Research · CE Market Solutions

Futures strategy backtests: research from CE Market Solutions

Plain-text backtests of futures trading strategies on CME data (NQ, ES and GC). Each report gives the claim tested, the rules exactly as tested, the data, the raw results and the sample size.

Strategy library: 100 strategies tested on NQ and ES

The strategy library holds 100 classic trading strategies (RSI, MACD, moving averages, Bollinger Bands, opening range breakouts, candlestick patterns and more), each run on the last 2 years of NQ and ES futures. Every rule is written out, every figure is gross, and every trade is listed.

• RSI 14 oversold / overbought (30 / 70)
• MACD (12, 26, 9) signal cross
• EMA 9 / 21 cross
• Golden cross / death cross (SMA 50 / 200)
• Bollinger lower band buy (20, 2)
• VWAP cross
• Opening range breakout, 15 minutes
• Previous day high breakout
• Supertrend (10, 3)
• Ichimoku Tenkan / Kijun cross
• Stochastic (14, 3, 3) cross in the zone
• Engulfing candle

Side by side: RSI vs MACD · Golden cross vs the EMA 20/50 cross · MACD signal-line cross vs MACD zero-line cross · Bollinger Bands vs Keltner Channels · Supertrend vs Parabolic SAR · Opening range breakout: 5, 15 and 30 minutes · RSI 30/70 vs RSI 20/80 vs RSI 2 · VWAP cross vs VWAP fade · Donchian 20 vs Donchian 55.

By family: Baselines · Candles and price action · Mean reversion and bands · Momentum oscillators · Moving averages · Opening and session · Popular combos · Trend and breakouts · Volume.

By market and timeframe: NQ 5 minute · NQ 15 minute · NQ 1 hour · NQ daily · NQ session · ES 5 minute · ES 15 minute · ES 1 hour · ES daily · ES session.

Buying only vs selling only: NQ · ES. Every question answered: strategy questions with backtest numbers.

Explainers

Plain-English answers to the questions people ask about backtesting futures strategies.

