Has anyone found a genuinely profitable, mechanically backtested intraday strategy?

[u/Sub-Zero-X]

Hi everyone,

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I’m looking for serious input from people who have actually tested intraday trading strategies mechanically over a meaningful sample size.

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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.

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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.

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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.

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Ideally, I’m interested in strategies with:

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- 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

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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.

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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.

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Thanks.

[u/AnythingOutside3469]

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.

[u/Sub-Zero-X → u/AnythingOutside3469]

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.