Add NQ backtest results for VWAP trend strategy

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moshferatu 2024-09-02 06:30:25 -07:00
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@ -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) ![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)
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