Strategy library · Momentum oscillators
Rate of change zero cross backtest on NQ and ES futures
Rate of change (12) zero cross
Also called: ROC 12 strategy, rate of change strategy, ROC zero line cross, buy when the 12-period rate of change crosses above zero, short when the 12-period rate of change crosses below zero
What happens if you buy NQ every time the 12-period rate of change crosses above zero?
What it is
The rate of change (ROC, 12 periods) is the percentage change in price over the last 12 bars. This strategy goes long when the ROC crosses above 0, short when it crosses below, and exits on the opposite cross.
What it did
On NQ futures from 2024-10-08 to 2026-10-07, the rate of change zero cross strategy took 1,629 trades on the 15-minute chart, won 40.0% of them and finished 1,060.75 points ($21,215 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, the 826 long trades on the 15-minute chart won 41.5% and made 21.75 points ($435 on one NQ contract), before commission and slippage. On ES futures from 2024-08-28 to 2026-08-27, the rate of change zero cross strategy took 1,600 trades on the 15-minute chart, won 36.7% of them and finished -206.75 points (-$10,337 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 rate of change zero cross 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 when ROC crosses above 0; short below. Exit: Opposite cross.
| 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 | 5029 | 35.7% | 0.87 | 1.048 | 4,394.50 | $87,890 | 4,852.00 | 4786 | 35.3% | 0.33 | 1.089 | 1,592.25 | $79,613 | 703.25 |
| 5 minute · longs only | 2516 | 38.1% | — | — | 3,365.25 | $67,305 | 3,470.00 | 2388 | 37.0% | — | — | 805.25 | $40,263 | 406.00 |
| 5 minute · shorts only | 2513 | 33.3% | — | — | 1,029.25 | $20,585 | 2,371.50 | 2398 | 33.5% | — | — | 787.00 | $39,350 | 510.75 |
| 15 minute | 1629 | 40.0% | 0.65 | 1.023 | 1,060.75 | $21,215 | 3,276.50 | 1600 | 36.7% | −0.13 | 0.979 | −206.75 | −$10,337 | 840.75 |
| 15 minute · longs only | 826 | 41.5% | — | — | 21.75 | $435 | 1,892.50 | 803 | 39.1% | — | — | 174.50 | $8,725 | 373.00 |
| 15 minute · shorts only | 803 | 38.4% | — | — | 1,039.00 | $20,780 | 2,555.50 | 797 | 34.3% | — | — | −381.25 | −$19,062 | 692.75 |
| 1 hour | 405 | 41.2% | 3.61 | 1.079 | 1,462.50 | $29,250 | 2,464.75 | 427 | 40.3% | −0.00 | 1.000 | −1.75 | −$87 | 657.00 |
| 1 hour · longs only | 194 | 40.2% | — | — | −1,652.00 | −$33,040 | 2,679.75 | 201 | 40.3% | — | — | −102.75 | −$5,137 | 339.50 |
| 1 hour · shorts only | 211 | 42.2% | — | — | 3,114.50 | $62,290 | 1,870.50 | 226 | 40.3% | — | — | 101.00 | $5,050 | 447.25 |
| Daily | 75 | 37.3% | −16.62 | 0.924 | −1,246.75 | −$24,935 | 4,227.50 | 81 | 38.3% | −4.46 | 0.893 | −361.50 | −$18,075 | 916.25 |
| Daily · longs only | 38 | 39.5% | — | — | 3,907.00 | $78,140 | 2,388.00 | 40 | 50.0% | — | — | 678.50 | $33,925 | 520.75 |
| Daily · shorts only | 37 | 35.1% | — | — | −5,153.75 | −$103,075 | 5,348.50 | 41 | 26.8% | — | — | −1,040.00 | −$52,000 | 1,040.00 |
Free to use with credit to CE Market Solutions (CC BY 4.0).
