MOC Delta MOO Entry — Strategy by ThatOtherCarGuy
By ThatOtherCarGuy
Performance Metrics
- Author: ThatOtherCarGuy
- Symbol: CME_MINI:MNQ1!
- Timeframe: 5 minutes
- Net P&L: +146.00 USD (+0.01%)
- Win Rate: 22.2%
- Profit Factor: 1.412
- Max Drawdown: 152.50 USD (0.02%)
- Total Trades: 9
- Sharpe Ratio: −0.971
Description
This model is a momentum-based futures strategy that uses the buy/sell delta during the MOC window (3:50–3:59 EST) to determine market sentiment. If the MOC delta exceeds a customizable percentage of total daily volume, a trade is triggered at the next day’s 9:30 open, but only if the price opens above or below the 15 and 30 SMAs (for long or short entries, respectively). All trades are exited at 3:50 PM EST on the same day.