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

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

Stage:
Recruitment of participants
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Dron
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  1. Dron

    Dron Well-Known Member
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    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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