NQ breakout from today's open, sized off yesterday's range
Place a buy stop above and a sell stop below NQ's open, spaced by yesterday's range, and be flat by the close.
What they did
AEY Capital rebuilt an intraday NQ breakout that another trader (@SystematicPeter) says he has traded live since May 2023. Each day there's a buy stop above and a sell stop below the day's open, with the distance set as a fraction of yesterday's range. The stop sits the same distance away, and every position is flat by the close. They then optimized it in-sample (one entry a day, mornings only, a wider trigger, earlier break-even) and checked it on later data.
How it went
AEY Capital's claims: the original rule rebuilt had profit factor 1.19 with a 58% drawdown in 2016–17. Their optimized version (NQ, 2016 to mid-2026, 1% risk per trade): 1,747 trades, profit factor 1.40, max drawdown 13%, no losing year, 34% win rate with the average win 2.7x the average loss. On 2022 onward, which they say the optimization never saw: +0.22R per trade, profit factor 1.45.
Sources:
Worth knowing
- The exact optimized trigger, cut-off time and break-even distance aren't given in the post, so the [blanks] below are yours to pick and test.
- A 34% win rate means long losing streaks are normal. Size so ten losses in a row is survivable.
- Stop orders can fill with slippage on fast opens. Paper fills will flatter this.
- Optimizing on 2016–2021 and checking on 2022+ is better than nothing, but it's one split, reported by the people who did the optimizing.
The prompt
Trade [MNQ / NQ] futures intraday. All times are ET.
Each morning at [09:30]:
1. Yesterday's range R = yesterday's high − yesterday's low (regular session).
2. Propose two orders: a buy stop at open + [0.25]×R and a sell stop at open − [0.25]×R. If one fills, cancel the other (one entry per day).
3. Stop-loss: the same distance as the trigger ([0.25]×R) from the entry price. Move the stop to break-even after [+0.5]R.
4. Only allow entries until [11:30]. Exit any open position by [15:55].
5. Size: risk [1]% of the paper account per trade (round down to whole contracts).
Report R, both trigger levels, fills, exits and the R result daily, plus a running win rate and profit factor.
SAFETY DEFAULTS (keep unless you deliberately change them):
- Use the PAPER trading account only. Never touch a live account.
- Before every order, show me: symbol, side, size, order type, limit price, stop, and the rule that triggered it. Then WAIT for my "approve".
- Hard limits: max [$500] per trade, max [3] open positions, stop all trading for the day after a loss of [$300].
- Log every signal, decision and fill to [a running log / spreadsheet] with timestamps.To go fully autonomous: (1) run on paper for at least [4–8 weeks] or [30+ trades]; (2) delete the 'WAIT for my approve' line and keep the hard limits; (3) switch to live keys or account. On Robinhood, turn off trade approvals in your agent settings, but note that some orders can still require in-app approval or acknowledging a pre-trade alert, so unattended execution isn't guaranteed for every order. IBKR's AI connector always asks for approval; use its regular API for unattended trading. Never remove the daily loss limit.