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Recruitment of participants Futures Strategy F105: Overnight trade for @ES.D and @NQ.D

Discussion in 'Tradestation' started by Dron, 24 January 2024.

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Stage:
Recruitment of participants
Price:
299.00 USD
Participants':
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Organizer:
Dron
6%
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21 USD
  • Participants of Joint purchase:
    1. marty1221;

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  1. Dron

    Dron Well-Known Member
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    #1 Dron, 24 January 2024
    Futures Strategy F105: Overnight trade for @ES.D and @NQ.D

    The strategy works best for @ES.D and is a mean reversion strategy.

    The backtest uses Tradestation data from CME on continuous and back-adjusted data and local exchange hours (0930-1600 NYT). The strategy buys the close and sells at the close the next day (24 hours later).

    The equity curve (@ES.D):

    [​IMG]
    The equity curve (@NQ.D):

    [​IMG]

    Performance metrics (@ES.D):

    [​IMG]
     
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