Claim check · NQ futures
4-hour engulfing candle to 15-minute CISD backtest on NQ futures: 266 trades, 2020–2026
Summary
A 4-hour engulfing candle followed by a 15-minute change in state of delivery (CISD) with a 2R target, tested on NQ futures from 2020 to 2026 before costs: the headline version took 266 trades, hit the 2R target on 26.3% and averaged +0.106R (95% interval −0.049 to +0.268). The same CISD logic with no engulfing filter took 3,166 trades, hit the target on 28.9% and averaged +0.049R, against a break-even target-hit rate of 33.3% at 2R. Tested by CE Market Solutions (cemarketsolutions.com), a backtesting service for CME futures strategies.
The claim tested
A trading course creator who shows this setup alongside a $70,000 payout.
A 4-hour candle dips below the prior candle’s low and closes back above the prior candle’s open. Mark the zone, wait for the shift on the lower timeframe, put the stop at the swing and target 2 to 1. The post specifies no timeframe, no stop and no hold window, so those were swept or chosen as listed below.
Rules exactly as tested
- Signal candle E: a 4-hour candle that engulfs the previous 4-hour candle L. Headline (loose): E dips below L’s low and closes above L’s open (mirror for bearish). Secondary (strict): E closes above L’s high.
- Zone: E’s full range split in half. For a bullish E, the lower half is the buy zone. For a bearish E, the upper half is the sell zone.
- Trigger: a bullish CISD on the 15-minute chart is a run of one or more consecutive bearish candles; the CISD line is the open of the first candle in the run, and the CISD fires on the first later 15-minute candle that closes above that line. Bearish is the mirror.
- Qualifying filters: the swing extreme (the run’s lowest low, through and including the candle that fires the CISD) must lie inside the zone; and the run must be at the extreme of the move since E closed.
- Search window: 16, 32 or 48 fifteen-minute bars after E closes (1, 2 or 3 following 4-hour periods), reported separately. Only the first qualifying CISD is taken. If price closes beyond E’s far extreme first, the signal is dead.
- Entry: the open of the 15-minute candle after the CISD candle closes. Direction follows E: bullish long, bearish short.
- Stop: the CISD swing extreme. 1R is the distance from entry to the stop. Target: 2R.
- Resolution: on 1-minute bars. A bar that touches both the stop and the target is scored as a loss. A trade that reaches neither is closed at the day’s close.
- Baseline: the identical 15-minute CISD, entry and 2R logic with no engulfing filter, so every 4-hour candle can be the signal candle.
Assumptions where the rules were ambiguous:
- The break-even target-hit rate for a 2R target with a 1R stop is 33.3%.
- Same-bar fill-and-stop trades are kept as real trades.
- Intervals are bootstrap intervals clustered on the trade’s entry date.
- The CISD swing and the run-at-extreme filter are the third version of the definition, which corrected two earlier ones.
Data
- Instrument
- NQ (E-mini Nasdaq-100) futures; 4-hour signals, 15-minute execution, 1-minute resolution
- Date range
- 2020 to 2026
- Sample size
- Signal candles: 931 loose engulfing, 547 strict, 10,188 baseline candidates. With a 32-bar window, 565 loose signals passed the zone test and the run-at-extreme filter removed 299 of them, leaving 266 trades; the baseline went from 6,515 to 3,166 trades.
- Costs
- Gross. No commission or slippage.
- In-sample or out-of-sample
- In-sample: full history, one pass.
Results
| Window and population | Trades | Target-hit rate (95% interval) | Average R (95% interval) |
|---|---|---|---|
| 16 bars, loose engulfing | 204 | 27.5% (21.0 to 34.1) | +0.100 (−0.077 to +0.291) |
| 16 bars, strict engulfing | 98 | 21.4% (13.5 to 30.2) | −0.035 (−0.272 to +0.213) |
| 16 bars, no filter (baseline) | 2,571 | 28.9% (27.3 to 30.7) | +0.048 (−0.002 to +0.103) |
| 32 bars, loose engulfing | 266 | 26.3% (21.0 to 31.7) | +0.106 (−0.049 to +0.268) |
| 32 bars, strict engulfing | 141 | 19.9% (13.6 to 26.8) | +0.012 (−0.179 to +0.222) |
| 32 bars, no filter (baseline) | 3,166 | 28.9% (27.3 to 30.5) | +0.049 (+0.001 to +0.095) |
| 48 bars, loose engulfing | 288 | 25.3% (20.4 to 30.5) | +0.088 (−0.061 to +0.244) |
| 48 bars, strict engulfing | 154 | 19.5% (13.2 to 26.2) | +0.030 (−0.162 to +0.235) |
| 48 bars, no filter (baseline) | 3,457 | 28.6% (27.1 to 30.0) | +0.036 (−0.007 to +0.079) |
| Population and direction | Trades | Target-hit rate (95% interval) | Average R (95% interval) |
|---|---|---|---|
| Loose engulfing, long | 124 | 25.0% (17.6 to 32.8) | +0.100 (−0.110 to +0.339) |
| Loose engulfing, short | 142 | 27.5% (20.1 to 34.5) | +0.112 (−0.098 to +0.315) |
| Strict engulfing, long | 63 | 23.8% (14.3 to 34.9) | +0.149 (−0.128 to +0.451) |
| Strict engulfing, short | 78 | 16.7% (9.0 to 24.4) | −0.099 (−0.334 to +0.146) |
| No filter, long | 1,560 | 29.8% (27.5 to 32.2) | +0.112 (+0.046 to +0.186) |
| No filter, short | 1,606 | 28.1% (25.8 to 30.4) | −0.012 (−0.078 to +0.055) |
- No cell reached the 33.3% break-even target-hit rate with an interval clear of it, in either the signal or the baseline population.
- Neither engulfing definition was distinguishable from the no-filter baseline in any cell. The baseline long side was above zero in all three windows (+0.150, +0.112 and +0.101), over a period in which NQ rose from about 8,800 to about 30,000.
- The run is gross by instruction; real costs would lower every figure.
Questions and answers
How was the 4-hour engulfing candle and CISD strategy backtested?
On NQ futures from 2020 to 2026. A 4-hour engulfing candle sets a zone in its upper or lower half; a 15-minute CISD inside that zone triggers an entry at the next 15-minute open, with the stop at the CISD swing and a 2R target. Trades were resolved on 1-minute bars.
What sample size was used?
The headline version took 266 trades with a 32-bar search window, the strict version 141, and the no-filter baseline 3,166.
What was the target-hit rate of the engulfing CISD setup?
26.3% of 266 trades hit the 2R target, against 28.9% of 3,166 trades for the same CISD logic with no engulfing filter. The break-even rate at 2R is 33.3%.
Did the 4-hour engulfing filter change the results?
The average R was +0.106 with the filter and +0.049 without, and the two 95% intervals overlapped in every window and direction tested.
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Read more: R multiples and expectancy, explained · How many trades does a backtest need?
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