Strategy library · Strategy family
Volume on NQ and ES: 2-year backtest of 4 strategies
CE Market Solutions tested 4 strategies in the volume family on NQ and ES futures. The table lists every one of them, ordered by name, at its default timeframe on each market: the 15-minute chart where the strategy has one, otherwise its own first timeframe (1-hour, daily or session). Open a strategy for every timeframe and every trade. Nothing on this page is ordered by a result.
Tested by CE Market Solutions on 2026-10-26. Gross, no commission or slippage. Last 2 years.
Volume: 4 strategies at their default timeframe
Volume: 4 strategies at their default timeframe, NQ 2024-10-08 to 2026-10-07 and ES 2024-08-28 to 2026-08-27, one contract, before commission and slippage.
| Strategy | Timeframe | Market | Trades | Win % | Net pts | Net $ (1 contract) | Max DD pts | Long trades | Long net pts | Short trades | Short net pts |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Chaikin Money Flow (20) zero cross | 15 minute | NQ | 1,219 | 39.6% | −10,738.00 | −$214,760 | 12,104.25 | 618 | −3,907.50 | 601 | −6,830.50 |
| Chaikin Money Flow (20) zero cross | 15 minute | ES | 1,296 | 36.8% | −1,643.50 | −$82,175 | 1,831.50 | 648 | −496.25 | 648 | −1,147.25 |
| OBV crosses its 20 SMA | 15 minute | NQ | 1,804 | 30.5% | −10,063.00 | −$201,260 | 11,475.00 | 909 | −4,665.50 | 895 | −5,397.50 |
| OBV crosses its 20 SMA | 15 minute | ES | 1,719 | 32.2% | 17.75 | $888 | 999.75 | 855 | −92.50 | 864 | 110.25 |
| Volume spike candle | 15 minute | NQ | 1,002 | 38.9% | 4,566.00 | $91,320 | 2,912.00 | 486 | 2,665.25 | 516 | 1,900.75 |
| Volume spike candle | 15 minute | ES | 1,185 | 38.5% | 868.00 | $43,400 | 564.25 | 566 | 640.00 | 619 | 228.00 |
| VWMA 20 cross | 15 minute | NQ | 2,056 | 31.2% | 111.75 | $2,235 | 4,033.25 | 1,047 | 1,866.75 | 1,009 | −1,755.00 |
| VWMA 20 cross | 15 minute | ES | 2,100 | 31.1% | 56.00 | $2,800 | 908.50 | 1,074 | 344.25 | 1,026 | −288.25 |
The figures in words
At those default timeframes the 4 strategies took 6,081 trades in total on NQ and 6,300 trades in total on ES, from NQ 2024-10-08 to 2026-10-07 and ES 2024-08-28 to 2026-08-27, before commission and slippage.
Chaikin Money Flow (20) zero cross: buys when Chaikin Money Flow 20 crosses above zero, sells short when Chaikin Money Flow 20 crosses below zero. Exit: Opposite cross.
OBV crosses its 20 SMA: buys when OBV crosses above its 20-bar SMA, sells short when OBV crosses below its 20-bar SMA. Exit: Opposite cross.
Volume spike candle: buys when an up bar trades at least 2x the 20-bar average volume (entering at the next open), sells short when a down bar trades at least 2x the 20-bar average volume (entering at the next open). Exit: Stop beyond the bar, target 2R.
VWMA 20 cross: buys when price closes above the 20-bar volume-weighted moving average, sells short when price closes below the 20-bar volume-weighted moving average. Exit: Opposite cross.
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, Chaikin Money Flow (20) zero cross took 1,219 trades, won 39.6% of them and made -10,738.00 points (-$214,760 on one NQ contract), before commission and slippage. On the ES 15-minute chart from 2024-08-28 to 2026-08-27, Chaikin Money Flow (20) zero cross took 1,296 trades, won 36.8% of them and made -1,643.50 points (-$82,175 on one ES contract), before commission and slippage.
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, OBV crosses its 20 SMA took 1,804 trades, won 30.5% of them and made -10,063.00 points (-$201,260 on one NQ contract), before commission and slippage. On the ES 15-minute chart from 2024-08-28 to 2026-08-27, OBV crosses its 20 SMA took 1,719 trades, won 32.2% of them and made 17.75 points ($888 on one ES contract), before commission and slippage.
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, Volume spike candle took 1,002 trades, won 38.9% of them and made 4,566.00 points ($91,320 on one NQ contract), before commission and slippage. On the ES 15-minute chart from 2024-08-28 to 2026-08-27, Volume spike candle took 1,185 trades, won 38.5% of them and made 868.00 points ($43,400 on one ES contract), before commission and slippage.
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, VWMA 20 cross took 2,056 trades, won 31.2% of them and made 111.75 points ($2,235 on one NQ contract), before commission and slippage. On the ES 15-minute chart from 2024-08-28 to 2026-08-27, VWMA 20 cross took 2,100 trades, won 31.1% of them and made 56.00 points ($2,800 on one ES contract), before commission and slippage.
How to read the columns: Trades is the number of closed trades; Win % is the share of them that finished above zero points; Net pts is the sum of every trade's points; Net $ is net points times the contract's dollars per point, on one contract; Max DD pts is the largest fall of the running total of points from a peak. The longs-only and shorts-only columns are sums over that side's own trades, and the two sides add up to the strategy's combined result.
CE Market Solutions tested every strategy on the last 2 years of NQ and ES futures (NQ 2024-10-08 to 2026-10-07 and ES 2024-08-28 to 2026-08-27), before commission and slippage, with each signal filled at the next bar's open, intraday positions flat at 15:59 ET and textbook default indicator settings. Nothing is tuned.
Questions and answers
How many strategies in the volume family did CE Market Solutions test on NQ and ES?
CE Market Solutions tested 4 strategies in the volume family on NQ and ES futures, and at their default timeframes they took 6,081 trades in total on NQ and 6,300 trades in total on ES, from NQ 2024-10-08 to 2026-10-07 and ES 2024-08-28 to 2026-08-27, before commission and slippage.
Which strategies are in the volume family?
The 4 strategies in the volume family are Chaikin Money Flow (20) zero cross, OBV crosses its 20 SMA, Volume spike candle and VWMA 20 cross, each on NQ and ES futures over the last 2 years (NQ 2024-10-08 to 2026-10-07 and ES 2024-08-28 to 2026-08-27), before commission and slippage.
How these were run
- Gross: no commission and no slippage.
- The last 2 years of each market, from the first to the last session of its window.
- A signal on a closed bar fills at the next bar’s open.
- A stop and a target touched in the same minute count as the stop.
- Intraday positions are flat at 15:59 ET.
- Textbook TradingView default settings for every indicator; nothing is tuned.
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