ES 1 hour: the equity line
Long and short
| Side | Trades | Net pts |
|---|---|---|
| Long | 201 | −102.75 |
| Short | 226 | 101.00 |
By month
| Month | Trades | Net pts |
|---|---|---|
| 2024-08 | 3 | 39.50 |
| 2024-09 | 29 | −58.75 |
| 2024-10 | 16 | 19.00 |
| 2024-11 | 10 | 83.75 |
| 2024-12 | 11 | 222.75 |
| 2025-01 | 22 | −110.75 |
| 2025-02 | 13 | 235.50 |
| 2025-03 | 13 | 17.50 |
| 2025-04 | 19 | −41.00 |
| 2025-05 | 23 | −248.00 |
| 2025-06 | 19 | −97.00 |
| 2025-07 | 19 | 85.25 |
| 2025-08 | 13 | 3.75 |
| 2025-09 | 20 | 32.00 |
| 2025-10 | 25 | 77.75 |
| 2025-11 | 12 | 13.00 |
| 2025-12 | 30 | 10.00 |
| 2026-01 | 14 | −29.50 |
| 2026-02 | 14 | 159.75 |
| 2026-03 | 15 | −38.75 |
| 2026-04 | 20 | 18.75 |
| 2026-05 | 18 | −142.00 |
| 2026-06 | 15 | −241.75 |
| 2026-07 | 21 | −88.75 |
| 2026-08 | 13 | 76.25 |
Every trade, ES 1 hour427 trades
Pick any of the 427 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 (427), 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 |
|---|---|---|---|---|---|---|---|
| 2025-04-17 | short | 14:00 | 5343.00 | 15:59 | 5310.75 | end of day 15:59 | 32.25 |
| 2025-04-17 | long | 13:00 | 5346.75 | 14:00 | 5343.00 | opposite cross | −3.75 |
| 2025-04-17 | short | 11:00 | 5297.50 | 13:00 | 5346.75 | opposite cross | −49.25 |
| 2025-04-15 | short | 15:00 | 5438.25 | 15:59 | 5427.75 | end of day 15:59 | 10.50 |
| 2025-04-15 | long | 10:00 | 5467.50 | 15:00 | 5438.25 | opposite cross | −29.25 |
| 2025-04-14 | long | 15:00 | 5460.50 | 15:59 | 5442.50 | end of day 15:59 | −18.00 |
| 2025-04-14 | short | 12:00 | 5410.00 | 15:00 | 5460.50 | opposite cross | −50.50 |
| 2025-04-08 | short | 13:00 | 5123.25 | 15:59 | 5017.50 | end of day 15:59 | 105.75 |
| 2025-04-02 | long | 11:00 | 5685.25 | 15:59 | 5710.00 | end of day 15:59 | 24.75 |
| 2025-04-01 | short | 15:00 | 5640.75 | 15:59 | 5674.75 | end of day 15:59 | −34.00 |
| 2025-03-31 | long | 12:00 | 5598.50 | 15:59 | 5656.25 | end of day 15:59 | 57.75 |
| 2025-03-27 | short | 12:00 | 5750.25 | 15:59 | 5740.50 | end of day 15:59 | 9.75 |
| 2025-03-20 | short | 12:00 | 5740.50 | 15:59 | 5714.50 | end of day 15:59 | 26.00 |
| 2025-03-19 | long | 10:00 | 5699.50 | 15:59 | 5730.75 | end of day 15:59 | 31.25 |
| 2025-03-12 | long | 15:00 | 5625.75 | 15:59 | 5602.75 | end of day 15:59 | −23.00 |
| 2025-03-12 | short | 14:00 | 5593.75 | 15:00 | 5625.75 | opposite cross | −32.00 |
| 2025-03-12 | long | 12:00 | 5605.00 | 14:00 | 5593.75 | opposite cross | −11.25 |
| 2025-03-12 | short | 11:00 | 5569.50 | 12:00 | 5605.00 | opposite cross | −35.50 |
| 2025-03-11 | long | 15:00 | 5630.25 | 15:59 | 5575.75 | end of day 15:59 | −54.50 |
| 2025-03-11 | short | 11:00 | 5562.50 | 15:00 | 5630.25 | opposite cross | −67.75 |
| 2025-03-07 | long | 14:00 | 5769.75 | 15:59 | 5775.00 | end of day 15:59 | 5.25 |
| 2025-03-05 | long | 13:00 | 5828.00 | 15:59 | 5850.75 | end of day 15:59 | 22.75 |
| 2025-03-03 | short | 10:00 | 5951.50 | 15:59 | 5862.75 | end of day 15:59 | 88.75 |
| 2025-02-28 | long | 15:00 | 5904.50 | 15:59 | 5964.00 | end of day 15:59 | 59.50 |
| 2025-02-28 | short | 13:00 | 5860.25 | 15:00 | 5904.50 | opposite cross | −44.25 |
| 2025-02-27 | short | 10:00 | 5951.00 | 15:59 | 5877.50 | end of day 15:59 | 73.50 |
| 2025-02-26 | short | 13:00 | 5983.75 | 15:59 | 5972.00 | end of day 15:59 | 11.75 |
| 2025-02-24 | short | 10:00 | 6017.25 | 15:59 | 6002.25 | end of day 15:59 | 15.00 |
| 2025-02-21 | short | 10:00 | 6115.25 | 15:59 | 6030.25 | end of day 15:59 | 85.00 |
| 2025-02-19 | long | 15:00 | 6165.25 | 15:59 | 6163.00 | end of day 15:59 | −2.25 |
| 2025-02-18 | short | 10:00 | 6135.75 | 15:59 | 6148.00 | end of day 15:59 | −12.25 |
| 2025-02-17 | short | 10:00 | 6138.50 | 12:59 | 6146.00 | early close | −7.50 |
| 2025-02-11 | long | 10:00 | 6072.50 | 15:59 | 6092.50 | end of day 15:59 | 20.00 |
| 2025-02-07 | short | 11:00 | 6075.75 | 15:59 | 6049.25 | end of day 15:59 | 26.50 |
| 2025-02-06 | short | 11:00 | 6090.00 | 15:59 | 6107.00 | end of day 15:59 | −17.00 |
| 2025-02-04 | long | 10:00 | 6035.00 | 15:59 | 6062.50 | end of day 15:59 | 27.50 |
| 2025-01-31 | short | 14:00 | 6101.50 | 15:59 | 6064.75 | end of day 15:59 | 36.75 |
| 2025-01-30 | long | 14:00 | 6100.00 | 15:59 | 6099.25 | end of day 15:59 | −0.75 |
| 2025-01-30 | short | 13:00 | 6083.25 | 14:00 | 6100.00 | opposite cross | −16.75 |
| 2025-01-30 | long | 12:00 | 6090.25 | 13:00 | 6083.25 | opposite cross | −7.00 |
