NASDAQ-100 FYP Strategy
- Year
- 2026
- Role
- Research, implementation, evaluation
- Status
- Final-year project
What it is
My final-year project: a rule-based quantitative strategy for NQ1! E-mini futures built around Smart Money Concepts. It targets the NY morning session with an Inverse Fair Value Gap plus Change in State of Delivery double confirmation, inside a strict 28-minute execution window.
Honest results
In-sample (Jan 2025 – Feb 2026): 56.94% win rate, +$28,400 net P&L, 1.703 profit factor, 0.95% max drawdown across 72 trades.
Out-of-sample (Jan 2023 – Dec 2024): 36.27% win rate, 0.855 profit factor, −$15,650. Reporting the weaker out-of-sample period is deliberate – it shows awareness of overfitting and market-regime risk rather than hiding it.
What survived testing
- —A 1-minute liquidity-sweep filter was the only added filter that helped: +7.76% win rate, +0.311 profit factor. It stayed.
- —HTF EMA trend filter, minimum FVG-size filter, strong-candle filter, and a volume filter were all tested and cut – no meaningful edge, or worse.
The sequel: the edge went on trial
After submission I built a six-phase, pre-registered research program around this strategy – a no-lookahead backtest engine, walk-forward validation, and frozen decision rules – to settle whether the +$28,400 was a real edge or period-specific tuning. It was tuning: across ~10 years, three futures markets, and 1,402 out-of-sample trades, the edge did not survive. The full story is in the Quant Strategy Research Program case study.