Footprint HFT — MES/MNQ 30M
VERIFIED
Scalpingfutures30M
Order flow and footprint analysis strategy. Currently paused for optimization — needs volume profile alignment.
3.4
4 reviews89 downloadsFREE
89
Equity Curve
BACKTEST$325.50
Net P&L over 212 trades
Performance Metrics
Profit Factor
0.94
Needs work
Win Rate
42.0%
89 winning trades
Net P&L
$325.50
Avg: $-1.54/trade
Sharpe Ratio
-0.15
Moderate
Max Drawdown
$3,150.00
Peak to trough
Total Trades
212
Avg $-1.54 per trade
Test Period
Jun 1, 2024 — Nov 15, 2025
MES • 30M
Strategy Description
An experimental order flow strategy that analyzes footprint chart data (cumulative volume delta, absorption, imbalance) to identify institutional activity.
Current Status: ⚠️ Under Optimization - Volume profile alignment needs calibration - Negative PF (0.94) indicates edge is not yet stable - Works better in NinjaTrader with real volumetric data
Planned Improvements: - Integrate NinjaTrader CVD and absorption signals - Add session VWAP confluence filter - Time-of-day filters for high-volume session hours
Testing Details
SymbolMES
PeriodJun 1, 2024 — Nov 15, 2025
Timeframes30M
Sample Size212 trades
Marketsfutures
Platform Support
TradingView
Pine Script v6
NinjaTrader
NinjaScript C#
Tags
order-flowvolumeexperimental
Pine Script Preview
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Live TradesLINKED
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A
Arbitrader
Strategy Creator
Verified Author
Published Nov 15, 2025
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