nq-strategy-b-bot

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nq-strategy-b-bot

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NQ futures bot — 5-min Inverse FVG inside 15-min FVG (long-only ICT confluence). 3-year backtest: +K net on 1 MNQ, only max drawdown, every year profitable. Tradovate + Schwab streaming. Reproduce the numbers yourself.

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- __init__.py
- ict_fvg_backtest.py
- smc_breakout_backtest.py
- __init__.py
- __init__.py
- fetch_databento.py
- nq_databento_5min.csv
- vix_daily.csv
- __init__.py
- schwab_stream.py
- tradovate.py
- __init__.py
- manager.py
- __init__.py
- strategy_b.py
- __init__.py
- logger.py
- notify.py
.env.example
.gitignore
config.py
equity_curve_strategy_b_3yr.png
LICENSE
main.py
pytest.ini
README.md
requirements.txt
run_atb_vs_strategy_b.py
run_strategy_b_robustness.py

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// repository documentation

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> **+$17K net, only $786 max drawdown over 3 years on 1 MNQ futures.** Built after the predecessor strategy ([nq-atb-bot-archived](https://github.com/prashanthaitha24/nq-atb-bot-archived)) was retired for marginal real-world edge. Same data, same fees, same execution layer — 4× the profit, 4× less drawdown.

Long-only ICT-style intraday strategy for **NASDAQ futures** (NQ / MNQ), running via the [Tradovate API](https://tradovate.com/). Detects 5-minute Inverse Fair Value Gap (IFVG) retests that occur inside an active 15-minute Bull FVG zone — a multi-timeframe confluence that selects for genuine follow-through, not random breakouts.

---

## Equity Curve — 3 Years (Jan 2023 to May 2026, 1 MNQ)

![Strategy B equity curve](https://raw.githubusercontent.com/prashanthaitha24/nq-strategy-b-bot/main/equity_curve_strategy_b_3yr.png)

## Backtest Results

```
LONG-ONLY (deployed configuration), 1 MNQ baseline:
  Trades:        432 over 3 years (~140/year, ~2-3/week)
  Win Rate:      53.5%
  Profit Factor: ~2.3
  Net P&L:       +$17,187
  Max DD:        $786           ← outstanding risk-adjusted
  Return/DD:     ~22x
  Profitable years: 4/4  (every year positive)
  Profitable quarters: 13/14 (93%)
```

### Comparison vs ATB on identical data

| | ATB D3 (archived) | Strategy B (this bot) |
|---|---|---|
| Trades | 332 | **432** (+30%) |
| Net P&L (1 MNQ) | +$8,305 | **+$17,187** (2.07×) |
| Max monthly drawdown | $5,766 | **$537** (10.7× less) |
| Profitable months | 21/41 (51%) | **35/41 (85%)** |
| 2023 P&L | **-$5,292** | **+$1,564** (saved -$7K) |
| Months underwater | 35 | 6 |

**Strategy B was ahead of ATB starting month 1 and never gave up the lead** across the full 3-year period.

### Year-by-year robustness (long-only)

| Year | Trades | WR | PF | Net | MaxDD |
|---|---|---|---|---|---|
| 2023 | 127 | 46.5% | 1.44 | +$1,974 | $621 |
| 2024 | 139 | 52.5% | 2.24 | +$5,430 | $610 |
| 2025 | 117 | 57.3% | 2.47 | +$6,623 | $786 |
| 2026 (4mo) | 47 | 68.1% | 2.82 | +$3,319 | $668 |

Every year profitable. WR improving over time.

---

## How the Strategy Works

```
Multi-timeframe FVG confluence (long-only):

15-min timeframe                  5-min timeframe
  ────────────────                  ────────────────
   ┌──────────┐                      ┌──────┐
   │  15m     │  ──→ confluence      │  5m  │
   │  Bull    │      check           │ Bull │
   │  FVG     │                      │ FVG  │
   │  zone    │                      │ zone │
   └──────────┘                      └──────┘
                                          ↑
                                  Price dips into 5m FVG,
                                  closes back above → IFVG retest
                                          ↓
                              ┌─ LONG ENTRY (next bar open) ─┐
                              │  Stop:  5m FVG bottom - 2pts │
                              │  Target: 2 × risk            │
                              │  Exit by: 15:45 ET           │
                              └──────────────────────────────┘
```

**Setup detected** when ALL of the following are true:
1. An active 5-min **bull** FVG exists (not yet mitigated)
2. That 5-min FVG sits **inside** an active 15-min bull FVG zone (with 5-pt buffer at top)
3. Current 5-min bar's **low dips** into the 5-min FVG (`bottom ≤ low ≤ top`)
4. Current 5-min bar's **close** is back **above** the 5-min FVG top
5. Bar time is between 09:30 and 12:00 ET (entry window)
6. No position currently open AND day's trade count below cap

**Why long-only**: Backtest showed shorts are much weaker (42.5% WR vs 56.5% long). NQ has positive drift over time; the symmetry isn't there.