• What is futures backtesting?
  Futures backtesting runs a set of trading rules on past market data to show what those rules would have done, trade by trade, with costs included.
• How to backtest a futures strategy
  Write rules that cannot be misread, run them on 1-minute data with costs, hold some months back, read every trade, then change one thing at a time.
• What data do you need to backtest futures?
  You need price bars fine enough for your rules, usually 1-minute for intraday rules, with the front month chosen by volume and contract rolls marked.
• What is max drawdown in a backtest?
  Max drawdown is the largest fall of the cumulative result below its running peak, measured in R or in dollars, starting from the beginning of the run.
• R multiples and expectancy, explained
  An R multiple measures each trade in units of the amount risked, and expectancy is the average R per trade, which shows more than win rate alone.
• How many trades does a backtest need?
  There is no set number: a backtest needs enough trades that one lucky or unlucky stretch cannot decide the answer, so read the count beside every figure.
• In-sample, out-of-sample and walk-forward testing
  In-sample data is what you build the rules on, out-of-sample data is held back to test them once, and walk-forward repeats that test through time.
• Backtesting vs forward testing vs replay
  A backtest runs your rules over past data, a forward test runs them on new data as it comes, and a replay lets you step through history one bar at a time.
• When the entry and the stop hit in the same bar
  A same-bar fill-and-stop is a trade that enters and hits its stop inside one bar; it really happens, so a sound backtest keeps it and counts it.
• Common futures backtesting mistakes
  Common futures backtesting mistakes: rules that use hindsight, ignored contract rolls, no costs, a hand-picked period, and trades the market never filled.
• How to get a trading strategy backtested
  You describe your rules, we run them on real CME futures history and return every trade and assumption; a version is $19, in two to three business days.
• Best futures backtesting tools in 2026
  The right futures backtesting tool depends on the job: build it yourself, step through history by hand, or hand the rules to someone who runs them for you.
• Free alternatives to FX Replay for futures
  Our Trade Lab, TradingView’s Bar Replay and the free plans of FX Replay and Tradezella all replay history; they differ in what is free, data and limits.
• Can ChatGPT backtest a trading strategy?
  ChatGPT can help write and explain a backtest, but on its own it cannot supply verified price data or exact fills, so the numbers need a run on real data.
• How to backtest a trading strategy with AI
  Use AI to sharpen the rules and draft code, then run them on real price data with stated fills and costs, and read every trade it produces.
• How to backtest a trading strategy for free
  You can backtest for free by hand on a chart, with a free platform tier, with your own code, or by replaying history bar by bar, each with its own limits.
• How to backtest a trading strategy in TradingView
  In TradingView you apply a strategy to a chart and read its results report; the result depends on the chart data, fill rules and properties you set.
• How to backtest a trading strategy for beginners
  Start with one rule you can say in two sentences, run it on past data with costs, read every trade it takes, and change one thing at a time.
• Can I backtest for free?
  Partly: on our service the Trade Lab replay is free with an account and a verified email, and a version is $19.
• Does NinjaTrader allow backtesting?
  Yes. NinjaTrader says strategy backtesting is free to use, through its Strategy Analyzer, which runs coded NinjaScript strategies over historical data.
• Is FX Replay better than TradingView?
  Neither is better across the board: FX Replay is built around replay sessions and a journal, TradingView around charts, a Strategy Tester and Bar Replay.
• Best backtesting software for beginners
  Beginners can start with a free platform tier, a free replay tool or a done-for-you service, depending on whether they code, practise or hand it off.
• Futures backtesting free
  Free futures backtesting is a free platform tier you code against or a free replay tool you step through; our backtest is $19 a version.
• NinjaTrader backtesting
  NinjaTrader backtests NinjaScript strategies in its Strategy Analyzer, with optimization, walk forward and Monte Carlo options, on data you load.
• Automated backtesting software
  Automated backtesting software runs coded trading rules over historical data without manual clicking and returns the trades and statistics for each run.
• How to pass a prop firm evaluation
  An evaluation measures whether you can keep to a firm’s fixed rules, so you prepare by writing your own rules down and testing them against those limits.
• Trailing drawdown explained
  A trailing drawdown is a loss limit that rises with your account’s highest balance, so the room you have is measured from the new peak, not from the start.
• Daily loss limit explained
  A daily loss limit caps how much an account may lose in one trading day; touch it and the day ends, so the rules must say what a day is and what counts.
• Prop firm rules explained (futures)
  Futures prop firm rules combine a profit target, a loss limit, a daily limit and sometimes a consistency rule, and each program sets them differently.
• Backtesting a strategy for a prop firm eval
  Write down your program’s limits, run your rules with real costs, read the deepest fall in R, the lowest day and longest losing streak, then test again.
• Consistency rule explained
  A consistency rule limits how much of your total result a single day or trade may make up, so one large day cannot carry an account to its target.
• What is the 9 EMA and 21 EMA?
  The 9 EMA and 21 EMA are exponential moving averages of the close over 9 and 21 bars; the shorter one reacts faster, so traders compare the two.
• What is the 20 EMA and 50 EMA?
  The 20 EMA and 50 EMA are exponential moving averages of the close over 20 and 50 bars, a slower pair that smooths more than the 9 and 21.
• Why is the 200 EMA important?
  The 200 EMA averages the last 200 closes with recent bars weighted most, so it is a slow line that many traders use to mark the long-run lean of price.
• What is EMA 12 and 26 (MACD)?
  MACD is the 12-period EMA minus the 26-period EMA of the close, drawn with a 9-period EMA of that difference as a signal line.
• What is a moving average?
  A moving average is the average of the last N prices, recalculated on every new bar, so it makes a smooth line that follows price with a delay.
• How to read candlesticks (for beginners)
  A candlestick shows one period’s open, high, low and close: the body runs from open to close and the thin wicks reach out to the high and the low.
• What is the 3 candlestick rule?
  There is no single 3 candlestick rule: the phrase names several different ideas, from three-bar patterns to waiting three candles before entering.
• How to tell if a candle is bullish or bearish
  A candle is bullish when it closes above its open and bearish when it closes below its open; if the two are equal it is neutral, often called a doji.
• Types of candlesticks and their meaning
  Candlestick types are named by the shape of the body and wicks, such as the doji, hammer, shooting star, marubozu and spinning top, each read as a hint.
• What is support and resistance?
  Support is a price level where a fall has paused or turned before, and resistance is a level where a rise has paused or turned before.
• What is a trend in trading?
  A trend is a sustained direction in price: an uptrend makes higher highs and higher lows, a downtrend makes lower highs and lower lows.
• What is day trading futures?
  Day trading futures means opening and closing futures positions inside one trading day, so nothing is held overnight.
• ES vs NQ: which to trade
  ES tracks the S&P 500 at $50 a point and NQ tracks the Nasdaq-100 at $20 a point; your own test shows which one suits a given set of rules.
• MNQ tick value and point value
  One MNQ point is worth $2 and one tick is 0.25 points, which is $0.50, so there are four ticks in a point.
• What is a futures contract rollover?
  A rollover is the switch from an expiring futures contract to the next one; we use the front month by volume and switch at the 18:00 ET session open.
• What is RTH vs ETH?
  RTH is regular trading hours, 09:30 to 16:00 ET in our runs; ETH is extended trading hours, which covers everything outside that window.
• Is there a free alternative to FX Replay for futures?
  Yes: the Trade Lab replays NQ, ES and GC bar by bar for free with a verified email, while FX Replay lists futures data only on its paid Pro plan.
• TradingView Bar Replay vs the Trade Lab for NQ and ES futures
  TradingView Bar Replay sits inside a full charting platform; the Trade Lab is a free futures-only replay that fills paper orders on the replayed history.
• NinjaTrader Market Replay vs a browser-based replay
  NinjaTrader Market Replay plays recorded market data inside a desktop platform; the Trade Lab is a browser replay of 1-minute bars with nothing to install.
• Tradezella and Edgewonk replay vs a free futures replay
  Tradezella lists backtesting and trade replay inside a journal, Edgewonk describes a journal, and the Trade Lab is a free futures replay.
• Is there a free futures paper-trading simulator with historical data?
  Yes: the Trade Lab paper trades NQ, ES and GC on historical 1-minute bars for free; most platform simulators fill on live data instead.

