NQ Midday Momentum Strategy Using Hull Averages and ATR Exits

Summary

This strategy is designed for Nasdaq futures and combines short-period Hull moving averages of highs and lows with a longer exponential moving average and a rate-of-change filter. It enters long when price crosses above a trailing boundary while above the longer average and recent momentum is positive; the short logic mirrors those conditions. Entries are limited to a specified daytime session, require a flat position, and are suppressed around contact with the long moving average. Positions are closed at the end of the session, with ATR-derived profit and loss distances also specified.

The accompanying research narrative describes testing multiple strategy families and parameter combinations over historical and more recent periods, and presents backtest profit, drawdown, and profit-factor figures. These are author-reported results, not independently verified findings. The code and narrative also differ in their stated entry windows and trade-frequency description, so implementation details merit review. The author characterizes the system as a research candidate that may need walk-forward retuning as regimes change, rather than a ready live-trading system.

Key ideas

• The strategy uses Hull average boundaries, a long-term EMA, and three-period rate of change to form directional signals.
• Trades are restricted to a daytime session, and new entries require the strategy to be flat.
• ATR-based profit and loss distances are specified, and open positions are closed at session end.
• The author reports historical and recent backtest results, but the document supplies no independent verification.
• The stated session and entry-frequency details are not fully consistent across the code and narrative.

Tags

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