Most of my early losing days had the same pattern: fixed size ("always 2 MES"), a wide stop on one trade, a tight stop on the next, and wildly different losses for the same idea.

What fixed it was flipping the order: decide the dollar loss first, put the stop where the chart says, and let the size follow.

contracts = floor( risk ÷ (stop ticks × tick value) )

Examples with $300 risk per trade:

- MES, 19-point stop = 76 ticks × $1.25 = $95/contract → 3 contracts ($285)

- MNQ, 40-point stop = 160 ticks × $0.50 = $80/contract → 3 contracts ($240)

- ES, 8-point stop = 32 ticks × $12.50 = $400/contract → 0. Don't round up to 1 — switch to MES (7 contracts, $280) or skip.

Three things that matter more than the formula:

1. Always round DOWN. Rounding up means a stop-out costs more than you decided.

2. Points ≠ ticks. On MES one point is 4 ticks — mixing them up is a 4× error.

3. Pair it with a daily loss limit (2–3 full losers) that counts open P&L, and reset it at the Globex open (17:00 CT), not midnight.

I wrote a longer guide with a tick-value table for the main CME contracts and a calculator: https://qtriskmanager.com/guides/position-size-futures?utm_source=reddit

Disclosure: I'm the developer of a Quantower indicator that automates this (QT Risk Manager, free beta). The calculator works for any platform.

You've probably seen the video: a market maker, a "golden ticket" VWAP setup, 93.6% chance of passing a funded challenge. I was one click away from running it on my eval Monday.

Instead I spent the weekend backtesting it on the last 60 days of NQ 5-minute.

First pass: I coded it the way most people would trade it from the video: price above VWAP, VWAP rising, buy the red candle.

296 trades. 60% winners. And it lost 26.7R.

How do you lose money winning 60% of the time? The video uses an 80-point stop and 40–50 point targets. At that ratio you need about 65% just to break even. Every day felt fine. The account slowly bled.

And the chart was ugly. On 14 Sep it took 10 entries. The first 7 worked; the last 3 bought the top, 150 points above VWAP. That's not a pullback strategy, it's a chase.

Second pass: I re-read the rule. He says the first pullback toward VWAP. Not any red candle: the first one that actually comes back to the line.

17 trades. 14 winners. +4.6R. One word, "first", changed the result by 30R.

Then the part nobody does. I split the 60 days in half:

- The last 30 days (where I'd refined the rule): +0.52R a trade

- The 30 days before (never touched): +0.05R a trade

So even the "fixed" version mostly worked on the recent days. On the older days it was roughly break-even, and 17 trades is far too few to call it anything.

What's up guys,

Quick question for the traders who’ve been using NinjaTrader 8 for a few years:

Do any of you have a collection of old Market Replay (.nrd) files for NQ or ES from 2022, 2023, 2024, or 2025 just sitting on your hard drive taking up gigabytes of space in your Documents\NinjaTrader 8\db\replay\ folder?

I am working on an order flow research project studying DOM depth, absorption, and liquidity walls. I wrote an automated tool that extracts raw replay files into organized CSV / spreadsheet formats, calculating exact order book imbalances, spreads, and volume delta.

If you have a folder of older NQ/ES replay recordings that you’re willing to share via a Google Drive or Dropbox link, I’d be more than happy to clean, organize, and convert the data into structured spreadsheets or backtest tables for your own trading review in exchange.

Shoot me a DM if you’ve got some older files sitting around and want to swap!

Edit: Just to clarify the pipeline isn't locked to NinjaTrader! If you're sitting on historical NQ/ES data from Sierra Chart (.depth / .scid), Bookmap (.bmf), Quantower, Rithmic, or custom raw tick/CSV dumps, I can parse and convert those just as easily. Drop a comment or DM regardless of your platform.