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NQ and MNQ/Intraday trend-following

JRH Trend

A rules-based intraday trend-following strategy for Nasdaq-100 futures, with rules-based sizing. It trades during US regular hours, stays in while a trend holds and exits by rule, so a winning trade can keep running. It sends no stop-loss order at entry.

Markets
NQ and MNQ
Pace
One or two trades a week
Hours
US regular hours only
Stop-loss at entry
None. It exits by rule
Size
Your base size, or twice it on some trades
Positions
One at a time

On your chart

What you'll see, in order

The exact rules and settings are proprietary. This is the behavior you'll see, and the limits fixed in the code.

  1. Waits

    Each session starts flat. On many days its rules never see a trend, and it doesn't trade.

  2. Enters

    When its rules see a trend, it enters in that direction at your base size, or at twice it when its sizing rule says so.

  3. Holds

    There is no fixed profit target. It stays in while the trend holds, so a winner can keep running.

  4. Exits

    It exits when its rules end the trade. Sometimes it takes the other side in the same step.

  5. Flat

    Anything still open is closed before the 16:00 ET close. It never holds overnight.

Hypothetical results

MNQ · May 2019 to Oct 2026 (1,920 sessions) · 1 MNQ base, 2 on the larger trades, no compounding · 1 point ($2) a contract a round trip deducted

534
trades, about 1.38 a week; 181 of them at twice the base size
1.95
profit factor: 1.83 in the first half, 2.01 in the second
$48,998
net at a base of 1 MNQ (24,498.75 points)
$2,969
largest drawdown with open trades marked ($2,153 on closed trades)
The session of its most recent trade, drawn as a simplified price path with the entry and the exit marked. A long trade that ended as a win. No prices, times or levels are shown.

Most recent trade

Long. Win, +$596.50 at 1 MNQ (base size)

The day of its most recent trade in the research data, drawn as a simplified price path with the entry and the exit marked. No prices, times or levels are shown, and it is not to scale. Some trades lose.

Last three trades, newest first

  1. LongWin+$596.50at 1 MNQ (base size)
  2. ShortLoss−$33at 1 MNQ (base size)
  3. LongWin+$133.50at 1 MNQ (base size)

Net at the size shown, after the research costs. The first is the trade drawn above. No dates are shown.

Profit factor by half of the test period, Standard preset

Bars start at the 1.0 break-even line. Two similar halves suggest a steadier result than one strong half.

Profit factor by half of the test period, hypothetical research results First half: 1.83. Second half: 2.01. Bars start at the 1.0 break-even line. 2.0 3.0 0 1.83 First half 2.01 Second half 1.0

The two presets

StandardBase size
Sizebase, twice it on 181 tradesbase on every trade
Profit factor (first half / second half)1.95 (1.83 / 2.01)1.81 (1.68 / 1.88)
Net at a base of 1 MNQ$48,998$32,688
Largest drawdown, closed trades$2,153$1,627
Largest drawdown, open trades marked$2,969$1,831
Worst day, open trades marked−$2,409−$1,204
Average trade$91.76$61.21
Winning trades55.6%55.6%
NQ cross-check, Jan 2018 to Oct 2026, base of 1 NQ (627 trades)PF 1.90 (1.62 / 2.10)PF 1.77
NQ net and largest drawdown, points25,541.5 / 1,002.517,083.75 / 718.25

Figures with open trades marked come from a day-by-day replay of the same trades.

How it was tested

  • Data: clean NQ and MNQ price data, Eastern time. MNQ from May 2019 and NQ from Jan 2018, both to Oct 2026.
  • Costs: 1 point a contract a round trip ($2 on MNQ, $20 on NQ). Your costs may be higher.
  • Sizing rule written down first. The sizing rule, its test and the pass mark were recorded before the test was run.
  • Sizing against chance. We gave twice the base size to the same number of randomly chosen trades, many times over. Only about 13 in 1,000 random choices did as well or better on MNQ, and 15 in 1,000 on NQ.
  • Code check. In offline tests, the NinjaTrader strategy file matched the research model trade for trade and size for size. The base-size version was also confirmed inside NinjaTrader: every bar and trade matched on NinjaTrader's own MNQ data.

Weak spots

  • No stop-loss order at entry. A losing trade stays open until its rules exit or the session ends, so the loss on one trade isn't capped at a set amount. In a fast market the exit can fill well away from where the trade turned.
  • Picked from many variations. Its core rules were picked from 648 tested variations, and the sizing rule was one of 11 tested together. Expect live results below the backtest.
  • Choppy days cost money. When the market goes nowhere, it can take several small losses in a row.
  • Check it against your loss limit. If your account has a daily or trailing loss limit, compare it with the worst day and the marked drawdown above before you run it.

Hypothetical performanceCFTC Rule 4.41 · NFA Rule 2-29

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.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

What you control

Your settings

The signal logic is fixed. These are the settings you choose.

PresetStandard, or Base size for the same trades at your base size every time.
Base contractsYour base size. Standard uses twice it on some trades.
DirectionBoth sides, long only or short only.
Max loss per tradeAn optional stop-loss order at a distance you choose. Off by default, and the results above are without it.
AlertsNinjaTrader alerts on each fill, on or off.
Trade logAn optional CSV file of your trades.

Before you go live

Run JRH Trend on Sim first

Your license key works on NinjaTrader's simulator as well as live accounts. Watch a few weeks of trades on Sim, and compare its worst days with your own loss limits before you put real money behind it.

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