Strategy library · Candles and price action
Fractal breakout backtest on NQ and ES futures
Fractal breakout
Also called: Williams fractal strategy, 5 bar fractal breakout, fractal high breakout, buy when price breaks above the last 5-bar fractal high, short when price breaks below the last 5-bar fractal low
What happens if you buy NQ every time price breaks above the last 5-bar fractal high?
What it is
A fractal is a 5-bar pattern whose middle bar holds the highest high or lowest low. This strategy goes long on a break of the last fractal high and short on a break of the last fractal low, with the stop at the opposite fractal and a target of 2R.
What it did
On NQ futures from 2024-10-08 to 2026-10-07, the fractal breakout strategy took 708 trades on the 15-minute chart, won 49.6% of them and finished 7,682.25 points ($153,645 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, the 384 long trades on the 15-minute chart won 52.6% and made 4,224.50 points ($84,490 on one NQ contract), before commission and slippage. On ES futures from 2024-08-28 to 2026-08-27, the fractal breakout strategy took 745 trades on the 15-minute chart, won 45.2% of them and finished 691.75 points ($34,588 on one ES contract), before commission and slippage. The 5-minute, 1-hour and daily results for both markets are in the table on this page.
How it was tested
CE Market Solutions tested the fractal breakout strategy on NQ (2024-10-08 to 2026-10-07) and ES (2024-08-28 to 2026-08-27) futures, 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; the NQ trades are listed on this page and the ES trades under the ES tab.
See it tested with one change · $19
Tested by CE Market Solutions on 2026-10-26. The trades are listed below, one market at a time. Gross, no commission or slippage. Last 2 years.
Results
Rule as tested: Long on a break of the last 5-bar fractal high; short below the last fractal low. Exit: Stop at the opposite fractal, target 2R.
| Timeframe | NQ · 2024-10-08 to 2026-10-07 | ES · 2024-08-28 to 2026-08-27 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Trades | Win % | Avg pts | Profit factor | Net pts | Net $ (1 NQ) | Max DD pts | Trades | Win % | Avg pts | Profit factor | Net pts | Net $ (1 ES) | Max DD pts | |
| 5 minute | 1189 | 40.7% | −3.12 | 0.939 | −3,706.75 | −$74,135 | 10,125.75 | 1181 | 43.1% | 0.90 | 1.093 | 1,059.00 | $52,950 | 734.00 |
| 5 minute · longs only | 624 | 42.6% | — | — | −800.25 | −$16,005 | 3,966.50 | 618 | 43.9% | — | — | 402.50 | $20,125 | 550.00 |
| 5 minute · shorts only | 565 | 38.6% | — | — | −2,906.50 | −$58,130 | 6,465.50 | 563 | 42.3% | — | — | 656.50 | $32,825 | 516.00 |
| 15 minute | 708 | 49.6% | 10.85 | 1.219 | 7,682.25 | $153,645 | 2,586.00 | 745 | 45.2% | 0.93 | 1.083 | 691.75 | $34,588 | 580.50 |
| 15 minute · longs only | 384 | 52.6% | — | — | 4,224.50 | $84,490 | 1,985.75 | 395 | 46.1% | — | — | 298.00 | $14,900 | 401.00 |
| 15 minute · shorts only | 324 | 46.0% | — | — | 3,457.75 | $69,155 | 2,086.75 | 350 | 44.3% | — | — | 393.75 | $19,688 | 471.25 |
| 1 hour | 384 | 50.5% | 5.91 | 1.109 | 2,271.00 | $45,420 | 3,088.25 | 398 | 49.3% | 3.09 | 1.306 | 1,231.50 | $61,575 | 387.25 |
| 1 hour · longs only | 203 | 52.2% | — | — | 991.50 | $19,830 | 2,246.00 | 202 | 52.5% | — | — | 538.00 | $26,900 | 150.50 |
| 1 hour · shorts only | 181 | 48.6% | — | — | 1,279.50 | $25,590 | 1,769.25 | 196 | 45.9% | — | — | 693.50 | $34,675 | 421.25 |
| Daily | 11 | 36.4% | 19.23 | 1.021 | 211.50 | $4,230 | 3,676.75 | 10 | 20.0% | −55.98 | 0.724 | −559.75 | −$27,987 | 1,390.25 |
| Daily · longs only | 6 | 50.0% | — | — | 4,675.75 | $93,515 | 1,299.25 | 6 | 33.3% | — | — | 554.75 | $27,738 | 574.50 |
| Daily · shorts only | 5 | 20.0% | — | — | −4,464.25 | −$89,285 | 6,378.75 | 4 | 0.0% | — | — | −1,114.50 | −$55,725 | 1,114.50 |
NQ Daily: small sample (11 trades). ES Daily: small sample (10 trades).
