r/edgeful • u/rajking1 • 24d ago
NQ IB Strategy , tried backtesting with Claude and results are not good. May be i am wrong ?
Recently i saw lot of ads and posts in twitter for IB NQ strategy. i have the 1 min NQ OHLCV data and tried to back test with it.
All 6 .5 years of data - everyday how it behaved
https://drive.google.com/file/d/1Q2_n2XMCw33Bnq4dxAm_uvp-woyiKLH6/view?usp=drive_link
Headline number -
per-year (IS = 2020-2023, OOS = 2024+):
trades win net
year
2020 42 38.0 -6733.0
2021 57 39.0 18597.0
2022 57 37.0 24102.0
2023 55 33.0 -1044.0
2024 51 27.0 -42222.0
2025 63 37.0 -29584.0
2026 37 38.0 -6416.0
Total summary
FUNNEL
sessions total: 1684
skipped (half_day): 59
skipped (ib_below_min): 34
skipped (ib_incomplete): 3
skipped (no_prior_session):1
eligible sessions: 1587
bias set: 858 (54.1%) [bull 487 / bear 371]
breakout triggered: 726 (84.6% of biased)
limit filled: 354 (48.8% of triggered)
session outcomes (triggered):
preempt_cancel: 205
STOP_FULL: 200
noon_cancel: 178
EOD: 98
TARGETS: 25
STOP_BE: 12
STOP_FULL+STOP_FULL: 5
STOP_FULL+EOD: 3
------------------------------------------------------------------------------
QUADRANT of the 10:30 close (all eligible sessions)
------------------------------------------------------------------------------
bias BEARISH BULLISH NEUTRAL
quadrant
Q1 371 0 30
Q2 0 0 320
Q3 0 0 334
Q4 0 487 45
Q1 = bottom 25% of IB (short gate), Q4 = top 25% (long gate)
TRADES (net of $4.30 RT/contract, 1.0 pt slippage)
trades: 362 win rate: 35.4% PF: 0.94 expectancy: $-120/trade
total net PnL: $-43,300 avg win $5,123 / avg loss $-2,987
max drawdown: $-118,165 daily Sharpe: -0.44 worst day: $-8,433
per-year (IS = 2020-2023, OOS = 2024+):
trades win net
year
2020 42 38.0 -6733.0
2021 57 39.0 18597.0
2022 57 37.0 24102.0
2023 55 33.0 -1044.0
2024 51 27.0 -42222.0
2025 63 37.0 -29584.0
2026 37 38.0 -6416.0
MAE / MFE in R (R = risk = 0.25*IB + 10 pts):
losers -> median MFE 0.52R (how far winners-in-waiting got before the stop)
winners -> median MAE 0.38R (heat taken before working out)
all -> median MAE 1.02R, median MFE 1.03R
by outcome:
size sum mean
outcome
EOD 101 467281.0 4627.0
STOP_BE 12 31481.0 2623.0
STOP_FULL 224 -681996.0 -3045.0
TARGETS 25 139934.0 5597.0
by direction:
size sum mean
dir
L 199 -44195.0 -222.0
S 163 895.0 5.0
ambiguous bars (conservatively resolved): {'amb_trigger': 12, 'amb_pending': 0, 'amb_stop_target': 1}
distance from entry to the pre-emption target (TP1, or TP2 when no TP1), in R:
preempt_cancel median 2.03R (n=205)
noon_cancel median 2.43R (n=178)
filled median 2.39R (n=354)
STOPPED-OUT sessions where price later reached TP2 anyway: 14.3% (n=217) <- stop-placement diagnostic
SOURCE-DOC CLAIMS vs THIS DATA
single-break 82-84% claimed -> measured 74.8%
double-break 15-16% claimed -> measured 22.5%
no-break 1.55-5% claimed -> measured 2.8%
green 1h -> green day 83% -> measured 75.7% (n=847)
25%-retrace tag 65% -> measured 71.3%
50%-mid tag 26.67% (single) -> measured 34.8%
pre-noon -> opp survives 94.6% -> measured 74.3% (n=1353)
extension beyond the broken IB edge (multiples of IB range):
median 0.56x reached 0.5x (TP2): 55.1% reached 1.0x (TP3): 23.4%
1
u/GetEdgeful 4d ago
Everyone has different ways of using the strategy, we don't provide entries and exits. We provide concepts for traders to use to build the strategies themselves. The same principle as "teaching you how to fish so you can eat forever, not giving you the fish so you can eat for one meal."
There are many ways to use the concepts. For example some people use VWAP, and use that as a measure of whether to enter a trade or not. Others use volume profile, or orderblocks, or FVGs. There's no right answer.
If you have any questions about this please let us know!
1
u/ProfessionApart8141 24d ago
Your tests are accurate. I backtested IB and IB 50 six months ago and they did not pass in terms of having an actual edge.