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Simulated · 352 trades

IVB - Initial Volatility Breakout

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Downloads: 3Likes: 42Comments: 4

MNQ · 5m · 352 trades
+309.8%
Return
+$309,817
Net P&L
52.0%
Win rate
1.37
Profit factor
20.1%
Max drawdown
0.90
Sharpe
352
Trades
MNQ
Market
5m
Timeframe
2023-01 – 2026-09
Period

The initial balance is the high/low of the first minutes of the cash session (09:30 to 10:00 ET by default), drawn as a growing zone and frozen when the window closes. From the IB close until the entry window ends, a signal needs two filters on the same bar: today's IB range divided by the average IB range of the last N trading days must fall between the min and max contraction ratios (a compressed opening), and the bar's volume must be at least the surge multiplier times the average of recent regular-hours bars. On such a bar a close above the IB high goes long and a close below the IB low goes short (direction can be restricted), with the stop and target placed at ATR multiples from the entry close and the size computed from a percentage of equity at risk. Attempts are capped per day, and an optional end-of-day flatten closes any open position at a set time. This showcase run uses the MNQ 5m preset: 09:30-10:00 IB, contraction below 0.9x the 10-day average, 1.1x volume surge, 2% risk, ATR(14) stop at 3x and target at 4x, 2 attempts per day, no EOD flatten.

Simulated past performance: not actual trading

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

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Crazy ORB

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The opening range is marked between the range start and end times (09:15-09:30 ET by default) and drawn as a growing box with high and low reference lines that stay live for the rest of the session. When the window closes the range locks, and the entry is close-confirmed: a candle must CLOSE above the range high or below the range low, so a wick or spike through an edge does nothing. On that confirming close the order goes in at market in the break direction, with a stop at ATR times a multiplier measured from the confirming close, a take profit at a configurable R multiple of that stop distance, and size computed from a fixed dollar risk per trade (contract-multiplier aware, floored so it never risks more than the budget). Each side gets one shot per day, so an upside break and a later downside break are two separate trades, and a per-day cap limits the session. Everything is flattened at a set time so nothing carries overnight, and the optional drawing layer shows the range, the live risk/reward boxes and every fill. This showcase run uses the NQ 15m preset: a 09:15-09:30 ET opening range, ATR(14) stop at 1x, 0.35R target, $2,001 risk per trade, 2 trades per day, entries from 09:30 to 15:45 and a 15:55 ET flatten.

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NQ Precision Bot

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An opening range breakout for the first hour of the US session. The strategy builds the range from 1-minute bars between 9:30 and 9:45 ET. With the entry trigger on, it takes a single snapshot at the trigger time: price above the range goes long, below goes short, and inside the range means no trade that day. With the trigger off, it takes the first breakout of the range from the range end until a cut-off time. Stop loss and take profit are both set as multiples of ATR from the entry, and an optional time-based close flattens the trade after a set number of minutes if neither has filled. Two filters skip breakouts that are too weak or too strong: relative volume and the ATR regime (short ATR divided by long ATR) must both sit inside their bands. Position size is either a fixed number of contracts or a fixed dollar risk per trade sized off the ATR stop distance. Entries and exits run on ticks, so backtest it with tick data. This showcase run uses the NQ 1m preset: 6 fixed contracts, a 9:59:55 ET entry trigger, stop at 2.2× and target at 0.3× the 14-bar ATR, a time close after 8 minutes, relative volume (14 bars) between 0.5 and 1.5, and the 14/50 ATR regime between 1.0 and 2.5.

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Daily Anchored VWAP Signal Strategy

Roboquant

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A volume-weighted average price is anchored at the start of each New York trading day, built from typical price (the bar's high, low and close averaged) or from closes, and compared with a fast EMA. Signals are read only inside a configurable session window. When the EMA sits above VWAP and a bar closes above the EMA, the strategy buys; when the EMA sits below VWAP and a bar closes below the EMA, it sells short. A close back across the EMA exits the trade. After an exit, if the EMA crosses to the other side of VWAP, the first close back through VWAP against the new direction is taken as a pullback entry. Each day the strategy stops after its first winning trade, and after a first loss it allows a set number of further attempts. An optional relative volatility filter skips entries when the short ATR is too large against a longer baseline ATR, and an optional ATR-based stop loss protects each entry; there is no time-based exit, so a position can be held past the session close. This showcase run uses the MES 3m preset: VWAP from typical price, a 09:30–16:00 ET session, an 11-period EMA, 3 contracts per trade, the volatility filter on (14-period ATR at most 1.1× its 50-period baseline), up to 2 further attempts after a first loss, and the ATR stop off.

