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21 ES/NQ

A trend-following anchored VWAP strategy for ES/NQ contracts. This strategy leverages anchored Volume Weighted Average Price (VWAP) alongside ATR-based risk management to identify and capitalize on market trends. Originally designed as separate long and short strategies, it has been unified into a cohesive approach that dynamically adjusts to market conditions. The strategy allows for overnight holds to enhance flexibility and performance.

This document will be updated as the strategy is developed, deployed (live or simulation), or distributed. Once discontinued, it will be noted here. The change log can be used to track adjustments and improvements over time.

Strategy 21 ES/NQ

Strategy Features:

  • Anchored VWAP Trend-Following
  • Trades ES/NQ Contracts
  • Utilizes ATR for Risk Management
  • Daily Bar Size
  • Commissions & Slippage Included in Backtest

Key Metrics
From latest backtest covering 1/2/2015 – 12/27/24

  • Rate of Return (ROR): 26.36%
  • Max Historical Drawdown: -31.33%
  • Expectancy Per Trade: 0.52%
  • Win Rate: 57.29%
  • Profit Factor: 2.36
  • Sharpe Ratio: 1.07
  • MAR Ratio: 0.84

Settings

Setting Value
Bar Size Daily
Account Size Start $100,000
Data Source Norgate
Universe ES/NQ
Date Range 01/02/2015 to 12/27/2024
Platform/Engine RealTest
Use Available Bars False

Summary Stats (Strategy 21 ES/NQ)

strategy_21_long1 strategy_21_long2 strategy_21_short1 Combined
Periods 2,511 2,336 2,335 2,511
NetProfit $43,503 $134,066 $85,212 $262,782
Comp False False False False
ROR 4.36% 14.45% 9.19% 26.36%
MaxDD -15.77% -11.71% -12.65% -31.33%
MAR 0.28 1.23 0.73 0.84
Trades 86 83 30 199
PctWins 63.95% 42.17% 80.00% 57.29%
AvgWin 0.74% 3.04% 1.73% 1.66%
AvgLoss 0.86% 1.04% 1.65% 1.01%
Expectancy 0.17% 0.68% 1.05% 0.52%
TradeLen 0.00 5.14 2.97 2.59
AvgWinAmt $1,723.09 $7,285.36 $4,444.67 $4,003.77
AvgLossAmt $1,653.77 $2,519.19 $3,576.58 $2,278.21
ExpectAmt $505.85 $1,615.26 $2,840.42 $1,320.51
ProfitFactor 1.85 2.11 4.97 2.36
Sharpe 0.52 0.87 0.63 1.07
Volatility 7.50% 11.25% 11.62% 24.75%
Skew 5.41302 1.97586 2.63671 1.57624
Sortino 0.93 1.49 1.07 1.82
Skipped 0.00% 0.00% 0.00% 0.00%
AvgExp 0.00% 26.66% 6.61% 45.61%
MaxExp 0.00% 344.15% 438.53% 695.15%
AvgUse 6.32% 28.85% 7.89% 57.44%
MaxUse 464.36% 347.76% 440.20% 985.39%

Combined Monthly Percent Gains (Strategy 21 ES/NQ)

YEAR Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec TOTAL MaxDD
2015 -1.3% 2.0% 0.0% 0.0% 0.0% 0.0% 1.2% 0.0% 0.7% 2.7% 0.0% 2.6% 8.0% -3.0%
2016 0.0% 1.8% 0.3% -2.9% -3.7% -2.8% 3.5% 0.0% -0.7% 0.0% 0.8% 0.1% -3.6% -12.7%
2017 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -0.0%
2018 0.0% 10.0% 1.8% -2.8% 1.7% 1.6% 0.0% 0.0% 0.0% 0.0% -1.7% 0.0% 10.7% -6.8%
2019 14.9% 0.0% 0.0% 0.0% 5.2% 1.7% 2.9% -13.6% 4.3% 1.3% 0.0% 0.0% 16.7% -13.6%
2020 0.0% 6.2% -19.8% 30.9% 0.0% -2.0% 3.2% 0.0% 1.6% 5.0% 22.0% 0.0% 47.1% -23.3%
2021 0.0% -2.2% -27.6% 20.4% 0.6% 0.4% 0.0% 0.0% 1.7% 13.6% 0.0% 16.0% 23.0% -29.8%
2022 3.0% 2.0% 23.3% 0.7% 2.8% -2.3% 18.2% 13.9% -12.1% 10.1% 11.2% -8.9% 61.9% -17.7%
2023 13.9% 16.9% -0.5% -0.5% 0.0% 0.0% 0.0% 4.6% -18.4% 0.6% 23.7% 1.1% 41.3% -22.1%
2024 0.0% 0.0% 0.0% 10.7% 22.8% 0.0% 7.7% 4.0% 2.8% 0.0% 9.6% 0.0% 57.6% -17.6%
AVG 3.0% 3.7% -2.2% 5.7% 2.9% -0.3% 3.7% 0.9% -2.0% 3.3% 6.6% 1.1% 26.3% -14.6%

Strategy Correlations

Returns

RETURNS strategy_21_long1 strategy_21_long2 strategy_21_short1 Combined
strategy_21_long1 1.00 0.20 -0.00 0.46
strategy_21_long2 0.20 1.00 -0.02 0.74
strategy_21_short1 -0.00 -0.02 1.00 0.54
Combined 0.46 0.74 0.54 1.00

Drawdowns

DRAWDOWNS strategy_21_long1 strategy_21_long2 strategy_21_short1 Combined
strategy_21_long1 1.00 -0.14 0.09 0.26
strategy_21_long2 -0.14 1.00 0.25 0.68
strategy_21_short1 0.09 0.25 1.00 0.42
Combined 0.26 0.68 0.42 1.00

Visualizations

Equity
Drawdown
Daily
Monthly

Trade Plots

Plot 0
Plot 1
Plot 2

Monte Carlo Analysis (Strategy 21 ES/NQ)

Percentile Net Profit AAR Max Drawdown
1% $153,647 $15,395 ($47,046)
5% $162,410 $16,273 ($37,308)
10% $182,204 $18,257 ($33,737)
20% $216,510 $21,694 ($31,102)
50% $262,054 $26,258 ($24,536)
80% $307,754 $30,837 ($16,888)
90% $350,162 $35,086 ($14,744)
95% $372,404 $37,314 ($13,061)
99% $401,174 $40,197 ($12,046)
backtest $262,782 $26,330 ($31,334)

MCPT Profit
MCPT Excursion


Generated by RealTest. These results are subject to change based on parameter adjustments or further development.