Counter-Trend Futures Scalping with Exhaustion and Mean-Reversion Filters

Summary

This NQ/MNQ strategy is designed to fade extended moves, using a combination of price, volatility, volume, and market-structure signals. Its named setups include overextension fades, delta divergence, liquidity-sweep traps, aggressive-flow fades, absorption, and volume-range retests. The visible code calculates ATR, ADX, VWAP and its deviation bands, Bollinger Bands, squeeze momentum, an adaptive efficiency ratio, and a multi-scale Hurst estimate. It also begins an augmented Dickey-Fuller mean-reversion filter. Inputs let users enable features and set confidence and exit parameters.

The script describes confidence scoring and dynamic filters, with exits tied to swing extremes and a target aimed toward the mean; the available excerpt does not show enough of the scoring and order logic to reconstruct them fully. It identifies itself as a backtest strategy, but the document contains no performance report or evaluation results. Counter-trend trades can face persistent moves, and the excerpt does not establish that its filters overcome that risk or account for all live execution conditions.

Key ideas

• The system seeks counter-trend entries after signs of price extension or weakening momentum.
• Its listed signal families include divergence, liquidity sweeps, absorption, and volume-zone retests.
• VWAP and Bollinger deviations help identify unusually extended prices.
• The code includes regime measures such as an efficiency ratio, Hurst estimate, and ADF-style test.
• The excerpt omits key strategy logic and reports no empirical performance.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.