Built an extreme reversal algo for MNQ/NQ — 4.5 years of backtested data and test results for this week, 7,157 trades, here's everything
Built an RSI extreme reversal algo for MNQ/NQ — 4.5 years, 7,157 trades, here's everything
Strategy
4.5 years confirmed. 7,157 trades. No cherry-picking.
Win rate: 92.0% Profit factor: 2.35 Total P&L (1x): +$133K EV per trade: $7.29 Losing months: 1 out of 53
Been building a pure RSI extreme reversal strategy on MNQ/NQ futures. Finally have enough data to share something real.
The core idea: don't trade every overbought/oversold condition. Wait for an extreme — only the most stretched readings within a rolling window qualify. No extreme, no trade. One filter that eliminates most noise.
YEAR-OVER-YEAR CONSISTENCY:
- 2022 — 1,791 trades | 92.2% WR | PF 2.44 | +$34,267
- 2023 — 1,355 trades | 91.2% WR | PF 1.79 | +$15,185
- 2024 — 1,518 trades | 90.6% WR | PF 1.83 | +$20,952
- 2025 — 1,755 trades | 93.2% WR | PF 3.09 | +$43,997
- 2026 — 609 trades | 93.1% WR | PF 3.15 | +$16,539
No year is negative. Profit factor has been expanding since 2023.
STREAK ANALYSIS — 7,157 trades:
Max winning streak: 71 consecutive wins Top streaks: 71, 67, 67, 52, 46 Average streak: 12.7 wins Streaks of 50+: 4 times
Max losing streak: 3 consecutive losses — happened only 3 times ever 4 in a row: never
MONTE CARLO — $6K → $1M with 6 MNQ (5,000 simulations):
Hit $1M: 93.9% of simulations Bust rate: 6.1% Median time to $1M: 21 months Fast track (10th percentile): 17 months
LIVE PERFORMANCE — Memorial Weekend 2026:
24 trades. 23 wins. 1 loss. Win rate: 95.83% Gross P&L: +$315.00 | Net after fees: +$287.96 Best trade: +$47.00 | Worst trade: -$2.50 Avg hold time: 2min 10sec | Longest trade: 11min 13sec
The one loss lasted 11 minutes — the longest trade of the session. The time stop did its job. The actual losing trade was only $2.50. Fees represented 91.54% of total gross losses that session.
HOW THE EXITS WORK:
- Hard stop: 60 points from entry
- Trailing stop: activates after 87 ticks, locks in profit as price moves
- Time stop: closes anything open past 20 minutes — no holding stale trades
WHAT THE DATA TAUGHT ME:
- Consistency beats big wins. 53 months of data, only 1 losing month. The edge isn't one great trade — it's showing up every session with the same rules.
- The streak data is what convinced me. A max losing streak of 3 in 7,157 trades means drawdowns are shallow and recoveries are fast. You never get far underwater.
- Live matched the backtest. 95.83% win rate on the first live session against a 92% historical average. The behavior held up when real money was on the line.
- Fees are the real enemy, not losing trades. At this hold time and contract size, execution cost matters more than stop placement.
No input settings. No curve fitting. Parameters are fixed and have never changed. Locked to MNQ and NQ only.