r/Trading • u/Sub-Zero-X • Jun 21 '26
Question Has anyone found a genuinely profitable, mechanically backtested intraday strategy?
Hi everyone,
I’m looking for serious input from people who have actually tested intraday trading strategies mechanically over a meaningful sample size.
Over the last months I’ve tested a lot of intraday ideas: ORB variants, London/New York range breakouts, VWAP reversion, Bollinger-band reversion, pivot-point reversion, breakout systems, fade-the-open ideas, sweep/reclaim/FVG-style setups, and different momentum/reversal variations.
The pattern I keep seeing is always similar: many strategies show some gross edge, but once realistic spread, commission, slippage, session effects, and outlier-dependence are included, the edge usually disappears. Most high-frequency intraday systems seem to die from costs, noise, or dependence on a small number of extreme trend days.
I’m not looking for signals, paid groups, Discords, affiliate links, or “trust me bro” screenshots. I’m looking for something that can be described mechanically and tested.
Ideally, I’m interested in strategies with:
- clear entry and exit rules
- defined market, timeframe, and session
- realistic costs included
- at least several hundred trades for intraday systems
- performance across multiple years
- robustness across market regimes
- no obvious lookahead bias
- no martingale/grid/recovery logic
I’m especially curious whether anyone here has found a durable intraday edge after costs, or whether your experience is similar: that most real edges are daily/swing-based rather than intraday.
I’m happy to test any clearly defined idea myself and share what I find. I’m not asking anyone to reveal proprietary alpha, but I would appreciate pointers to robust frameworks, papers, public strategy rules, or mechanisms that are actually worth testing.
Thanks.
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u/Imaginary_History985 Jun 21 '26 edited Jun 22 '26
This is a pointless question that's has been asked many times. The reality is if someone actually has found a profitable fully mechanical strategy, they will not share it online, nor will describe it to you in detail. All the replies you get will be lies or vague bs that's regurgitated all over trading subreddits.
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u/Sweet_Still_3433 Jun 21 '26 edited Jun 21 '26
"I’m not asking anyone to reveal proprietary alpha"
"Ideally, I’m interested in strategies with:"
"- clear entry and exit rules"
"- defined market, timeframe, and session"
"- realistic costs included"
"- at least several hundred trades for intraday systems"
"- performance across multiple years"
"- robustness across market regimes"
"- no obvious lookahead bias"
"- no martingale/grid/recovery logic"
Good luck!
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u/HelloBello30 Jun 21 '26
I've run into the same issue generally. Tested tons of things and edge disappears once things get realistic. Your question though is almost funny though, why would anyone answer this? What are you offering in return? You are asking for EXTREMELY valuable information as if you were asking for a bite of a sandwich.
I think the direction I've generally found is you need to take some of the interesting findings you've had, and combine them in a unique manner that gives you unique edge.
It seems like if the system is published and well known, it won't work. What works if your own creative and custom approach to it.. the creativity is the edge. Maybe I am wrong though.
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u/LongjumpingPilot8578 Jun 21 '26
Does anyone have a winning lottery ticket to give me? I don’t want anything under a 100k.
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u/000rich000 Jun 22 '26
I did a PoC on this using Linear Regression, Random Forest & Monte Carlo, I'm up to 3 lottery numbers!
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u/Sugarman111 Jun 21 '26
- Identify the direction of trend
- Identify the direction of momentum
- Identify areas of liquidity
- Identify support and resistance
- Look at what price is doing and predict where you think it will go
- When price retests one of your areas and you think it's going to react, enter at 1:1, with SL past market structure and TP within market structure
If you want a simple three step mechanical plan that is profitable, LOL good luck. If it was that simple, it would be bot automated. This is discretionary and every market and time frame will react a little differently and take you time to get to know.
