Fading Extreme Volume and Range Spikes in NQ Futures

Summary

This strategy seeks mean reversion after an unusually high-volume, wide-range bar in NQ futures. It identifies candidate reaction bars using volume relative to a moving average and range thresholds, with optional filters for repeated recent spikes, candle body shape, time of day, session boundaries, market regime, and proximity to preset confluence levels. It then places symmetric limit entries just outside the bar’s extremes, aiming to trade a return toward its interior. The first entry to fill cancels the opposite order, and pending orders can expire after a configurable time.

Stops and targets vary by geometry preset, with the default aiming toward the bar midpoint and an aggressive option targeting nearer the entry while accepting greater risk per trade. The script itself warns that lower-timeframe backtests may need intrabar magnification to model close-target outcomes. Its static NQ levels are calibrated to a stated historical window and can become stale. The document describes a strategy design, not independently validated evidence of profitability; results depend on settings, market conditions, execution costs, and backtest assumptions.

Key ideas

• The setup fades bars that combine unusually high volume with an unusually large price range.
• Limit entries are placed beyond both bar extremes to seek a snap-back, with the first fill canceling the other side.
• Filters can exclude clustered signals, selected candle shapes, time windows, weak regimes, or trades near static levels.
• Preset trade geometry changes stop distance and target depth, affecting the risk taken for each trade.
• Static confluence levels are tied to a specified NQ calibration period, and backtest fills may require intrabar modeling.

Tags

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