Intraday ES and NQ Liquidity Sweeps with ATR Stops and Trailing Exits

Summary

This intraday futures strategy scores failed moves through prior-day, premarket, and opening-range levels. A long setup requires price to trade below and close back above at least two reference lows; a short setup mirrors this at reference highs. Trades are limited to the New York morning session and capped by a daily trade count. Stops sit beyond the signal bar by an ATR-based buffer, and the code defines one-risk and two-risk price levels.

The management logic moves the stop to entry after a one-risk favorable move, then trails it by the ATR buffer after price reaches two risk units. Although the description presents a staged exit with partial profit-taking and a runner, the code submits one exit with a limit at the two-risk target and does not implement a partial first target. Position quantity is set to a base value rather than calculated from stop distance, so the stated risk control does not guarantee constant monetary risk. No backtest results are supplied, and the ES/NQ timeframe suggestions are author guidance rather than demonstrated evidence.

Key ideas

• Failed breaks of prior-day, premarket, and opening-range levels contribute to directional setup scores.
• Entries are allowed during the New York morning window and subject to a daily trade limit.
• Initial stops use the signal bar extreme plus an ATR-based buffer, with targets derived from risk distance.
• The code moves stops to breakeven at one risk unit and begins trailing after two risk units.
• The narrative mentions scaling out, but the code does not implement a partial first target or stop-distance-based sizing.

Tags

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