop -804.5 +24,536 2026-08-31 10:31:19 10:46:19 29,398.00 29,410.00 45.00 35.25 time +235.5 +24,772 2026-09-01 10:07:57 10:22:57 29,186.75 29,205.25 37.50 26.50 time +365.5 +25,137 2026-09-02 10:50:33 10:58:16 29,138.75 29,170.00 32.25 31.25 target +620.5 +25,758 2026-09-03 09:32:32 09:47:32 29,311.50 29,285.75 64.25 35.00 time -519.5 +25,238 2026-09-03 09:56:22 09:56:26 29,257.25 29,289.00 53.75 31.75 target +630.5 +25,868 2026-09-04 09:19:29 09:31:46 29,611.00 29,555.25 55.50 11.75 stop -1,119.5 +24,749 2026-09-04 10:18:53 10:33:53 29,496.50 29,493.50 41.75 24.75 time -64.5 +24,684 2026-09-04 10:47:30 10:59:24 29,499.50 29,517.75 31.50 18.25 target +360.5 +25,045 2026-09-09 09:21:44 09:29:14 29,481.75 29,534.00 55.50 52.25 target +1,040.5 +26,086 2026-09-09 09:37:27 09:38:12 29,497.00 29,507.75 57.75 10.75 target +210.5 +26,296 2026-09-09 10:04:27 10:10:38 29,484.00 29,433.25 50.50 30.25 stop -1,019.5 +25,276 2026-09-09 10:22:37 10:35:01 29,403.00 29,439.75 52.00 36.75 target +730.5 +26,007 2026-09-10 10:18:52 10:27:12 29,212.75 29,240.00 49.00 27.25 target +540.5 +26,548 2026-09-10 10:55:28 11:00:00 29,192.50 29,204.75 40.00 43.25 schedule +240.5 +26,788 2026-09-11 10:53:21 11:00:00 29,747.50 29,744.00 32.50 15.00 schedule -74.5 +26,714 2026-09-15 09:22:18 09:37:18 29,313.25 29,314.50 44.00 37.00 time +20.5 +26,734 2026-09-15 10:32:25 10:34:49 29,267.50 29,281.50 38.25 14.00 target +275.5 +27,010 2026-09-15 10:49:24 10:50:28 29,266.25 29,291.25 31.75 25.00 target +495.5 +27,505 2026-09-16 09:32:25 09:44:50 29,439.00 29,464.00 43.00 25.00 target +495.5 +28,000 2026-09-16 10:34:02 10:47:10 29,484.75 29,510.25 32.25 25.50 target +505.5 +28,506 2026-09-16 10:55:15 11:00:00 29,507.50 29,499.25 33.25 12.00 schedule -169.5 +28,336 2026-09-17 09:47:34 10:02:34 29,687.75 29,673.00 42.25 43.00 time -299.5 +28,037 2026-09-17 10:06:14 10:08:00 29,656.50 29,676.00 33.75 19.50 target +385.5 +28,422 2026-09-18 10:02:06 10:04:42 29,738.00 29,756.50 38.50 18.50 target +365.5 +28,788 2026-09-18 10:11:42 10:26:08 29,740.75 29,752.75 34.00 12.00 target +235.5 +29,024 2026-09-18 10:32:04 10:47:04 29,730.00 29,718.25 30.25 15.50 time -239.5 +28,784 2026-09-22 09:41:25 09:56:25 30,923.25 30,937.00 45.50 49.50 time +270.5 +29,054 2026-09-22 10:38:16 10:53:16 30,902.50 30,905.75 31.00 20.25 time +60.5 +29,115 2026-09-23 10:51:07 11:00:00 30,729.50 30,746.75 40.50 38.50 schedule +340.5 +29,456 2026-09-24 09:53:18 10:08:18 30,559.00 30,527.50 45.25 41.50 time -634.5 +28,821 2026-09-24 10:49:02 10:50:21 30,510.25 30,525.25 40.50 15.00 target +295.5 +29,116 2026-09-25 09:17:19 09:26:33 30,690.50 30,773.50 75.50 83.00 target +1,655.5 +30,772 2026-09-25 10:37:09 10:52:03 30,781.25 30,733.00 48.00 36.75 stop -969.5 +29,802
10 Download
Download package (.zip, 390 KB)
README with rules and caveats · reference Python implementation (reproduces every trade exactly; bring your own 1-second NQ data) · every trade for 10 three-minute and 5 five-minute start times · daily P&L · all result tables · an uncompiled NinjaScript draft.
11 Data and method
1-second NQ bars: NinjaTrader 8 tick exports (Jan 2 – Aug 18) and Polygon/Massive 1-second aggregates (Aug 19 – Sep 25). Delivery contracts: NQH6, NQM6, NQU6, NQZ6 (roll Sep 14). 179 covered sessions; 5 dates are missing from the source. Each day is fed from 08:25 CT, so indicators warm up inside the day and the first valid signal is usually after 09:15 CT. Costs: $2.25 per side per NQ, 1-tick slippage on stops and market exits, limits need a 1-tick trade-through. No bid/ask quotes or queue position are modelled.
Milkman Trades · research backtest, not trading advice · built Sep 27 2026