OU Reversion — ES Asia KZ (5m): A LIVE mean-reversion Strategy for ES
The 5-min ES Asia fade — strong in-sample, but ~1 year of history only. Experimental.
Market: ES Timeframe: 5-min Session: Asia KZ (20:00-24:00 ET)
How it works
On ES 5m, fade a >=3 sigma stretch from a 120-bar mean during the Asian kill zone, ADX < 30. The S&P version of the fine-grained overnight fade — promising, but short-history.
- Entry: ES >=3 sigma from the 120-bar mean during 20:00-24:00 ET, ADX < 30.
- Exit: Revert to the mean; ATR-based stop (2x ATR).
- Risk: 0.25% of account per trade, 1 micro (MES).
Backtested performance
ES — the numbers
| Profit Factor | 2.85 |
| System Quality (SQN) | 3.45 |
| Win Rate | 58% |
| Max Drawdown | -2.2% |
| Net Return (1 micro, $50k) | +11.5% |
| Trades | 59 |
| Years Tested | 1 |
When it works
- Quiet overnight ES ranges
- 58% win rate in-sample
- Fine 5m resolution
When it fails
- Only ~1yr of data — single-regime risk
- Overnight ES trend days
- Expect regression toward the 15m variant live
Why it has an edge
A fine-grained ES overnight fade — treat the metrics as provisional until the forward test confirms.
How we validate it
Every sleeve is backtested on 8+ years of Sierra Chart NQ/ES data with realistic costs (2-tick slippage + $0.74/side commission), sized at 0.25% risk on a $50k account, and stress-tested per calendar year. Micros only (MNQ/MES). The 14 kill-zone sleeves were mined from a 10-year ES+NQ session sweep and are scored by Van Tharp SQN. Signals are tracked live every session.
See this strategy live
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Educational content only, not financial advice. Backtested results are hypothetical and do not guarantee future performance. Futures carry substantial risk and most short-term traders lose money. Test on your own data and trade your own plan.