Markets
NQ futures backtesting
Short answer
To backtest an NQ strategy honestly, set stops by how far NQ really moves, fill after the signal, and read the results by year, because NQ’s volatility changes a lot. In BenchAlgo the harness runs the idea on up to 15 years of NQ or MNQ history and scores it out of 10.
NQ and MNQ contract facts
NQ is the E-mini Nasdaq-100 future, worth $20 times the index. MNQ is the micro version, one tenth of the size. The tick is 0.25 index points, the same as ES, on an index that trades at a much higher level.
| Contract | Tick | Tick value | 16-tick minimum stop | 3 ticks of slippage, round trip |
|---|---|---|---|---|
| NQ | 0.25 | $5.00 | $80 | $15.00 |
| MNQ | 0.25 | $0.50 | $8 | $1.50 |
What to watch on NQ
- Stops in ticks mean less here. The tick is the same as on ES, but the same percentage move is many more ticks. A 16-tick stop is 4 index points, and that is small on NQ. Size stops from what the market does.
- Volatility regimes. The same setting can be far too tight one year and far too wide another. Check it year by year and test the neighbouring settings.
- Dollar swings. Moves are large in ticks, so one contract can swing a lot. Try MNQ if the drawdown is too big for your account.
- A strong rising market flatters long-only ideas. Compare with random entries before you believe the curve.
Most of our own strategies on the home page trade NQ. Their results are backtests: hypothetical, and chosen with hindsight.
How the backtest runs in BenchAlgo
- Your strategy gets completed 1-minute bars, one at a time. The plan includes up to 15 years of OHLC bars, from CME Globex data.
- Bars come from one front-month contract per session, never a blend. History is back-adjusted at rolls, so there is no jump at a roll.
- Orders fill at the next bar open at the earliest, and the stop is checked first inside a bar.
- A strategy holds one position at a time, from 1 to 10 contracts, and is flat by 16:10 ET. Nothing is held into the next session.
- You see profit and loss in US dollars, and every trade as a move in ticks from its entry. You never see raw prices.
Read more: Fills, slippage and fees · How scoring works · Results from our own strategies