Free to use with credit to CE Market Solutions (CC BY 4.0).
ES 5 minute: the equity line
Long and short
| Side | Trades | Net pts |
|---|---|---|
| Long | 618 | 402.50 |
| Short | 563 | 656.50 |
By month
| Month | Trades | Net pts |
|---|---|---|
| 2024-08 | 7 | 11.75 |
| 2024-09 | 54 | −51.75 |
| 2024-10 | 55 | 106.00 |
| 2024-11 | 38 | 172.50 |
| 2024-12 | 51 | 6.50 |
| 2025-01 | 46 | −56.25 |
| 2025-02 | 44 | 262.00 |
| 2025-03 | 54 | 213.25 |
| 2025-04 | 50 | 476.75 |
| 2025-05 | 50 | 22.00 |
| 2025-06 | 43 | −49.50 |
| 2025-07 | 58 | 160.25 |
| 2025-08 | 48 | 94.50 |
| 2025-09 | 53 | −159.75 |
| 2025-10 | 49 | 84.75 |
| 2025-11 | 54 | −0.75 |
| 2025-12 | 52 | −131.00 |
| 2026-01 | 45 | −109.00 |
| 2026-02 | 38 | 157.50 |
| 2026-03 | 51 | 26.50 |
| 2026-04 | 48 | 193.75 |
| 2026-05 | 46 | −56.50 |
| 2026-06 | 55 | −154.50 |
| 2026-07 | 50 | −135.25 |
| 2026-08 | 42 | −24.75 |
Every trade, ES 5 minute1181 trades
Pick any of the 1181 charted trades with Previous, Next or a date, or click a row in the trades table below, to see it drawn on the real 1-minute bars. Drag the chart sideways to move through the sessions around it.
Chart unavailable. The trades are in the table below.
All trades (1181), newest first
Times are New York time; points are gross. Click a row to draw that trade in the chart above.
| Session date | Side | Entry (ET) | Entry price | Exit (ET) | Exit price | Exit reason | Points |
|---|---|---|---|---|---|---|---|
| 2026-08-27 | long | 10:50 | 7733.75 | 15:59 | 7741.25 | end of day 15:59 | 7.50 |
| 2026-08-27 | short | 09:35 | 7706.00 | 09:45 | 7726.75 | stop | −20.75 |
| 2026-08-26 | long | 14:50 | 7695.25 | 15:59 | 7692.00 | end of day 15:59 | −3.25 |
| 2026-08-26 | long | 09:55 | 7698.50 | 12:37 | 7678.00 | stop | −20.50 |
| 2026-08-25 | long | 11:20 | 7682.25 | 15:59 | 7691.00 | end of day 15:59 | 8.75 |
| 2026-08-25 | short | 09:40 | 7695.00 | 10:23 | 7682.00 | target | 13.00 |
| 2026-08-24 | long | 12:05 | 7683.50 | 15:59 | 7669.75 | end of day 15:59 | −13.75 |
| 2026-08-24 | short | 09:40 | 7668.25 | 12:00 | 7682.75 | stop | −14.50 |
| 2026-08-21 | short | 13:35 | 7690.50 | 15:45 | 7701.00 | stop | −10.50 |
| 2026-08-21 | short | 09:35 | 7683.50 | 11:39 | 7705.00 | stop | −21.50 |
| 2026-08-20 | short | 13:20 | 7686.75 | 15:59 | 7665.25 | end of day 15:59 | 21.50 |
| 2026-08-20 | long | 12:35 | 7699.00 | 13:16 | 7690.25 | stop | −8.75 |
| 2026-08-20 | long | 10:40 | 7708.00 | 11:43 | 7692.25 | stop | −15.75 |
| 2026-08-20 | long | 09:35 | 7709.25 | 10:17 | 7692.25 | stop | −17.00 |
| 2026-08-19 | short | 12:55 | 7737.75 | 15:59 | 7731.25 | end of day 15:59 | 6.50 |
| 2026-08-19 | short | 09:35 | 7739.75 | 10:57 | 7758.50 | stop | −18.75 |
| 2026-08-18 | long | 11:55 | 7724.75 | 15:58 | 7713.00 | stop | −11.75 |
