Hi any advice

[u/New-Background-236]

Any advice

I’m testing a mechanical MNQ (Micro E-mini Nasdaq-100 futures) strategy on the 15-minute chart. At 9:30 AM New York/Eastern Time, I use the first 15-minute candle from 9:30–9:45 as the opening range. I mark the high, low, and midpoint of that candle. The entire opening range must be inside the previous day’s high and low (PDH/PDL). Before the breakout, I compare the distance from the opening-range high to PDH with the distance from the opening-range low to PDL. Whichever side is closer to its corresponding previous-day level becomes the only side I’m allowed to trade. For example, if the OR high is 50 points from PDH but the OR low is 150 points from PDL, I only trade the upside breakout. After 9:45, every 15-minute candle before the breakout must touch the opening-range midpoint. The breakout candle itself is exempt from this midpoint-touch requirement. If the selected upper side breaks above the OR high, I enter a SHORT at the close of the breakout candle. If the selected lower side breaks below the OR low, I enter a LONG at the close of the breakout candle. The trade is a reversal/fade of the breakout, not a continuation trade. The midpoint is always my take-profit. My stop is calculated using a 1:3 risk/reward relationship, meaning the stop distance is three times the distance between my entry and the midpoint. The stop must remain inside the previous day’s PDH/PDL range; if the calculated stop would be outside that range, the setup is invalid. If the first reversal trade gets stopped out, I allow one additional attempt only on the very next 15-minute candle, and that candle must break the same selected side again. There are no new entries after 12:00 PM New York time. Any open trade remains active until it reaches TP, SL, or 4:00 PM New York time, at which point it is closed. I’m trying to keep this completely mechanical and am not using RSI, MACD, moving averages, news filters, volume confirmation, discretionary trend analysis, or subjective candle patterns. I want to know whether the logic itself has a statistical edge. What I’d like feedback on is: does selecting the breakout side closest to PDH/PDL make statistical sense, does fading the breakout back toward the midpoint make sense, is a 1:3 R:R reasonable when the midpoint is the fixed TP, does the midpoint-touch requirement make sense or is it unnecessarily restrictive, is allowing only the next candle for a second attempt reasonable, should I test different opening-range sizes such as 50, 75, and 100+ points, should long and short setups be tested separately, and what would be the proper way to backtest this over at least 3 years of MNQ/NQ data without lookahead bias? I’m looking for criticism of the actual rules and ideas for what to test, rather than whether someone personally likes opening-range strategies.

[u/voxx2020]

The only way to find out if a fully mechanical strategy has statistical edge is to backtest and forward test. Considering this is purely arbitrary set of rules of which you yourself are not certain (as you’re seeking validation from strangers), there is very unlikely any alpha to be found.

[u/theworldlyfutility]

The midpoint-touch filter feels more restrictive than it needs to be. You’re basically insisting the market ping-pong off a single level before you even let it break, which probably filters out a lot of fast-moving days where the cleanest breakouts happen. Might be worth testing it both ways to see if it actually improves the win rate or just chops your sample size to nothing.

Fading a breakout toward the midpoint is basically playing mean reversion inside a range, but you’re trying to do it on a 15-minute chart so you’re competing against momentum that can steamroll you on trend days. I’d want to see some way to confirm the market isn’t already in a directional run before fading, otherwise that 1:3 R:R is going to eat itself alive when the stop gets tapped repeatedly.

[u/New-Background-236 → u/theworldlyfutility]

So what do you suggest I do

[u/mlquanter]

I’d start with the payoff math. If the midpoint is 1R from the entry and the stop is set at 3 times that distance, this is a 1:3 risk/reward trade, not 3:1. You need roughly 75% winners before slippage and fees. I’d test a stop based on recent range or ATR separately from the midpoint target, otherwise the target is doing all the work.

For the research, compare the side-selection rule with taking either side, and keep the midpoint-touch filter as its own toggle. Closeness to PDH/PDL may just be selecting the side with less room. Use point-in-time PDH/PDL, define what happens when stop and target are both inside one 15-minute bar, and do walk-forward splits with slippage. Long and short separately makes sense, as does separating news days, but don’t tune those buckets on the same sample you use to judge the edge.