Trade Lab guides

Step-by-step guides to the free bar-by-bar replay and paper-trading tool, each with a screenshot per step.

• How do I start a free futures replay?
  Open the Trade Lab, pick NQ, ES or GC and a start date, and press Start replay: a free account with a verified email is all it takes.
• How do I replay futures bar by bar?
  Press Step to reveal one candle, set a bigger step, press Play for a steady pace, or jump to the next 09:30 or session start.
• How do I place a buy (long) paper trade in a futures replay?
  Open the Trade tab, create the paper account once, then press Buy: a market order fills at the last price and the open profit updates as you step.
• How do I place a sell (short) paper trade in a futures replay?
  On the Trade tab press Sell to open a short: it gains when price falls. This example runs on ES with the MES micro contract at $5 a point.
• How do I place limit and stop orders in a futures replay?
  Right-click the chart at the price you want, pick the order from the menu, and drag the order line to move it before it fills.
• How do I set a stop loss and take profit in a futures replay?
  Drag the SL or TP handle out of the position line to a price, and the Lab shows what that stop or target pays before you let go.
• How do I set up the paper account in a futures replay?
  The Trade tab asks for a starting balance, a contract and a commission once per run; they lock when you press Create account.
• How do I use the drawing tools in a futures replay?
  Pick the horizontal ray, trend line, box with levels or Fibonacci tool, click the chart, then style the drawing from the bar that appears.
• How do I journal my trades in a futures replay?
  Pick a decision, add tags and a note, and press Enter journal entry: the server stamps the time and last price, and the entry locks once you step.
• How do I read my futures replay stats?
  The Your backtesting section of the Lab page turns your closed paper trades into a trade count, win rate, net, average R, profit factor and drawdown.
• How do I turn a futures replay into a full backtest?
  Save the chart from the Save tab, open the builder from the replay, and import the saved charts into an order; up to five charts per order.
• How do I practise the New York open on NQ with bar replay?
  Jump a replay to 09:30 ET, mark the overnight range, step the first candles one at a time and journal the decision before each step.
• How do I practise an opening-range strategy bar by bar?
  Step to the end of the first 15 minutes, box the range, step candle by candle until one closes outside it, journal the call and paper trade it.
• How do I practise liquidity sweeps and fair value gaps on a replay?
  Mark a prior high with a ray, step until a candle takes it and closes back, box the three-candle gap that follows and journal each with a tag.
• How do I practise for a prop-firm evaluation with replay?
  Set a paper account of the evaluation’s size in micros, write your risk rules first, trade a session by them and journal whether you kept them.
• How do I practise the London and New York sessions on gold futures (GC)?
  Start a GC replay, jump from the Asia start to London 03:00 and New York 09:30 ET, mark each session’s range and pick the GC or MGC contract.
• How do I manually backtest 100 trades on NQ without coding?
  Write one rule, take each trade as a paper trade with a stop and target, journal it with a tag, jump to the next session and read the totals.
• What is bar replay, and why does forward-only replay matter?
  Bar replay shows past price one candle at a time with later candles hidden; forward-only replay keeps look-ahead out of what you practise.

Findings

The same list as plain text: llms.txt and llms-full.txt.

Want your own strategy tested the same way? Every version is $19 at cemarketsolutions.com.