Let me start by saying this is not tradable. If you trade it, I think you'll lose all your money. I usually create some intraday strategy by looking at low time frames alive or in the last week or two in notice some trend. Therefore, I think I'm overfitting for the last few days or weeks. I then turn it into an algae and see if it works. this tested nice for the last few years but if you long term it's a loser for sure.

Key features for trying to scalp intraday:

  • if you could just capture a five point move (less than 1 ATR of NQ) everyday, at $20 a point, that's $100 a day.  Seems easy as it moves that much on most minutes of the day and there are 1380 tradeable minutes a day in futures
  • if doable, it could be scalable as futures have liquidity - Therefore you could be wealthy LOL
  • identify a trend in the five minute bars and try to hold it until the trend changes.
  • Trades one futures contract only, NQ Mini
  • Tried to use multiple indicators to confirm a turn and direction including EMA slope, RSI slope, momentum slope and ultimate oscillator slope - I had MACD histogram slope too but it performed worse
  • Used a long term EMA to help guide the trend.  if 500 ema was positive then I needed the signals to happen twice in a row to go short but only once to go long and vice versa.

 

I have no real financial or coding background so this probably breaks many rules on what makes a good algorithm.

I would like to get feedback on a few things if anyone has any:

Feedback on the theory

Feedback on the code itself

Feedback on just the idea of intraday trading and scalping - After years of looking at different indicators, time frames, strategies etc I'm pretty convinced that there is no way to trade intraday at all. I speculate the reason for this is that I can't compete with Wall Street high frequency trading algorithms

Any other constructive discussions are welcome!

Big thanks in advance for constructive criticism