The Asia range, broken in the New York morning

Abstract

We backtested the asia-range breakout rules on Micro E-mini Nasdaq-100 (MNQ) 5-minute bars from 2016-01-11 to 2026-10-30: 911 trades, with commission and a tick of slippage on every market and stop fill. In sample (to 2023-08-03) it made −0.00R per trade with a profit factor of 0.99; out of sample (from 2023-08-04) −0.08R per trade and 0.90 over 278 trades. 3 of the 16 parameter settings we tried were profitable out of sample. Sized at $250 of risk a trade, simulated 50K evaluations passed 0% to 5% of the time across 36 tracked plans.

1Hypothesis

Mark the Nasdaq-100 future's high and low from 20:00 to 02:00 ET. In the New York morning, trade the first close outside that range, stop at its middle.

If the overnight Asia range is where liquidity rests, New York's first close beyond it should start a move worth twice the risk.

2Data

Instrument

Micro E-mini Nasdaq-100 (MNQ), traded on the NQ price series (NQ.c.0: front month, rolled on the calendar). CME Globex via Databento.

Period

2016-01-11 to 2026-10-30: 2,794 sessions, 3,739,235 one-minute bars, built into 757,002 5-minute bars around the clock.

Costs

$0.75 commission a contract each way and 1 tick ($0.50) of slippage on every market and stop fill. Limit orders fill when price touches them; market orders fill at the next bar's open and stops at their price, each with one tick of slippage; when a bar touches both the stop and the target, the stop counts.

Position size

About $250 of risk a trade: micro contracts, rounded down, at least one. R is a trade's net P&L divided by its risk at entry.

Out of sample

The last 30% of weekdays: 2023-08-04 on (846 days), after 1,974 in-sample days. The rules were fixed before either side was run.

3Method

Our reading of the publicly described rules; the creator may trade it differently. The rules, exactly as the code runs them:

1. The Asia range is the high and low of the 5-minute bars from asia_start (20:00) to 02:00 ET.
2. If the 09:30 ET open is inside the range, the first 5-minute bar that CLOSES above it buys at the next bar's open, and the first that closes below it sells, until 11:30 ET. One trade a day.
3. Stop: the middle of the Asia range.
4. Target: target_r (2) times the risk.
5. Exit: the stop, the target, or flat at 15:55 ET.
6. Size: about risk_usd dollars of risk a trade (micro contracts, rounded down, at least 1 and at most max_contracts).

1"""Asia-range breakout in the New York morning, on Micro E-mini Nasdaq-100 (MNQ) 5-minute bars.2 3Rules:4  1. The Asia range is the high and low of the 5-minute bars from `asia_start` (20:00) to 02:00 ET.5  2. If the 09:30 ET open is inside the range, the first 5-minute bar that CLOSES above it buys at the6     next bar's open, and the first that closes below it sells, until 11:30 ET. One trade a day.7  3. Stop: the middle of the Asia range.8  4. Target: `target_r` (2) times the risk.9  5. Exit: the stop, the target, or flat at 15:55 ET.10  6. Size: about `risk_usd` dollars of risk a trade (micro contracts, rounded down, at least 1 and at11     most `max_contracts`).12"""13import qy14 15 16class Bot(qy.Strategy):17    """Break of the overnight Asia range after the New York open."""18 19    symbol = "MNQ"20    timeframe = "5m"21    session = None22    params = {"asia_start": 20, "target_r": 2.0, "risk_usd": 250, "max_contracts": 50}23    max_position = 5024    entry_window = ("09:35", "11:30")25    flatten_time = "15:55"26    overnight = False27 28    def setup(self):29        self.hi = self.lo = None30        self.armed = False31        self.done = False32 33    def on_day_start(self, day):34        self.hi = self.lo = None35        self.armed = False36        self.done = False37 38    def _size(self, risk_points):39        per_contract = risk_points * self.point_value40        n = int(self.p.risk_usd // per_contract) if per_contract > 0 else 141        return max(1, min(self.p.max_contracts, n))42 43    def on_bar(self, bar):44        h = bar.dt.hour45        start = h * 60 + bar.dt.minute46        if h >= self.p.asia_start or h < 2:47            self.hi = bar.high if self.hi is None else max(self.hi, bar.high)48            self.lo = bar.low if self.lo is None else min(self.lo, bar.low)49            return50        if self.hi is None or self.done:51            return52        if start == 570:53            self.armed = self.lo < bar.open < self.hi54        if not self.armed or start < 570 or start + 5 > 690 or not self.position.is_flat:55            return56        close = bar.close57        mid = (self.hi + self.lo) / 258        f = (self.hi - self.lo) / close * 10059        if close > self.hi:60            self.done = True61            self.buy(self._size(close - mid), stop_price=mid, target_r=self.p.target_r, tag=f"Asia long | f={f:.4f}")62        elif close < self.lo:63            self.done = True64            self.sell(self._size(mid - close), stop_price=mid, target_r=self.p.target_r, tag=f"Asia short | f={f:.4f}")

4Results

5Robustness

We reran the strategy on a grid of 16 settings of its two main parameters, each on the full history with the same split. 1 were profitable in sample and 3 out of sample.

6Prop-firm implications

The backtest's sessions run through the rules of 36 tracked 50K evaluations: 2,000 runs of up to 60 sessions each, with the drawdown and daily limits checked against each trade's intraday low. Intervals are Wilson 95% intervals of the simulation. A simulation of the past, not the chance that anyone passes.

7Limitations

• Only days that open inside the Asia range trade.
• One market (MNQ).
• A backtest on the past, with fills simulated from one-minute bars; live fills, queues and outages differ.

8Conclusion

No edge after costs: profit factor 0.90 out of sample. Nothing on the grid helps. Its in-sample best, target (R) 2 and start of the Asia range (hour ET) 21, had profit factor 1.02 in sample but 0.90 out of sample, against 0.90 for the defaults. On this reading of the rules, with these costs, the historical record gives no reason to expect a profit.