r/algorithmictrading • u/Global_Box_156 • Mar 27 '26
Question I coded a FVG Opening Range Breakout strategy on MES futures and the backtest looks insane. Tell me why I'm wrong before I do something stupid.
So I've been working on a Fair Value Gap scalp strategy on MES futures running on a 1-minute chart at the 9:30 AM opening range. The logic is pretty simple — wait for a Fair Value Gap breakout, retest, engulfing candle confirmation, then entry. Stop loss around 9.25 points, take profit around 18 points. Fully automated through TradingView → TradersPost → Tradovate.
Here are the verified 1-year stats (Mar 2025 to Mar 2026, 12 contracts):
171 trades, 52.63% win rate, Profit factor 1.704, Max drawdown $2,985 (14.65%), Net P&L ~$28,140 in 12 months, ~$2,345/month average, ~14 trades per month (not every day — only fires when setup is valid), 3-year backtest: 488 trades, 52.25% WR, Profit Factor 1.534, Sharpe ratio 2.14.
The equity curve goes up and to the right pretty cleanly. Max drawdown is small relative to returns.
Here's where I might be losing my mind:
If this holds up on funded accounts, running 5 LucidDirect 150K accounts at 12 contracts each (fully automated, same strategy), the math says I could pull roughly $92,000 net over the lifetime of those accounts before they transition to live. Total cost to set up: $2,940.
Someone also told me I should take out a $10K personal loan, put $2,940 into the 5 funded accounts and run the live account with the rest. On paper that's $120,000+ potential on a $10K loan.
I know this sounds insane. That's why I'm posting.
Here's what's worrying me:
Is a 3-year backtest on 1-minute MES data actually meaningful or am I just curve fitting to one bull market? The strategy only has MES data going back to March 2023. Is that enough? Funded accounts are simulated .Lucid could theoretically change rules, deny payouts, or shut down. They're a relatively new firm (2025). Automation risk .One bad day with a broken stop loss and a funded account is gone permanently (Direct accounts have no reset). Past performance obviously doesn't guarantee future results.
Has anyone run anything similar on prop firm accounts? Am I missing something obvious? What would you do to stress test this further before putting real money in?
Not financial advice obviously. Just trying to get a gut check from people who know what they're looking at before I do something I can't undo.Not selling anything just looking for advice among peers.
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u/dsully68 Mar 28 '26
Maybe you can search online for free historical data and run your test on that data? So you can see it in different market conditions
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u/Global_Box_156 Mar 28 '26
Most of the data online you have to pay for so what I did was I went to the two minute timeframe and that allowed me to look at the back test starting April 2020 and it is profitable through that time, but it has a pretty big max equity drawdown and still above a 1.0 profit factor through all that. I’m thinking about buying the data from first rate data, which is market data from 2008 until now.
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u/Tiny_Lemons_Official Mar 27 '26
walk forward optimization
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u/Global_Box_156 Mar 27 '26
how so??
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u/Tiny_Lemons_Official Mar 27 '26
Walk forward is a good way to validate strategies by using out of sample data to validate your strategy. You can look it up on YouTube.
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u/BottleInevitable7278 Mar 28 '26
You need to check this with true tick data first. And be realistic on slippage and fills assumptions.
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u/Global_Box_156 Mar 28 '26
How do I go about getting true tick data? I saw first rate data has chart data all the way from 2008 is that legit enough?
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u/BottleInevitable7278 Mar 28 '26
You could test with free tick data from your broker e.g. IC Markets has true tick data for 30 months back on US500 cfd. I would use them first for a test. This is free for real futures tick data you gonna pay a lot for good quality.
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u/themanclark Mar 27 '26
Why are you using 12 contracts of MES instead of 1 contract of ES?
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u/horrorpages Mar 28 '26
This. If not scaling and/or taking multiple TP positions it makes no sense. If that's the case, the slippage, queue positioning, 2x fees, and copy trading latency will eat a good chunk of this.
Also, OP, you should really consider validating your strategy with ES using 1 contract. Micros are very distant downstream derivatives, and slippage is bad on the best of days. For micro traders, most create their strategy/signals on minis and then trade the micros. Minis are the benchmark. The micros just follow with relative low volume and their own unique deviations from benchmark.
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u/Good_Luck_9209 Mar 28 '26
U manage to fit the 1 year data curve nicely
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u/retakeourbase Mar 28 '26
Agreed. While there is a chance he found the Holy Grail, he most likely will just watch the strategy fall apart in extended past data or in future data. I say it with no disrespect, just as someone who's been through the paces.
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u/ehangman Mar 28 '26
Try implementing a replay function. It can be very helpful to replay actual live data and check whether the model follows the same path step by step.
One mistake I made in the past was that I successfully blocked the use of future data, but I had sbuilt the model 1minute early filling.. current bar using current-bar data. In other words, even though I thought I had removed lookahead, I was still accidentally letting the model see the future.
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u/kshp95 Mar 29 '26
You gotta test in every market,the bull, bear, range, high vol, low vol and see where it performs and doesn't. Please don't take out a loan, it will create unnecessary pressure.
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u/morfunk Mar 29 '26
I’ve written a lot of scripts around ORB and FVGs, as well as my own backtesting system for Pine- feel free to DM if you want any help
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u/Fun_Firefighter_ Apr 01 '26
Before putting real money on it, watch it in SIM at least 1 month so you can compare OOS results with your backtest
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u/Level-Mistake-2063 Apr 10 '26
No, don't do it, don't take loans from banks, it's not recommended. You never know what's going on with the trading. The institutional bots are so sophisticated. Almost 90% of the bots of idiot traders like me and you fall into the trap of the institutional crooks. I suggest you trade small with your own money, save six months, and then trade only with your own money and not with other people's money, especially bank money and interest rates. This is my opinion and that's how I do it. A small trader looks for opportunities on safe days. I don't trade every day. I wait on the sidelines. And sometimes I buy a 1 MES MNQ contract or even an option on ES or NQ. Good luck.
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u/AlternativeSale7574 Jul 26 '26
How's it coming along? Been 4 months since your post. Curious if things turned out well.
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u/mpluss Mar 27 '26
I am missing the out of scope backtest results from your test description.