Strategy 21_ESNQ -- Anchored VWAP
A simple strategy for ES/NQ with 26.36% CAGR, -31.33% MaxDD, 57.29% win rate, 2.36 profit factor, and 1.07 Sharpe.
Disclaimer: the following post is an organized representation of my research and project notes. It doesn’t represent any type of advice, financial or otherwise. Its purpose is to be informative and educational. Backtest results are based on historical data, not real-time data. There is no guarantee that these hypothetical results will continue in the future. Day trading is extremely risky, and I do not suggest running any of these strategies live.
Technically, there are three strategies in this post, so I could cheat if I wanted to, but I'm not going to. However, what I am going to do is be brief, since I have two more to finalize and get published before 2025.
This strategy is super simple. It uses two variations of an anchored VWAP to look for three different setup opportunities. It has two long strategies (one that will hold overnight) and one short strategy (that holds overnight but for minimal days/bars). It uses ATR (average true range) to create stops and targets alongside technical targets/exits.
Strategy Results
Below, you can see the results for each variation of this strategy (by instrument) and the combined results.
The full report can be found here:
Strategy Logic
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