High win-rate, low exposure, free capital — NQ Snap plays smart and pulls ahead of the benchmark.
Inspirations
Quick setups in the stocks of major indices are similar to a spring: the more you compress it, the more dynamically it rebounds. NQ Snap targets these moments, capturing short-term extremes in the right environment. The signal is intended to be rare but high-quality, with precise entry points to minimize slippage. This strategy is designed as a "plug & play" addition to a system portfolio, emphasizing simplicity and repeatability.
Key Components
Trend direction filter (long horizon).
Short-term impulse/weakness as a tactical trigger.
Limit entry to control the opening price.
Exits based on market strength rule (but the exit signal is different from most reversal strategies).
SL and PT at levels distinguishing the characteristics of this strategy.
Backtest 1 – Fixed $ Money Management
In this version, we assess the stability of the parameters and the strategy's performance using a fixed investment amount. Each test consistently involved an investment of $100,000 USD.
Parameters:
Initial investment capital: USD 100 000
Tested years 30
Date range: 1995–28.10.2025
Tested instrument: Nasdaq 100 (current and historical stocks from the Nasdaq 100 index)
Backtest 2 – % Money Management
In this variant, 100% of the current capital was used in the strategy, meaning the position value changed proportionally to the account balance. Here are the results:
The equity chart for this test looks as follows. The chart includes a benchmark—a faint yellow line at the bottom.
Trading Strategy Analysis
Net Profit and CAGR
The strategy achieved nearly three times the profit of the benchmark and a higher annual return rate (CAGR). The advantage was maintained throughout the entire test period.
Drawdown and Return/Open Drawdown Ratio
The capital drawdown was significantly lower than the benchmark, resulting in a clearly better Return/Open Drawdown ratio—the profit-to-risk relationship remained favorable even during more challenging market phases.
Exposure
The strategy's average exposure was only 16.6%, leaving substantial "portfolio capacity" for integrating NQ Snap with other uncorrelated systems.
Winning Percent
A hit rate of 72.6% demonstrates the selectivity of the signals and the consistency of the position selection process.
SL & TP
The strategy uses both Stop Loss and Take Profit.
Market Regime
The system was tested across diverse market regimes; filtering mechanisms support signal selection based on the prevailing market conditions. You can find more about market regimes here.
Trading Costs
The tests accounted for transaction costs and slippage, utilizing data from the broker Alpaca. You can explore our latest research on transaction costs with Alpaca here. With a diversified stock portfolio and strategy, transaction costs can significantly affect your profits or losses. Therefore, it's crucial to thoroughly test and select a broker.
Robustness
The strategy has passed the parameter modification tests. The principle of minimizing the number of parameters was adopted to enhance the strategy's robustness. The criteria for selecting parameters included their significant impact on effectiveness and alignment with the strategy's nature.
Additionally, we conducted stress tests covering all possible transactions based on historical data for the S&P 500 and S&P 100 indices.
S&P500
Max open positions: 100
Tested years: 30
Number of trades tested: 13810
S&P 100
Max open positions: 50
Tested years: 30
Number of trades tested: 3223
In both tests, the strategy remains very similar, achieving excellent results.
Recommended Instruments
Primary instrument: NASDAQ 100
Others: S&P 500, S&P 100
Pattern Day Trader
Attention! In the study used by PDT Finder, over a 30-year backtest, the strategy had only 20 instances in which a position was opened and closed on the same day.
However, practice shows that achieving Profit Target within one day occurs more frequently than in backtesting, and this is related to the strategy specifics and the natural limitations of backtesting described here (https://strategyquant.com/doc/strategyquant/sp-backtest-limitations/#SLPT).
Based on our experience, a sequence of 4 such transactions across five consecutive sessions has not occurred, so the strategy on its own should not trigger PDT.
Practical note: In a portfolio with other systems, the total activity may already meet the PDT requirements — it's worth keeping this in mind and also checking your whole portfolio using the PDF Finder.
Correlation
Checking correlation helps avoid duplicating risk in a portfolio and better combine systems with different profiles. You can find more about correlation here.
Strengths of the Strategy
A very low average exposure (16.5%) yields an impressive Exposure-Adjusted Return of over 83%, making the strategy suitable for integration into a portfolio alongside other systems.
A high percentage of profitable transactions (72%) confirms the quality of the signals.
A reasonable maximum drawdown of around 20%.
Several components of this strategy are less frequently used in our strategies, providing a unique profile that adds value to the portfolio.
Weaknesses of the Strategy
There are fewer signals when the market is "standing still" or rising quickly. The strategy targets quick extremes, so if the market lacks dynamism, signals will be limited.
The backtest limitations outlined in the PDT section do not account for some profitable trades that are closed on the same day they are opened.
Summary
NQ Snap is a strategy I personally love. It is designed to capitalize on fear, and exits when the market regains strength. In tests, it outperforms a benchmark while maintaining much lower drawdowns. It operates infrequently but with precision, meaning capital is engaged only for a small portion of the time on average. This makes it easier to integrate with other systems in a portfolio. If you're seeking an approach that combines reasonable risk with a predictable process and simple rules, NQ Snap meets these criteria.
What you get in the package for this strategy:
An eBook describing detailed rules and results of the strategy.
The SQX file is ready to use on the Algocloud and StrategyQuant platforms.
Pseudocode that describes all the rules in an easy-to-understand way.
Disclaimer
The results obtained from historical data do not guarantee future outcomes. The effectiveness of a strategy can change over time. Backtesting is a tool that allows for the analysis and evaluation of an investment strategy based on historical data. Various factors, such as market changes or economic conditions, can influence the effectiveness of a strategy over time.
Investing always involves risk. This material is not investment advice. We share our experience and algorithms for educational purposes. We make efforts to ensure that our algorithms are error-free, but neither we nor the tools we use guarantee the absence of technical issues. Any decisions to use a particular strategy are made at your own risk and should be preceded by careful understanding and verification. You should always carefully consider your investment goals and risk tolerance before making investment decisions.
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