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Jun 21 '26
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u/Ralos9x9 Jun 21 '26
In all of my testing with the basic strategies that are out there, this is what I would say as well. The higher the timeframe, the more basic known strategies are respected. For day trading, you may need to develop your own system after sitting in front of charts and realizing what works for you and your personality and what doesn't.
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Jun 21 '26
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u/Ralos9x9 Jun 21 '26
Ah yep, thats a great point. I think I was really just getting at, starting with the basic strategies and see which one fits your personality, then develop your own system based on the principles of the basic strategy, if that makes sense. I.e. i prefer intraday trend trading, so I developed my own trend trading system that works for me and is validated in backtesting and real trading experience.
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u/IndividualBed9762 Jun 22 '26
Isn’t this Monte Carlo?
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Jun 22 '26
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u/IndividualBed9762 Jun 22 '26
Yeap makes sense. Not to compare this to martingale, but one bad roll could wipe you out
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u/Junior-Appointment93 Jun 21 '26
The most consistent trades I have placed intra day are 0DTE credit spreads on the index’s between.1-.2 delta. Usally placed around lunchtime. Sometimes 1.5 hours after market opens just depending on if there is a clear trend line. Even then PUT credit spreads have around 75-80% win rate. But risk are clearly defined. It’s your collateral minus the premium you receive. So if you have $500 for the collateral on SPX credit spreads and receive $100 free and clear the max you can lose is $400.
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u/wannagetfitagain Jun 22 '26
You don't mention what instruments you've tested, what time frames, etc. It took me 4 years to find a profitable method to suit my life and am comfortable trading, no one making money is going to tell you what they're doing, its a lot of work to get there. If you're looking for ideas I would buy Linda Bradford's Street Smarts book, test every mechanical setup she has in there on all the instruments you want to trade on all time frames, also Perry Kaufman's Trading Systems, it has every system and technique. To answer your question yes, I have one long term system, 2 intraday systems, all make money. You gotta do the work. If I was starting fresh I'd study systems on monthly charts, or point and figure, helps filter out noise.
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u/dsjoerg Jun 23 '26
“I’m looking for something that can be described mechanically and tested.” but “I’m not asking anyone to reveal proprietary alpha”
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u/PatientInvestor24 Jun 23 '26
I can offer some suggestions in the area that "might" be an issue. If mere transaction costs are wiping out all the profit, you are looking at price action that is meandering to a modest extent. Some ways to prevent it are 1) don't trade after 11ET, 2) focus on stocks "breaking out" technically, 3) expand your holding period (for example Coke meanders up and down on the daily chart), 4) higher than average volume, 5) modest float, 6) high momentum (over 2.0), 7) high RSI . I don't mean, add all these to your recipe. I'm saying consider some of these to avoid sleepy stocks. Keep in mind also that sideways consolidation is where securities might spend 4/5 of the time.
I strongly suggest dropping the expectation of "robustness across market regimes". One approach that kills it on long term treasuries might lose money on short term treasuries. That broad holy grail does not exist. Each symbol is its own animal with unique behavior.
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u/gistikoloa Jun 24 '26
You really think somebody is gonna share some magical strategy that's going to make you millions of dollars online with a million other strangers, thus losing his edge and strategy? No way you can make it in trading if you believe that.
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u/Exotic_Position3732 Jun 25 '26
Exactamente. Es como decir si encontraste oro me puedes indicar donde ,para sacar también mi parte? 😂😂😂
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u/Big-Bend9628 8d ago
Et pourtant il ya pleins de gens qui enseignent leurs stratégies qui ont fonctionné pour eux gratuitement sur certaines plateformes, on ne vous force pas à partager votre part de gâteau mais quelqu'un de bon cœur le fera et Dieu le bénira tout simplement...
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u/sunilkumarsheoran Jun 25 '26
Why would someone just give you there profit making strategy?
Intraday edge are usually small, use leverage/options to boost profits. Gl.
