Add NQ backtest results for VWAP trend strategy
This commit is contained in:
parent
22750bcd5d
commit
a453c1b0fd
@ -46,4 +46,16 @@ Unfortunately the results for TQQQ don't look as good as the paper suggests, at
|
||||
|
||||
![SPY, 1 Minute, 2007-2024, Summary](./backtest-results/spy_1m_2007_2024_summary.png)
|
||||
|
||||
### Futures
|
||||
|
||||
**NOTE**: Backtest results for futures are using US equities extended trading hours as the results look more favorable than when including all of globex.
|
||||
|
||||
Also, I'm using a higher time frame here (15 minute) in order to limit the number of trades due to fees + commissions on futures, but results for lower time frames should be similar.
|
||||
|
||||
#### NQ, 15 Minute, 2018-2024
|
||||
|
||||
![NQ, 15 Minute, Analysis](./backtest-results/nq_15m_analysis.png)
|
||||
|
||||
![NQ, 15 Minute, Summary](./backtest-results/nq_15m_summary.png)
|
||||
|
||||
---
|
BIN
strategies/vwap-trend/backtest-results/nq_15m_analysis.png
Normal file
BIN
strategies/vwap-trend/backtest-results/nq_15m_analysis.png
Normal file
Binary file not shown.
After Width: | Height: | Size: 131 KiB |
BIN
strategies/vwap-trend/backtest-results/nq_15m_summary.png
Normal file
BIN
strategies/vwap-trend/backtest-results/nq_15m_summary.png
Normal file
Binary file not shown.
After Width: | Height: | Size: 63 KiB |
Loading…
Reference in New Issue
Block a user