ENTRY
Was signal quality actually better?
Compare initial Maximum Adverse Excursion (MAE)—how far the trade moved against the position—and early follow-through. If the state reduced immediate heat, the improvement may begin at entry.
BackTest Forensics · SATS MNQ Research
When did the strategy perform best — and why?
A three-way state study of 161 actual SATS MNQ trades, comparing baseline results with market-state conditions observed between July 20 and August 26, 2026.
Executive finding
The strategy's edge was not uniform across market states.
The strongest observed subset was QFR2 CLEAR_TREND + GEX UNANIMOUS.
The full 161-trade sample was profitable, but the conditional subset materially improved average trade value and profit factor. That does not establish causation. It identifies a state combination worth challenging with holdout data and trade-path analysis.
Working conclusion · Research leadBaseline P&L+$3,961
Baseline avg/trade+$24.60
Baseline PF1.765
Trades161
Evidence 01
Baseline strategy performance.
The first job is to establish what the strategy actually produced before adding market-state context.
| Measure | Observed result |
|---|---|
| Total trades | 161 |
| Total P&L | +$3,961 |
| Average per trade | +$24.60 |
| Average per contract | +$16.89 |
| Raw profit factor | 1.765 |
| Per-contract profit factor | 1.671 |
Evidence 02
The strongest observed state improved both expectancy and profit factor.
| Condition | Trades | Days | Avg / Trade | Avg / Contract | PF | PF / Contract |
|---|---|---|---|---|---|---|
| QFR2 CLEAR_TREND + GEX UNANIMOUS | 70 | 21 | +$39.99 | +$33.12 | 2.361 | 2.546 |
| Full sample | 161 | — | +$24.60 | +$16.89 | 1.765 | 1.671 |
01
The conditional improvement is economically meaningful inside this sample.Average trade value increased from +$24.60 to +$39.99, while raw profit factor increased from 1.765 to 2.361.
02
Per-contract results improved as well.Average per contract rose from +$16.89 to +$33.12, and per-contract profit factor rose from 1.671 to 2.546.
03
That still does not prove the labels created the edge.The subset may also differ in direction, time of day, volatility, trade duration, excursion path or other correlated conditions.
Evidence 03
The next question is mechanism, not another filter.
PATH
Did trades travel differently?
Measure Maximum Adverse Excursion (MAE), Maximum Favorable Excursion (MFE), spike magnitude, pullback and giveback. A stronger environment may simply allow more favorable excursion before the exit logic engages.
EXIT
Did the strategy capture more available opportunity?
Compare realized P&L with Maximum Favorable Excursion (MFE)—the best move in the trade's favor—and test whether exit efficiency changed under the stronger state.
Counter-test
Do not convert an exploratory state into a live trading rule yet.
The correct next step is chronological validation.
Discover the relationship in one period, then test it in later untouched data. Match trades on direction, session and volatility where possible. If the advantage survives those controls, the state becomes a stronger candidate for risk scaling or contextual interpretation.
Action status · Validate firstRecommended next tests
What BackTest Forensics would investigate next.
A
Maximum Adverse Excursion (MAE) / Maximum Favorable Excursion (MFE) decompositionDetermine whether the stronger state reduced adverse excursion, increased favorable excursion, improved capture, or some combination.
B
Matched controlsCompare trades with similar direction, session and volatility to test whether the state labels add incremental explanatory value.
C
Chronological holdoutTest the state relationship in later untouched data rather than optimizing a threshold on the discovery sample.
D
Risk-scaling testIf the relationship survives validation, test probability-weighted risk scaling before considering hard trade blocks.
Actual historical SATS research example. Exploratory research only; no live trade or risk authority. Historical and backtested performance does not guarantee future results. Nothing on this page is investment advice or a recommendation to trade.