| 2026-08-17 | short | 09:35 | 7796.50 | 15:59 | 7768.75 | end of day 15:59 | 27.75 |
| 2026-08-14 | short | 13:00 | 7799.25 | 15:59 | 7805.50 | end of day 15:59 | −6.25 |
| 2026-08-14 | long | 12:25 | 7808.75 | 12:58 | 7799.75 | stop | −9.00 |
| 2026-08-14 | short | 09:35 | 7824.25 | 10:59 | 7809.75 | target | 14.50 |
| 2026-08-13 | long | 12:30 | 7809.50 | 15:59 | 7823.25 | end of day 15:59 | 13.75 |
| 2026-08-13 | short | 12:00 | 7798.75 | 12:27 | 7808.25 | stop | −9.50 |
| 2026-08-12 | long | 12:15 | 7769.75 | 15:59 | 7769.50 | end of day 15:59 | −0.25 |
| 2026-08-12 | short | 11:40 | 7761.25 | 12:01 | 7769.00 | stop | −7.75 |
| 2026-08-11 | short | 14:30 | 7740.50 | 15:59 | 7749.75 | end of day 15:59 | −9.25 |
| 2026-08-11 | short | 12:35 | 7760.75 | 14:29 | 7742.25 | target | 18.50 |
| 2026-08-11 | short | 09:35 | 7780.75 | 12:25 | 7759.25 | target | 21.50 |
| 2026-08-10 | short | 12:35 | 7773.75 | 15:59 | 7778.00 | end of day 15:59 | −4.25 |
| 2026-08-10 | long | 10:10 | 7787.00 | 12:31 | 7771.00 | stop | −16.00 |
| 2026-08-07 | long | 10:30 | 7779.25 | 15:59 | 7778.25 | end of day 15:59 | −1.00 |
| 2026-08-07 | short | 10:15 | 7746.00 | 10:25 | 7771.00 | stop | −25.00 |
| 2026-08-06 | short | 11:20 | 7739.50 | 15:59 | 7735.25 | end of day 15:59 | 4.25 |
| 2026-08-06 | long | 09:50 | 7763.00 | 11:19 | 7740.00 | stop | −23.00 |
| 2026-08-06 | short | 09:40 | 7747.00 | 09:47 | 7762.25 | stop | −15.25 |
| 2026-08-05 | short | 10:40 | 7791.25 | 15:59 | 7747.75 | end of day 15:59 | 43.50 |
| 2026-08-05 | long | 09:55 | 7810.50 | 10:02 | 7802.75 | stop | −7.75 |
| 2026-08-04 | long | 13:40 | 7771.00 | 15:59 | 7764.00 | end of day 15:59 | −7.00 |
| 2026-08-04 | long | 10:45 | 7710.25 | 12:28 | 7745.75 | target | 35.50 |
| 2026-08-04 | long | 09:35 | 7669.75 | 10:44 | 7711.25 | target | 41.50 |
| 2026-08-03 | long | 11:00 | 7606.00 | 15:59 | 7628.50 | end of day 15:59 | 22.50 |
| 2026-08-03 | long | 09:40 | 7568.75 | 09:43 | 7561.50 | stop | −7.25 |
| 2026-07-31 | long | 15:20 | 7526.75 | 15:59 | 7520.00 | end of day 15:59 | −6.75 |
| 2026-07-31 | short | 09:50 | 7474.25 | 13:27 | 7515.75 | stop | −41.50 |
| 2026-07-30 | long | 09:45 | 7417.25 | 15:02 | 7466.75 | target | 49.50 |
| 2026-07-29 | short | 15:25 | 7407.50 | 15:59 | 7350.25 | end of day 15:59 | 57.25 |
| 2026-07-29 | long | 14:05 | 7437.00 | 15:22 | 7408.25 | stop | −28.75 |
| 2026-07-29 | long | 13:00 | 7404.25 | 14:00 | 7445.25 | target | 41.00 |
| 2026-07-29 | short | 09:55 | 7434.00 | 12:15 | 7372.00 | target | 62.00 |
| 2026-07-28 | short | 13:45 | 7465.50 | 15:59 | 7466.00 | end of day 15:59 | −0.50 |
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Questions and answers
What happens if you buy NQ every time price breaks above the last 5-bar fractal high?
