JTrades | Quant Futures

Futures quant dev. I backtest the setups your favorite guru sells and publish the autopsies. NQ/ES | Python | Order flow. Read the research drops 👇

[JTrades | Quant Futures @JTradesQuant]

I’ve had this account for a while, but we are pivoting today.

I just spent the last month building a Python engine to backtest 16 years of 1-minute NQ/ES tick data. I was hunting for the ultimate daytrading edge.

Instead, my backtests proved that the standard retail playbook is a mathematical trap.

Over the next few weeks, I’m publishing the research autopsies on exactly why:
1. The "Friction Floor" destroys 5-min ORBs.
2. VWAP pullbacks are a visual illusion.
3. 0DTE options completely broke the modern tape.

Stop risking your capital on setups that algorithms arbitraged away 5 years ago. Follow along as I document the hunt for institutional edge and share my live forward-logger data. 📊

[JTrades | Quant Futures @JTradesQuant]

Makes total sense. I was just running the correlation data on this in Python, and the intraday divergence is definitely becoming the new baseline. They're trading like completely different liquidity pools lately. Have you found NQ is giving you cleaner setups since you stopped pairing them?

[JTrades | Quant Futures @JTradesQuant]

@Bentrades_ttfm +5.1R is the kind of trade that actually survives friction. Costs are a rounding error on a move that size. The small 1R scalps are where edge quietly bleeds out. What's your typical R on winners vs the scratches?

[JTrades | Quant Futures @JTradesQuant]

@fannitrades Respect for posting the honest version. A BE, a loss and a win on MNQ can easily net negative once commissions are counted, which is why skipping marginal sessions is a real edge, not a cop-out. Do you have a rule for which London sessions you sit out?

[JTrades | Quant Futures @JTradesQuant]

@LeoInvests Clean read with the SMT. Nice detail posting the micro count too. On 4 MNQ the round-turn commissions are a real line item vs the move, and most people skip that math. Do you scale to minis once a setup like this proves out on funded?

[JTrades | Quant Futures @JTradesQuant]

@TylerG_Capital Holding overnight off a daily FVG is the smart side of the friction math: a few ticks of slippage barely registers against a move to ATH. Intraday traders pay the same costs for a fraction of the distance. What's your invalidation if it loses the FVG?

[JTrades | Quant Futures @JTradesQuant]

@CandyTheTrader Honestly that long bias might have data behind it: NQ has trended up for most of the last 16 years, so shorts have been swimming upstream. Worth checking whether your short setups actually pay after costs before forcing them. Do you track long vs short separately?

[JTrades | Quant Futures @JTradesQuant]

@_claudiarea @Tradeify Congrats on the milestone. The CFD-to-futures switch is underrated: real exchange fills and a real tape. One thing for anyone following your lead: fixed per-contract commissions hit micros much harder as a % of the move. Micros or minis for you?

[JTrades | Quant Futures @JTradesQuant]

@Corleone_Trades Brutal, but a scratch 2 points from TP is the system working. The part people miss: on NQ those 2 points are 8 ticks, so a limit that sits a couple ticks inside the level can turn a lot of these into wins. Do you front-run your TP or rest it at the level?

[JTrades | Quant Futures @JTradesQuant]

@DadTraderr Love seeing GEX and delta together. 0DTE dealer hedging is a big part of why call walls hold intraday now. The friction math on this one is tight though: with a 3pt stop, a tick of slippage each way is ~17% of your risk. ES or MES for these?

[JTrades | Quant Futures @JTradesQuant]

@AndrewTradesNQ @Tradesyncer Clean HTF-to-1m stack. The math I keep coming back to in my NQ backtests: a 1m entry only survives friction when the draw is far enough away, like your untapped 1H FVG. What's your minimum distance to target before you take a 1m trigger?

[JTrades | Quant Futures @JTradesQuant]

@alma271828 Scaling stops and targets to realized vol instead of fixed points is the part most people skip. It's also where friction bites: on low-vol days a fixed 1-tick cost becomes a much bigger share of the stop. Do you have a minimum vol filter for ES entries?

[JTrades | Quant Futures @JTradesQuant]

@theagnft The 15m VWAP test is the right tell. One nuance from my NQ backtests: early in the session VWAP chases price, so an open "test" is often VWAP coming to price, not price respecting it. Do you give it more weight after the first hour?

[JTrades | Quant Futures @JTradesQuant]

Great breakdown of the ORB mechanics, and respect for flagging "before costs." I just ran 16 years of Databento tick data on NQ opening breakouts (testing both direct and pullback entries). The gross edge is absolutely real, but I found the 1.50pt round-turn friction floor eats almost the entire numerator on the micros. Are you trading the full minis (NQ) to outrun the commission drag?

[JTrades | Quant Futures @JTradesQuant]

@Jake__Wujastyk Big monthly setup. I've been backtesting NQ across 16 years of data, and the signals that hold up best are the higher-timeframe ones like this. Intraday edges get eaten alive by friction; monthly structure doesn't. Curious what you're using to define the invalidation?

[JTrades | Quant Futures @JTradesQuant]

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[JTrades | Quant Futures @JTradesQuant]

Just hit Level 2 · Rookie on @tradeify. #Tradeify

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