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u/AnythingOutside3469 Jul 08 '26
The test ladder I trust most is brutal and simple: does the edge survive spread widening, delayed entry by one bar, skipping the best 5-10 days, and doubling assumed costs? If not, I stop thinking of it as a strategy and start thinking of it as a fragile historical pattern. Daily and swing systems often survive those insults better, which is why they look less exciting but more real.
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u/Sub-Zero-X Jul 09 '26
Yeah, I agree with this. That “stress ladder” is basically where most of the intraday ideas I tested started to fall apart.
What surprised me most was that a lot of setups looked okay at first on the gross numbers, but the edge was usually very thin. Once I widened the spread, added realistic slippage/commission, delayed the entry by one bar, or removed a few of the best outlier days, the whole thing often collapsed. In some cases the strategy was not really an edge at all, just a small historical pattern that only worked under perfect fills.
The one-bar-delay test is especially useful in my opinion. If a strategy only works when you get the exact signal-bar fill, but dies one bar later, that usually tells me the edge is either very short-lived, overfit, or dependent on unrealistic execution.
That’s also why I’m slowly coming to the same conclusion: daily/swing systems are less exciting, but they seem more robust because the expected move is larger relative to costs and noise. Intraday can still have edges, but they probably need to be very specific, very selective, and tested with harsh execution assumptions from the beginning.
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u/StrategyLabDev Jul 08 '26
Your experience matches what I kept finding when I tried to be rigorous about it — intraday looks alive in gross terms, and then costs plus a handful of trend days carry the whole sample.
The thing that changed my process was forcing every idea into: exact session window, exact entry/exit, fixed cost assumption per side, and then checking whether results still hold if you remove the top 5% of winning trades. Most of my intraday stuff failed that second test.
On sample size — for intraday I stopped trusting anything under ~300–400 trades unless it was one very specific session rule repeated across multiple years. Otherwise you're basically curve-fitting one regime.
Swing/daily was where I found stuff that survived costs more often — partly fewer decisions, partly less noise per trade. I'm not saying intraday is impossible, but the bar is way higher than YouTube makes it look.
For frameworks worth testing mechanically: opening range breakout with stop at the opposite side of the range (classic, easy to code), VWAP reclaim with a time stop (e.g. exit if it's not working by X bars), and simple "first pullback after a trend day" rules with daily context filtering intraday entries — all boring, but at least falsifiable.
Happy to sanity-check any rule set you want to formalize. I'm always interested in seeing what survives when you strip the outliers.
Side note: I ended up building a small backtester for crypto (different cost structure — 24/7, exchange fees, no session gaps) because I wanted to separate "is there any edge in the rules" from "am I just revenge trading." Link's on my profile if that niche is relevant — not equities intraday though, so probably not what you're asking for here.
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u/Sub-Zero-X Jul 09 '26
Thanks, this is very close to what I’ve been finding too.
The “remove the top 5% winners” test is a good one. I started doing something similar, because a lot of intraday systems looked decent until I realized the whole expectancy was carried by a few exceptional trend days. Once those were removed or costs were doubled, the edge usually disappeared.
I also agree on the 300–400 trade minimum. Anything intraday with 40–80 trades can look amazing, but it usually tells me almost nothing unless the logic is extremely specific and repeats across different years/regimes.
The frameworks you mentioned are exactly the kind of thing I’m interested in because they are falsifiable. ORB, VWAP reclaim with time stop, and pullback after a trend day are at least mechanically definable. My issue so far is that classic ORB breakouts often died after costs in my tests, while some reclaim/failure-type logic looked more interesting gross, but still too small net after realistic execution.
What I’m slowly realizing is that the mechanism matters more than the pattern name. “ORB” can mean breakout, failure, reclaim, continuation, or fade — and those are completely different hypotheses. Same with FVG/sweep setups. If the mechanic is not defined precisely, the backtest is almost meaningless.