From 2024-10-08 to 2026-10-07 on the NQ 15-minute chart, the fractal breakout strategy took 384 long trades, won 52.6% of them and made 4,224.50 points ($84,490 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, its long trades also made -800.25 points on 624 trades on the 5-minute chart, 991.50 points on 203 trades on the 1-hour chart and 4,675.75 points on 6 trades on the daily chart, before commission and slippage.
What happens if you short ES every time price breaks below the last 5-bar fractal low?
From 2024-08-28 to 2026-08-27 on the ES 15-minute chart, the fractal breakout strategy took 350 short trades, won 44.3% of them and made 393.75 points ($19,688 on one ES contract), before commission and slippage. From 2024-08-28 to 2026-08-27 on ES, its short trades also made 656.50 points on 563 trades on the 5-minute chart, 693.50 points on 196 trades on the 1-hour chart and -1,114.50 points on 4 trades on the daily chart, before commission and slippage.
Does the fractal breakout strategy work on Nasdaq futures?
On NQ futures from 2024-10-08 to 2026-10-07, the fractal breakout strategy on the 15-minute chart took 708 trades, won 49.6% of them and finished 7,682.25 points ($153,645 on one NQ contract), before commission and slippage.
What is the win rate of Fractal breakout on ES futures?
The fractal breakout strategy won 45.2% of its 745 trades on the ES 15-minute chart from 2024-08-28 to 2026-08-27, before commission and slippage. On ES from 2024-08-28 to 2026-08-27 it also won 43.1% of 1,181 trades on the 5-minute chart, 49.3% of 398 trades on the 1-hour chart and 20.0% of 10 trades on the daily chart, before commission and slippage.
Is the fractal breakout strategy better on the 5-minute, 15-minute, 1-hour or daily chart for NQ?
On NQ from 2024-10-08 to 2026-10-07, the fractal breakout strategy made -3,706.75 points on 1,189 trades on the 5-minute chart, 7,682.25 points on 708 trades on the 15-minute chart, 2,271.00 points on 384 trades on the 1-hour chart and 211.50 points on 11 trades on the daily chart, before commission and slippage.
Is it better to only buy or only sell fractal breakout signals on NQ?
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the long trades made 4,224.50 points on 384 trades (52.6% won) and the short trades made 3,457.75 points on 324 trades (46.0% won), before commission and slippage.
How many trades does the fractal breakout strategy take on NQ in two years?
The fractal breakout strategy took 708 trades on the NQ 15-minute chart from 2024-10-08 to 2026-10-07, before commission and slippage. On NQ from 2024-10-08 to 2026-10-07 it also took 1,189 on the 5-minute chart, 384 on the 1-hour chart and 11 on the daily chart, before commission and slippage.
What is the max drawdown of the fractal breakout strategy on NQ?
The fractal breakout strategy had a max drawdown of 2,586.00 points ($51,720 on one NQ contract) on the NQ 15-minute chart from 2024-10-08 to 2026-10-07, before commission and slippage. On NQ from 2024-10-08 to 2026-10-07 its max drawdown was also 10,125.75 points on the 5-minute chart, 3,088.25 points on the 1-hour chart and 3,676.75 points on the daily chart, before commission and slippage.
How does the fractal breakout strategy do on ES compared with NQ?
On the ES 15-minute chart from 2024-08-28 to 2026-08-27, the fractal breakout strategy took 745 trades, won 45.2% of them and made 691.75 points ($34,588 on one ES contract), before commission and slippage. On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the fractal breakout strategy took 708 trades, won 49.6% of them and made 7,682.25 points ($153,645 on one NQ contract), 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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