Quant Radio: Intraday Momentum Breakout Strategy for ES & NQ Futures

Looking for a high-probability intraday strategy for ES and NQ futures? In this video, we break down a powerful momentum-based trading system designed specifically for the S&P 500 E-mini (ES) and NASDAQ-100 E-mini (NQ) futures markets. This strategy is rooted in academic research and further refined by Quantitativo to capture short-term price breakouts while managing risk through smart trade design.

At the core of the system is the concept of a “Noise Area”—a volatility-based range that helps filter out market noise and highlight significant breakouts. You'll learn how the strategy uses this zone to identify trade entries, along with well-defined exit rules using trailing stops, VWAP, and daily session closeouts. We also dive into dynamic position sizing based on volatility to keep risk exposure consistent, even in choppy conditions.

Backtested results show strong potential: up to a 24.3% annual return on NQ futures with a Sharpe ratio of 1.67. Combined with ES futures and a long-only component, the portfolio achieved a 22.4% return with reduced drawdowns. These results make it a compelling strategy to consider for intraday and futures traders looking to boost performance while managing risk.

We also cover the risks—slippage, flat periods, leverage, and the limitations of backtesting—so you get a balanced view of how this approach might fit your trading toolkit. Whether you're a day trader, futures trader, or exploring quantitative trading strategies, this video gives you a concise yet in-depth look at a research-driven trading edge.

Find the full research paper here: https://community.quantopian.com/c/community-forums/intraday-momentum-for-es-and-nq-quantitativo

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Quant Radio is an AI-generated podcast, intended to help people develop their knowledge and skills in Quant finance. This podcast is not intended to provide investment advice.