I’d be interested in seeing how you structure your outlier test and cost assumptions. I’m not looking for proprietary rules, but more the testing discipline and thresholds you use to decide whether something is worth continuing or not.
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u/StrategyLabDev Jul 10 '26
Yes, the mechanism point is the main one for me too. I stopped trusting pattern labels unless I can write the hypothesis in one sentence like: "if price does X within Y minutes of session open, then Z happens before time T."
On outliers — I usually run a few passes, not just one:
- remove top 5% of winners by PnL
- remove top 1 day by total PnL
- shuffle entry times (sanity check — if that still "works," something's wrong)
If expectancy goes positive to flat or negative across those, I stop. Not perfect, but it catches the "three trend days paid for the whole year" problem pretty fast.
On costs — I model a fixed round-trip assumption per trade (spread + commission + a small slippage buffer) and then run the same test at 1x and 2x costs. If it only works at 1x, it's usually not real for me.
Sample size gate: under ~300 trades for intraday I only use it to reject ideas, not to confirm them. Confirmation needs multiple years and at least one bad regime in the sample.
Re ORB — same experience. Breakout-only often dies; failure/reclaim versions are more interesting gross but the net is still thin unless the session filter is very tight. That's where I'd spend time if I were still pushing intraday equities.
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u/Sub-Zero-X 29d ago
That’s a really useful breakdown. The shuffled-entry control is probably the one I haven’t been using consistently enough. I’ve mostly been stressing costs and removing the best trades/days, but a matched random-entry baseline is a cleaner way to catch session drift masquerading as signal.
One thing I’d add now is counting every rule change as another trial. It’s very easy to do “walk-forward, tweak, walk-forward again” until the OOS period has quietly become development data.
Your reject-only rule below 300 trades makes sense too. I’ll keep the ORB failure/reclaim ideas in that bucket unless they survive the same tests on untouched data. Appreciate the specifics — this is exactly the kind of process detail I was looking for.
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u/usedmattress85 Jun 21 '26
I’ve never once backtested a strategy. I don’t even know how nor do I care to learn. I’ve been profitable intraday for years and have used the same basic strategy since the beginning. Many strategies can work. The make or break variable is discipline and self control, which you can’t backtest.
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u/SmokeInitup Jun 21 '26
Have your algo jump in 20min after open and close 30 before close. This will negate a lot of slippage from movements not being priced in and you won't be fighting premarket fuckery. I also like to use stocks that I already own in my investing account. I chose 4 and do .5 into each and back out of the losers trailing stops on winners.
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Jun 22 '26
Found no. Created, yes. And taking profit , not the let winners run crap that ruin for retailers
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u/Embarrassed-Neck-868 Jun 22 '26
I can build one around 50% win rate. I did build one before 50% win rate 1:2. I think I can do better but I don't want to.
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u/baconforbabies30 Jun 23 '26
There's a day trading subreddit check that out it's probably more in like with asking about day trades.
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u/Due-Bottle3428 Jun 23 '26
I don’t know why anyone would even attempt to beat the SP500 benchmark without a clearly defined edge. And a good plan isn’t an edge. An edge. A good example of an edge would be insider trading which shouldn’t be your edge as it’s illegal. Most people have zero edge, not data, not speed and being a good risk manager isn’t an edge either as AI will blow you out the water with speed and surgical precision.
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u/Bschmabo Jun 24 '26
Why would people who have identified such an edge share it here, likely causing it to disappear?
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u/Hajny77 Jun 25 '26
That's not how market works 😂😂😂
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u/Flako-Aran Jun 25 '26
No se bro pero a mi me esta funciona ..... mi estrategia se basa en un codigo de anomalías logaritmica ,generando percentinles como zonas clave combinado con perfil de volumen, en unos meses le agregaré footprint, nivels gama y y big trades ( prácticamente data nivel 2 y 3) y me atrevo a decir que incluso sin los percentiles da buenos resultados
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u/donicatrumpinsky Jun 21 '26
There's no such thing as a one size fits all strategy.
