QQQ Premarket Mean Reversion — Backtest
Strategy 1097 · QQQ · premarket 04:00–09:30 ET · Jan 1, 2025 – Oct 21, 2026 · $10,000 per trade · paper account PA39MXU6BZPA
$2,439
Net P&L, after spread
676
Trades
61%
Winning trades
$2,033
2026 out of sample
Cumulative P&L
Daily cumulative net P&L. The dashed line marks Jan 1, 2026: parameters were chosen on data to its left only.
Rules
- Signal: z = (close − 20-bar SMA) / 20-bar standard deviation on 1-minute bars.
- Entry: Buy when z < −3; sell short when z > +3. $10,000 of QQQ, limit at the ask (buy) or bid (sell), extended hours. One position at a time.
- Exit: z back through 0, or price 0.5% against the entry. No entries from 09:15; flatten from 09:25 ET.
- Fills in the backtest: the open of the minute after the signal, plus half the bid-ask spread measured from real quotes (table below).
In sample vs out of sample
| Period | Trades | Win rate | Avg / trade | Net P&L | Max drawdown |
|---|---|---|---|---|---|
| 2025 (in sample) | 331 | 58% | 1.2 bp | $406 | $193 |
| 2026 YTD (out of sample) | 345 | 64% | 5.9 bp | $2,033 | $212 |
Same rules, every session
Each session was tuned the same way: best of 72 parameter combinations on 2025, then tested on 2026. The last column is the share of all 72 combinations that made money in 2026.
| Session (ET) | Best 2025 parameters | 2025 P&L | Trades | 2026 P&L | Trades | Grid > 0 |
|---|---|---|---|---|---|---|
| Premarket 04:00-09:30 | n=20, k=3, stop 0.50%, both | $406 | 331 | $2,033 | 345 | 86% |
| Regular 09:30-16:00 | n=60, k=3, stop 0.25%, both | $125 | 634 | -$290 | 494 | 32% |
| After hours 16:00-20:00 | n=60, k=3, stop 0.50%, long | -$268 | 152 | -$85 | 132 | 0% |
| Overnight 20:00-04:00 | n=60, k=3, stop 0.50%, long | -$116 | 279 | -$338 | 195 | 6% |
Risks
- Thin edge. The average trade earns a few basis points, so slippage beyond the measured spread erodes it fast. Live limit orders can miss or fill worse than the backtest assumes.
- Selection. 2026 was much stronger than 2025, and only 17% of the 72 parameter combinations tested made money in 2025 (86% in 2026), so the 2025 edge was thin.
- Thin markets. Premarket quotes can be wide or stale, especially before 06:00 ET.
Monthly results
| Month | Trades | Win rate | Net P&L |
|---|---|---|---|
| 2025-01 | 19.0 | 63% | $79 |
| 2025-02 | 28.0 | 68% | $54 |
| 2025-03 | 22.0 | 55% | $95 |
| 2025-04 | 34.0 | 62% | $16 |
| 2025-05 | 29.0 | 45% | -$126 |
| 2025-06 | 25.0 | 60% | $67 |
| 2025-07 | 22.0 | 59% | $20 |
| 2025-08 | 23.0 | 52% | $8 |
| 2025-09 | 25.0 | 72% | $26 |
| 2025-10 | 35.0 | 60% | -$4 |
| 2025-11 | 22.0 | 64% | $234 |
| 2025-12 | 47.0 | 45% | -$63 |
| 2026-01 | 28.0 | 61% | $43 |
| 2026-02 | 26.0 | 50% | $109 |
| 2026-03 | 36.0 | 67% | $238 |
| 2026-04 | 33.0 | 67% | -$51 |
| 2026-05 | 35.0 | 57% | -$34 |
| 2026-06 | 42.0 | 60% | $493 |
| 2026-07 | 43.0 | 77% | $747 |
| 2026-08 | 40.0 | 70% | $127 |
| 2026-09 | 42.0 | 62% | $236 |
| 2026-10 | 20.0 | 60% | $125 |
Premarket spread used (half spread, per side)
| Hour (ET) | Median half spread |
|---|---|
| 04:00-04:59 | 0.57 bp |
| 05:00-05:59 | 0.48 bp |
| 06:00-06:59 | 0.47 bp |
| 07:00-07:59 | 0.48 bp |
| 08:00-08:59 | 0.42 bp |
| 09:00-09:59 | 0.45 bp |