| 2025-01-30 | short | 11:00 | 6064.25 | 12:00 | 6090.25 | opposite cross | −26.00 |
| 2025-01-28 | long | 11:00 | 6082.00 | 15:59 | 6096.00 | end of day 15:59 | 14.00 |
| 2025-01-28 | short | 10:00 | 6039.75 | 11:00 | 6082.00 | opposite cross | −42.25 |
| 2025-01-24 | short | 13:00 | 6140.75 | 15:59 | 6132.75 | end of day 15:59 | 8.00 |
| 2025-01-24 | long | 12:00 | 6149.50 | 13:00 | 6140.75 | opposite cross | −8.75 |
| 2025-01-24 | short | 11:00 | 6145.75 | 12:00 | 6149.50 | opposite cross | −3.75 |
| 2025-01-24 | long | 10:00 | 6157.25 | 11:00 | 6145.75 | opposite cross | −11.50 |
| 2025-01-16 | short | 14:00 | 5973.50 | 15:59 | 5976.25 | end of day 15:59 | −2.75 |
| 2025-01-16 | long | 11:00 | 5994.75 | 14:00 | 5973.50 | opposite cross | −21.25 |
| 2025-01-16 | short | 10:00 | 5981.75 | 11:00 | 5994.75 | opposite cross | −13.00 |
Questions and answers
What happens if you buy NQ every time the 12-period rate of change crosses above zero?
From 2024-10-08 to 2026-10-07 on the NQ 15-minute chart, the rate of change zero cross strategy took 826 long trades, won 41.5% of them and made 21.75 points ($435 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, its long trades also made 3,365.25 points on 2,516 trades on the 5-minute chart, -1,652.00 points on 194 trades on the 1-hour chart and 3,907.00 points on 38 trades on the daily chart, before commission and slippage.
What happens if you short ES every time the 12-period rate of change crosses below zero?
From 2024-08-28 to 2026-08-27 on the ES 15-minute chart, the rate of change zero cross strategy took 797 short trades, won 34.3% of them and made -381.25 points (-$19,062 on one ES contract), before commission and slippage. From 2024-08-28 to 2026-08-27 on ES, its short trades also made 787.00 points on 2,398 trades on the 5-minute chart, 101.00 points on 226 trades on the 1-hour chart and -1,040.00 points on 41 trades on the daily chart, before commission and slippage.
Does the rate of change zero cross strategy work on Nasdaq futures?
On NQ futures from 2024-10-08 to 2026-10-07, the rate of change zero cross strategy on the 15-minute chart took 1,629 trades, won 40.0% of them and finished 1,060.75 points ($21,215 on one NQ contract), before commission and slippage.
What is the win rate of Rate of change (12) zero cross on ES futures?
The rate of change zero cross strategy won 36.7% of its 1,600 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 35.3% of 4,786 trades on the 5-minute chart, 40.3% of 427 trades on the 1-hour chart and 38.3% of 81 trades on the daily chart, before commission and slippage.
Is the rate of change zero cross 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 rate of change zero cross strategy made 4,394.50 points on 5,029 trades on the 5-minute chart, 1,060.75 points on 1,629 trades on the 15-minute chart, 1,462.50 points on 405 trades on the 1-hour chart and -1,246.75 points on 75 trades on the daily chart, before commission and slippage.
Is it better to only buy or only sell rate of change zero cross signals on NQ?
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the long trades made 21.75 points on 826 trades (41.5% won) and the short trades made 1,039.00 points on 803 trades (38.4% won), before commission and slippage.
How many trades does the rate of change zero cross strategy take on NQ in two years?
The rate of change zero cross strategy took 1,629 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 5,029 on the 5-minute chart, 405 on the 1-hour chart and 75 on the daily chart, before commission and slippage.
What is the max drawdown of the rate of change zero cross strategy on NQ?
The rate of change zero cross strategy had a max drawdown of 3,276.50 points ($65,530 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 4,852.00 points on the 5-minute chart, 2,464.75 points on the 1-hour chart and 4,227.50 points on the daily chart, before commission and slippage.
How does the rate of change zero cross strategy do on ES compared with NQ?
On the ES 15-minute chart from 2024-08-28 to 2026-08-27, the rate of change zero cross strategy took 1,600 trades, won 36.7% of them and made -206.75 points (-$10,337 on one ES contract), before commission and slippage. On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the rate of change zero cross strategy took 1,629 trades, won 40.0% of them and made 1,060.75 points ($21,215 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.
Want your own rules tested the same way?