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NY Open Range Breakout

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Builds an opening range from the first 15-minute bars after the 09:30 ET New York open, then trades the first bar that closes beyond it: long above the range high, short below the range low. A breakout is taken only when two regime filters agree: relative volume, where the breakout bar's volume must reach a multiple of the recent average, and volatility, where ATR as a percentage of price must sit inside a floor and ceiling band. The stop is either the far side of the range or a multiple of ATR, with an optional cap in points, and the target is a multiple of the stop distance. Position size is a fixed dollar risk or a percentage of account equity risked at the stop. New entries stop at a cutoff time and any open position is flattened before the close. This showcase run uses the MNQ 15m preset: a one-bar (09:30–09:45 ET) opening range, a stop at 0.4× the 14-period ATR with no point cap, a target at 0.4× the stop distance, $3,000 fixed risk per trade, RVOL of at least 1.0× the 20-bar average, ATR between 0.10% and 0.60% of price, no new entries from 15:00 ET, a 15:55 ET flatten, both directions, and one trade per day.

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The Flash Trigger ORB

Roboquant

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A single targeted candle - selected by timeframe and a local hour and minute in a user-adjustable UTC offset - defines the range: its high is drawn as a green line and its low as a red line, extending a few bars to the right and kept on the chart so previous sessions' ranges stay visible. Once that candle closes the range is confirmed, and the entries are close-based: a candle closing above the range high goes long with the stop at the range low, a close below the range low goes short with the stop at the range high, and the target is a configurable Risk:Reward multiple of that stop distance. Only one trade is allowed per confirmed range. Position size is a fixed lot, a fixed dollar risk per trade, or a percentage of account equity risked at the stop; an optional trailing stop tightens the exit once the trade is a set number of points in profit, trailing at a fixed buffer distance. An optional weekday filter skips the range on disabled days, and an end-of-day flatten closes any open position at a configurable UTC time. This showcase run uses the MNQ 15m preset: a 14:30 UTC targeted candle, 3:1 Risk:Reward, 1% of account risked per trade, trailing on (70 points to activate, 25-point buffer), and a 23:59 UTC flatten.

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London Liquidity / IFVG by Shujat

Roboquant

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The London session (an Eastern Time window) is tracked as a box of its high and low, and when it closes those two levels are drawn as lines. Inside a separate liquidity-sweep window, a close beyond the London high followed by a large-bodied candle (body over half its range) closing back inside marks a bearish sweep; the mirror move at the London low marks a bullish one. The strategy collects the fair value gaps that form during the session or after the sweep, and when price closes through one in the opposite direction, an inverse FVG that agrees with the sweep, it enters: short after a high sweep, long after a low sweep, with at most one setup per day. The stop is an ATR multiple or the recent swing, and the target is an ATR multiple, a Risk:Reward multiple or the opposite London level. Size is fixed contracts, a fixed dollar risk or a percentage of equity at the stop, and an optional filter limits trading to chosen weekdays. This showcase run uses the MNQ 5m preset: London box 03:30-09:25 ET, sweeps and entries between 09:25 and 13:15 ET, gaps up to 10 hours old, an ATR(14) stop at 2x and target at 0.2x, $1,000 risked per trade, and every weekday traded.

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T-Mean Reversion

Roboquant

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A long-only calendar strategy with no stop or target. It builds daily candles from the intraday bars on the UTC calendar and records whether each Friday closed red, below its open. At the chosen entry day and time it buys only if the last completed Friday was red, then holds through the weekend and closes the position at the chosen exit day and time. Only one position is held at a time, and an optional UTC market-hours filter ignores bars outside a set window. Size is either a fixed number of contracts or a fixed dollar amount divided by an assumed risk of 100 ticks. This showcase run uses the MNQ 1h preset: entry on Friday at 18:00 UTC (after a red Friday the week before), exit on Wednesday at 10:00 UTC, fixed-dollar sizing at $100 (2 MNQ contracts), and the market-hours filter off.

