diff --git a/strategies/vwap-trend/README.md b/strategies/vwap-trend/README.md index 834b81a..b3c5703 100644 --- a/strategies/vwap-trend/README.md +++ b/strategies/vwap-trend/README.md @@ -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) + --- \ No newline at end of file diff --git a/strategies/vwap-trend/backtest-results/nq_15m_analysis.png b/strategies/vwap-trend/backtest-results/nq_15m_analysis.png new file mode 100644 index 0000000..216f10b Binary files /dev/null and b/strategies/vwap-trend/backtest-results/nq_15m_analysis.png differ diff --git a/strategies/vwap-trend/backtest-results/nq_15m_summary.png b/strategies/vwap-trend/backtest-results/nq_15m_summary.png new file mode 100644 index 0000000..dc9a2e3 Binary files /dev/null and b/strategies/vwap-trend/backtest-results/nq_15m_summary.png differ