OU Reversion — London Kill Zone: A LIVE mean-reversion Strategy for NQ+ES
Fade the >2.5σ stretch back to the mean during the London kill zone. Works on BOTH NQ and ES.
Market: NQ+ES Timeframe: 15-min Session: London KZ (02:00–05:00 ET)
How it works
During the London kill zone, when price stretches ≥2.5 standard deviations from its 60-bar mean in a ranging market (ADX < 25), it tends to snap back. We fade the extreme, targeting the mean.
- Entry: Price ≥2.5σ from the 60-bar mean during 02:00–05:00 ET, ADX < 25 (range regime).
- Exit: Revert to the mean; ATR-based stop beyond the extreme.
- Risk: 0.25% of account per trade, 1 micro.
Backtested performance
This is a cross-market edge — profitable on both NQ and ES, which is the strongest sign a setup isn't curve-fit to one market.
NQ (Nasdaq 100) — the numbers
| Profit Factor | 1.24 |
| Sharpe Ratio | 2.28 |
| Win Rate | 44% |
| Max Drawdown | -1.8% |
| Net Return (1 micro, $50k) | +2.9% |
| Trades | 97 |
| Years Tested | 8 |
| Losing Years | 0 |
ES (S&P 500) — the numbers
| Profit Factor | 1.30 |
| Sharpe Ratio | 2.27 |
| Win Rate | 50% |
| Max Drawdown | -3.3% |
| Net Return (1 micro, $50k) | +4.2% |
| Trades | 113 |
| Years Tested | 10 |
| Losing Years | 0 |
When it works
- Quiet, ranging London sessions (the norm)
- Sharp stretch away from the mean that overshoots
- Confirmed on BOTH NQ and ES — a genuinely robust edge
When it fails
- London trend days that keep extending (news-driven)
- ADX filter keeps it out of trends by design — fewer trades then
- Gap opens that don't revert
Why it has an edge
Two independent markets (NQ + ES) agree on this edge — the strongest sign it isn't overfit.
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). 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.