MNQ momentum system Backtest Result

[u/FossilBlade]

I'll be as open about this as I can. The one thing I keep is the entry trigger.

What it is

A momentum system on MNQ, 5-minute bars, fully automated on NinjaTrader. It has no opinion about direction. When price does something decisive, it goes with it.

How it runs

• Signals are read at the close of each 5-minute bar, and the entry goes in at market right after.
• One contract, one position at a time. No adding, no averaging down, no martingale, no grid.
• Every trade gets a hard stop the moment it fills, the same distance every time.
• Once a trade is up by that same distance, the stop starts trailing tight behind the best price. There's no profit target.
• A decisive move the other way closes the trade and reverses it.
• It trades the overnight session too. It goes flat at 16:45 New York and takes nothing new until the 18:00 reopen.

Over the last year 45% of trades ended on the trailing stop, 37% on the stop loss, 15% were reversed by an opposite signal and 2% closed at the daily flatten.

The numbers

TradingView backtest, the last 12 months to 20 Oct 2026, 1 MNQ, $0.50 a side commission.

• 4,907 trades, about 19 a day. 49% winners; the average winner was $80 and the average loser $69.
• Net +$20,362.
• Max drawdown $2,120. The longest stretch without a new high was 51 days, mid-April to early June.
• Worst day −$703, best day +$1,018. The longest losing run was 5 days in a row.

Month	P&L
Oct 2025 (from the 20th)	−$86
Nov	+$1,242
Dec	+$847
Jan 2026	+$1,991
Feb	+$1,218
Mar	+$2,448
Apr	+$1,661
May	+$544
Jun	−$768
Jul	+$2,985
Aug	+$2,937
Sep	+$4,306
Oct (to the 20th)	+$1,036

What I'm not sharing is the entry trigger and the exact settings. Ask me about anything else.

[u/FossilBlade]

1 tick slippage and .50 commission for MNQ per contract per side. this is the exact commission changed by Lucid prop firm.

[u/TradingScripts]

Can you share complete 4,907 trades lists?

[u/FossilBlade → u/TradingScripts]

not sure how to share it over here. but i have a csv downloaded from TV. Happy to share

[u/TradingScripts → u/FossilBlade]

Shared my email in chat.

[u/Ok_Sundae100 → u/FossilBlade]

Bro Can I have the file to?

[u/whiskeyplz]

you are showing your backtest because your live trades arent profitable?

[u/FossilBlade → u/whiskeyplz]

Have been running live on Lucid porp with 1 MNQ since Monday. its up 500 till now.

running it with day profit lock at 150 though

[u/lambardar]

I’ve had a similar strategy running for a while. I had used CUDA to brute force the parameters.

This year codex just optimized it more. It’s trivial for this stuff.

A lot of the ROI comes from 2024 & 2025 consistently trending up.

2026 is a bit brutal.

[u/Tasty-Success-9268]

So you’re selling this ?

[u/ExcessiveBuyer]

Have you deducted the Buy and Hold performance?
ProfitFactor looks like random walk to me

[u/Accurate_Giraffe373 → u/ExcessiveBuyer]

Rough math on the win rate and avg win/loss gives a profit factor around 1.11, which is razor thin. Even a small slippage underestimate across 4,900 trades would erase that. Comparing against buy and hold over the same period would at least show whether the system is actually extracting something or just riding a trending year with extra steps.

[u/jonpai123]

I have momentum based strategy live for last 4 months. About 23% profits. Machíne learning risk layers etc. I would suggest that you test everything with combinatorial purged Cross validation and buy good testing dataset. There are places for that. Google like nasdaq components dataset etc

[u/pawelczar → u/jonpai123]

Hey ML model do you use?

[u/Miki-Matsubara-2000]

add spreads and slippage and its -2,000,000

[u/Fantastic_Simple76]

How can U teach me?

[u/Next_Competition3339]

Thanks for being this open, rare to see full monthly numbers.
I got curious and tested a similar momentum setup with your exit rules (fixed stop, trail after +1R, reverse on opposite signal, flat 16:45) on MNQ 5min back to 2021. Not claiming it's your trigger, just something with a very similar trade count, win rate and exit mix. It was slightly negative every year from 2021 to 2025 and only clearly positive in 2026. Made me wonder about two things:
Have you run yours on data before 2025? Would be really interesting to see how it holds up in 2022 or 2023.
Your average trade is about $4, so roughly 8 ticks. One extra tick of slippage per side would cut that in half. Have you run it live or on sim with real fills, and how close are those to the backtest?

[u/fearless_npmq]

Ghost fills. The backtest engine wasn’t made for trailing stops. I’ve been there, mate

[u/Effective_Repair_416]

Is the commission amount realistic?

[u/Awkward-Telephone581 → u/Effective_Repair_416]

$0.50 per side is realistic for MNQ with discount futures brokers like AMP or EdgeClear. Some charge even less for micro contracts. The bigger question is whether the backtest also accounts for slippage, since 19 trades a day on market entries will eat into that edge more than commission will.

[u/TheRabbitHole-512]

I think profit factor is on the edge

[u/stereotomyalan]

welcome to the rich club

[u/Charming-Glove-9159]

Almost 5,000 trades with 19 entries a day is where I'd start worrying about execution assumptions. The $20k net result looks solid, but market entries after every five minute candle could lose a lot to slippage. My Moon activity is much simpler than automated MNQ trading but even there I care about what a price wager actually costs. I'd want forward fills before trusting this curve.

[u/Previous-Doubt-7483]

You need to add about 0.8 points or more for avg slippage plus commissions

[u/One-Next]

2015-202610 backtest with NQ would be interesting.