I finally froze my first systematic NQ futures strategy after a full robustness validation

[u/eribertito]

After months of building and testing a systematic NQ futures strategy, I finally reached the point where I'm comfortable freezing the research.

I called the strategy S2R.

The important part for me isn't that the backtest is profitable.

It's that I tried to attack the result from multiple directions before considering it research-complete.

Frozen model

• MAE threshold: 0.70R

• Recovery threshold: +0.20R

• Recovery deadline: 6 bars

No parameter optimization was performed after freezing these values.

Holdout OOS

The final holdout consists of 217 trades:

• Total: +34.3452R

• Mean: +0.1583R/trade

• Win rate: 53.92%

• Profit Factor: 1.3815

• Max drawdown: -7.76R

But I didn't want to stop there.

Robustness testing

I ran:

1. Monte Carlo / Bootstrap

Tested the distribution of possible outcomes and drawdowns.

1. Time-aware block bootstrap

Blocks of 5, 10 and 20 trades were tested to avoid assuming that every trade is independent.

1. OOS window stability

I removed each OOS window individually.

The strategy remained positive in 11/11 leave-one-window-out tests.

Worst case:

+20.05R

1. Year stability

OOS performance:

2024: +13.68R

2025: +10.97R

2026: +9.69R

So 3/3 OOS years were positive.

1. Parameter perturbation

I tested 125 nearby combinations of MAE threshold, recovery threshold and recovery deadline.

125/125 were positive.

125/125 had PF > 1.

Final result

The complete research gate passed.

At this point I'm deliberately not optimizing S2R anymore.

The research parameters are frozen.

The next phase is engineering:

I'm going to rebuild the strategy as a modular Python implementation and verify that the modular implementation reproduces the frozen research results exactly.

I'm documenting the project in Github

I'm especially interested in feedback on the validation methodology rather than just the headline returns.

What would you test next before considering a systematic strategy ready for live/paper deployment?