**Why this works**: FVGs form when one bar's high < bar+2's low (or vice versa) — that's a price inefficiency indicating fast institutional flow. Multi-timeframe confluence requires institutional momentum AND structural setup AND a retest entry — a real edge instead of random breakouts.

---

## Repository Layout

```
.
├── main.py                          # Async event loop (Schwab stream + Tradovate)
├── config.py                        # Reads .env, exposes typed Cfg
├── requirements.txt
├── pytest.ini
│
├── signals/
│   └── strategy_b.py                # Live Strategy B detector
│                                       - FVGTracker (5m + 15m)
│                                       - FifteenMinAggregator
│                                       - StrategyBDetector → StrategyBSignal
│
├── execution/
│   ├── tradovate.py                 # Auth + REST + WebSocket
│   └── schwab_stream.py             # Real-time 5-min bar feed
│
├── risk/
│   └── manager.py                   # Daily P&L caps, trade-count
│
├── analysis/                        # Reproducible backtests
│   ├── ict_fvg_backtest.py          # The original Strategy B (A/B/C variants)
│   └── smc_breakout_backtest.py     # Underlying simulator helpers
│
├── data/
│   ├── nq_databento_5min.csv        # 3 years of 5-min NQ bars (Databento)
│   ├── vix_daily.csv
│   └── fetch_databento.py
│
├── run_strategy_b_robustness.py     # Year/quarter walk-forward of Strategy B
└── run_atb_vs_strategy_b.py         # Side-by-side vs ATB (same dataset)
```

---

## Setup

### 1. Install
```bash
git clone https://github.com/prashanthaitha24/nq-strategy-b-bot.git
cd nq-strategy-b-bot
python3 -m venv venv
source venv/bin/activate
pip install -r requirements.txt
```

### 2. Configure
```bash
cp .env.example .env
# Edit with your Tradovate credentials
# KEEP TRADOVATE_ENV=demo until you have 30+ days of paper data
```

### 3. **Verify the backtest claims yourself** (recommended first step)
```bash
# Reproduces the +$16,468 Strategy B headline number
python analysis/ict_fvg_backtest.py

# Year-by-year + quarter-by-quarter robustness
python run_strategy_b_robustness.py

# Side-by-side Strategy B vs the archived ATB
python run_atb_vs_strategy_b.py
```

### 4. Run on demo
```bash
python main.py
# Tail logs:  tail -f logs/strategy-b.log
```

### 5. After 2+ weeks of stable demo performance
- Review daily logs — confirm signal cadence matches backtest (~2 trades/week)
- Confirm fills match backtest entries (real slippage is the unknown)
- Only THEN consider switching `TRADOVATE_ENV=live`
- Start with **1 contract** even when going live

---

## Capital Requirements (for live trading later)

| Account size | Max DD risk | Recommended contracts |
|---|---|---|
| $5,000 | Backtest max $840 → ~17% account hit | 1 MNQ |
| $10,000 | Same DD → ~8% account hit | 1 MNQ |
| $25,000+ | Comfortable | up to 2 MNQ |
| $50,000+ | Could scale to 1 NQ | 1 NQ = 10× MNQ exposure |

Backtest's $840 max DD over 3 years is exceptional but **not a guarantee**. Real-world max DD will likely be 2-3× worse due to slippage, missed fills, and regime changes. Plan accordingly.

---

## Realistic Expectations

**What backtest says**:
- ~100 trades/year, 56% WR, +$5K/year on 1 MNQ
- Max DD only $840 over the full period

**What real-world will likely produce** (haircuts for fills, commissions, edge erosion):
- 50-55% real WR
- +$3-4K/year per MNQ
- Max DD probably $1,500-2,500 in real conditions
- 1-2 losing months per year

**Bad signs to watch for in demo**:
- More than 5 trades/week (likely a bug — backtest is ~2/week)
- Win rate below 45% over 30+ trades
- Multiple consecutive stop-outs without trend reversal

**Good signs**:
- 1-3 trades/week
- Most exits are PROFIT_TARGET (the 2× R:R hits)
- Drawdowns recover within 1-2 weeks
- 15-min FVG zones are visible in logs before each signal

---

## License

MIT

---

## Disclaimers

- **NOT financial advice.** Published for educational purposes.
- Trading futures involves substantial leverage and risk of total loss.
- Past performance does not guarantee future results.
- The author has no financial relationship with Tradovate, Schwab, Databento, or any broker.
- **Demo trade for AT LEAST 30 days** before considering live capital.
- Backtests use 5-min bars as a proxy for 1-min IFVG entry timing. Real 1-min execution may differ.

nq-strategy-b-bot

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