The client's idea
Sam Quant Desk works NAS100 on M15; the opening brief was: Trade only the minutes with real momentum — leave the rest of the day alone.
Project and starting point
The earlier version filled directionless stretches with low-quality trades, and costs ate the result.
Solution architecture
A trading window limited to the opening minutes, a relative-volume filter, and a daily trade cap to keep execution cost under control.
The daily trade cap was built in from the start so execution cost stays predictable. It matches how NAS100 is actually traded and can be tested against the data already available.
Why this design
The daily trade cap was built in from the start so execution cost stays predictable. It matches how NAS100 is actually traded and can be tested against the data already available.
Implemented capabilities
Modules and components built: Trading window + daily trade cap.
Delivered output:
Index momentum expert — NAS100 (M15)
Specification document and the rule-to-code mapping table
Full MQL5 source, commented
Test report: Two-year test with out-of-sample split
Parameter document and install guide (8 weeks)
Safeguards and risk control
Each module can be switched off on its own, and the exposure cap and daily stop are part of the expert rather than a later add-on.
Backtest and forward test method
Test method: Two-year test with out-of-sample split.
Testing runs in three stages: a backtest on historical data, limited optimisation inside the contract's scope, and a forward run with the parameters frozen.
Tools and stack: MQL5, index M1 data, daily statistics.
Every figure from this project is published together with its measurement conditions: the data window, the tick model, the spread, the commission and the build of the executable. Without them a number cannot be compared with anything.
Publishable results
Daily trade count halved while entry quality held up in the out-of-sample test.
Limitations and cautions
Each module can be switched off on its own, and the exposure cap and daily stop are part of the expert rather than a later add-on.
Every test result depends on the quality of the historical data, the broker's spread and market conditions, and none of it is a promise about the future. Through a severe price gap or a broker disconnection a stop loss cannot be guaranteed, so behaviour in those conditions must be reviewed separately.
Our next-step proposal
The proposed next step is a reporting module wired into the trade journal.
Portfolio
Measured results
These are the figures the test produced — not a promise about future performance.
- 760 Trades reviewed
- 0.5 pt Average execution slippage
- 10.1 % Max drawdown in test
- 16 Configurable inputs