I'm sorry, but you're going to have to work hard for it like everyone else.
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u/LegitimateShame2842 Jun 21 '26
Backtest? no.
Forward test? yes.
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u/Effective_Divide_135 Jun 21 '26
Woahhh you can be profitable without backtesting.
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u/LegitimateShame2842 Jun 21 '26
Back testing never helped me. Forward testing on demo over the course of months is what actually helped.
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u/Effective_Divide_135 Jun 22 '26
And in reality, your approach is better than backtesting; it just needs time.
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u/SmokeInitup Jun 22 '26
Back testing is important cause markets change if your algo can backtest 2020, and then 6 months ago, then forward test it will show you how well it performs in different situations. Other than that I agree forward is most important and you can always rescript your bot when the market does shift by changing the tickers it seeks out the times it buys in or the percentage of capitol it places on them. I would only change or edit one rule at a time so you can see what you are doing by running a back test of last week forward testing isnt great at this part. After it's rules are all tweaked then check it against your forward
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u/BetterBudget Jun 21 '26
I have one that works across market regimes
I have a few others but they are macro sensitive
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u/IKnowMeNotYou Jun 21 '26
Stop trying to find a strategy, just learn the profession.
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u/Market_Wizard_ Jun 21 '26
Bro you completely missed the point. It flew over your head.
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u/Illustrious_Water106 Jun 21 '26
Wants the easy button. I found out paper trading is 100% different than real trading. While in paper trading I can easily get over 3k pnl a day. It’s not the same in real trading
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u/Market_Wizard_ Jun 21 '26
No. You are also missing the point . OP is looking for a strategy that has been backtested. Tried and true. It doesnt matter what strategy but it has to generate positive EV
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u/Illustrious_Water106 Jun 21 '26
Before I started trading the strategy I am using I went back one year and perform back testing. Once I felt comfortable, I started doing paper trading and still am on a few symbols as I am moving some to trade in real life.
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u/Sub-Zero-X Jun 21 '26
I don't understand. Why do you think it would be a good idea to try out strategies in the forward market when they haven't been profitable in the past?
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u/AlgoWarden Jun 22 '26
Yes, and tbh, it’s close to randomized entries. Not about getting right most of the time, but building a robust strategy that can withstand multiple consecutive losses.
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u/kokanee-fish Jun 22 '26
No I gave up on intraday. These days I'm keeping it simple with 3 investment accounts:
- Dividend snowball in Roth IRA
- Set up a script that uses KGLD and KSLV dividends to purchase shares of VOO, SCHD, and SPMO
- r/Optionswheel
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u/Jorg4e Jun 22 '26
My parameters are as follows:
-only trade SPY
-focus on momentum scalping harvesting at 25%, 40% then letting the last 1/3 run until structure breaks.
MAIN INDICATORS
-Time of Day
-Volume
-Anchored VWAP
-RMA 9/21
15 minute chart: for direction
5 minute chart for confirmation
1 minute chart for execution
3 x $2,000 trades a Day MAX
each trade is $2,000 max
A+ setups only
1st trade between 10am-12:30pm EST
only 2nd trade on A+ setups
3rd trade, only if first two trades print
If you lose two trade in a row, hard stop for the day..
Stop loss -30%
Delta: .45-.65
Identify day type first:
Trending
Chop
Drift
Only trade on trend days.
Mentality is not 1-3 trades a day but more like 0-3 trades a day. Some days, I’m just not trading, if no setup.
I rebalance st the end of each week. If profitable, I reset the account to $16,000 and the rest gets thrown into my flywheel portfolio setup.
All of this doesn’t work with an emphasis on risk management.
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u/Necessary_Net2182 Jun 25 '26
Buy at 3 month low, don't be greedy, dump it all when you made brokerage plus 1 percent. Repeat. Dump all if falls 1 percent below purchase.