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Giga ORB

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An opening range breakout on the New York session. The strategy records the high and low of the opening range (by default the first 15 minutes from 09:30 ET) and draws it as a box on the chart. Once the range is complete, a bar that closes above the range high goes long and a bar that closes below the range low goes short. The stop sits at the opposite side of the range, and the target is either a multiple of that stop distance (Reward:Risk) or a fixed number of points. An optional wick filter skips breakout candles whose opposing wick is too large a share of the candle. An optional daily bias gate reads price once per session against the previous day's high and low: a close below the previous day low blocks longs, and a close above the previous day high blocks shorts. Position size is either a fixed dollar risk at the stop or a fixed number of contracts. Trades per day are capped, no new entries are taken after a cutoff time, and open positions can optionally be flattened at that cutoff. This showcase run uses the MNQ 15m preset: a 09:30–09:45 ET opening range, longs and shorts, $500 risked per trade, 1:1 Reward:Risk, one trade per day, breakouts with an opposing wick above 13% of the candle skipped, the daily bias gate on, no new entries after 14:00 ET, and no forced flatten.

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Sigma Breakout

Roboquant

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Each regular-hours session (09:30-16:00 ET) is anchored to a reference: the RTH open by default, or the session VWAP as of the previous bar. For every clock-time slot of the session the strategy averages how far price had moved from the open at that same time over the last N sessions, then multiplies that average by a band multiplier to place an upper and a lower band around the reference. The bands use only prior sessions, so there is no lookahead, and trading starts once every slot has a full N-day history. A bar that closes above the upper band goes long and a close below the lower band goes short; a break of the opposite band flips the position, and anything still open is flattened at the 16:00 ET close. An optional percentage stop loss switches sizing from a fixed lot to a percentage of equity, or a fixed dollar amount, risked at that stop. This showcase run uses the MNQ 30m preset: a 2-day sigma window, a 1.5x band multiplier, the RTH open as reference, no stop loss, and 1 contract per trade.

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Friday Range Revisit - Monday Short

Roboquant

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The setup is situational: if Thursday's regular-hours high is never broken on Friday, Friday's regular-hours low tends to get revisited on Monday. Every level is regular trading hours only (09:30-16:00 New York), and each session's high/low box is drawn on the chart as it forms. On Monday the strategy requires the RTH open to sit between Friday's high and Friday's low - a gap above Friday's high or below Friday's low stands it aside - and then shorts, either immediately at the open or on a limit order into the upper fraction of Friday's range. The stop sits above Thursday's RTH high or at an ATR multiple from entry, and the target is Friday's RTH low or an ATR multiple below entry. One trade per day, and everything is flat by the configured end-of-day hour. This showcase run uses the NQ 5m preset: entry at the RTH open, an upper zone of 10% of Friday's range, an ATR(14) stop at 0.1x with an ATR target at 1x, $1,000 risk per trade at fixed sizing, and a 16:00 ET flatten.

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PDH/PDL Sweep Fade

Roboquant

No reviews yet

A run through the previous day's high (PDH) or low (PDL) that fails to hold is treated as a liquidity sweep and faded. A short fires when a bearish bar trades above PDH but closes back below it; a long fires when a bullish bar trades below PDL but closes back above it, so the close, not just the wick, has to return inside the prior-day range. An optional engulfing filter requires the signal bar to engulf the previous candle, by body or by full range. Entries are market orders sent at the signal bar's close, so they fill at the next bar's open with no look-ahead. The prior-day range is the full ET calendar day by default or, optionally, only its 09:30-16:00 ET bars. Stops sit at the signal candle's extreme or at a multiple of the daily ATR (computed from completed daily bars); targets are the opposite prior-day level or a daily ATR multiple. Position size is a fixed number of contracts or a fixed dollar risk per trade, entries are limited to an ET time window and a daily trade cap, and either side can be switched off. This showcase run uses the MNQ 5m preset: both sides, no engulfing filter, entries between 09:45 and 13:00 ET, 1 trade per day, a fixed 25 contracts, a stop at 0.3x and a target at 0.1x the 14-day daily ATR.

Downloads: 1Likes: 0Comments: 0

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