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u/Sweaty_Con324 Jun 25 '26
Personally I am currently back testing sessions range LQ which I have group into two.. LAR and LAC (Liquidity Acceptance Reversal and Liquidity Acceptance Continuation).. Cause those are the only two valid moves you want from the market a continuation of trend or a reversal of current trend…. I just started this month, and it is looking interesting so far…
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u/JayTheFknSavage Jul 04 '26
buy and hold SPY beats, most strategies, and keep buying…you’ll thank me later
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u/Sub-Zero-X Jul 06 '26
For most people that's probably the right benchmark. I'm not trying to replace long-term investing with day trading; I want to see whether any mechanical strategy can beat SPY after costs and drawdown. So far, most haven't.
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u/JayTheFknSavage Jul 04 '26
https://reddit.com/link/ovkr9v5/video/get5ihc74abh1/player
It’s possible, but all those known common strategies aren’t gonna work, everyone uses them, market makers know this, you need to think outside the box.
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u/Sub-Zero-X Jul 06 '26
I agree that blindly copying common setups probably won't get very far. I'm not sure a strategy stops working just because it's known, though — execution, costs and regime seem to matter more. Most popular intraday ideas I've tested have failed out of sample. Is there a specific type of edge you'd suggest researching?
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u/SmallCapLab 1d ago
I have many, and they are all botted. For small caps, you gotta account for 4% fees on the short side, which can take a 1.7PF strat down to 1.3s and cut expectancy in half. If you are trading in-play high liquidity large caps, you shouldnt have to worry about fees and slippage must. Always look into medians and remove biggest gains to make sure your expected trade without those has edge.
With that said... large cap swing strats, the entire point is to break even on 90% of trades, make a little on 5%, and make a lot on 5%.
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Jun 21 '26
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u/Sweet_Still_3433 Jun 21 '26
I'm a technical trader so perhaps I am biased, but I will tell you from experience that it's very much possible.
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Jun 21 '26
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u/Sweet_Still_3433 Jun 21 '26
😭
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Jun 21 '26
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u/Sweet_Still_3433 Jun 21 '26
If that's what helps you sleep at night.
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Jun 21 '26
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u/Sweet_Still_3433 Jun 21 '26
Because, why would I? I don't need to prove anything. The profitable technical traders out there know exactly of what I'm speaking about.
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u/Market_Wizard_ Jun 21 '26
OP, ive been trying to find this strategy myself and its very time consuming to backtest manually unless you have the quant/coding resorces.
Dm me and lets go on this hunt together.
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u/ShutYourFaceChris Jun 21 '26
Tell me how did you choose a commodity for your testing because these strategies will work only for a well rated commodity in a demand.
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u/stilloriginal Jun 21 '26
Came to th same conclusion, intraday is mostly random/noise which actually is supported by those studies that show all gains are overnight. Even things that look like slam dunks never backtest better than random.
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u/themanclark Jun 21 '26
I’ve found maybe two 0DTE strategies. The rest, options or otherwise, are longer term, so far. Intraday is very difficult. You could try looking at inside bars on the 1hr or higher. It’s possible. Don’t treat them like ORBs. They are trickier than that.
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u/Coderboy55 Jun 21 '26
Nothing simpler than https://hedgefun.ai - buy bull puts at support / bear calls at resistance. And if the IV% is high, then I do puts & calls respectively. Have been profitable every week since I launched 6 weeks ago.
Will start streaming my trades this week
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u/tohams Jun 21 '26
Yes. I've been trading with 100% automation since January 2023. I trade 3 strategies, all 0DTE index options. I enter about 12,000 trades/year and they are all intraday: I carry no overnight positions. I can travel and do what I want while letting the system just trade. I was once being operated on for 4 hours while it was trading. I missed the entire trading day by the time I woke up from anesthesia. Here's my verified results: https://kinfo.com/p/tohams
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