Analysis of Reddit Developer's ES/NQ Futures Trading Strategy Yielding ~$104k YTD Profit

This analysis is based on a Reddit post [1] (December 10, 2025) where a developer detailed their mean reversion futures trading strategy targeting E-mini S&P 500 (ES) and E-mini NASDAQ 100 (NQ) contracts. Key strategy components include volume-weighted average price (VWAP) bands, cumulative volume delta (CVD) divergence, custom volumetric order blocks, and a rule to avoid trading on Wednesdays due to lower Sharpe ratio. The developer credits their background for automating math-driven parameters, reducing emotional trading bias, while preferring manual execution with a “human check” to mitigate technical risks (websocket disconnects, API limits) [1].

Peer discussions noted superficial similarities to Bollinger Bands + RSI strategies, but the OP clarified the fundamental difference: VWAP bands are volume-based, unlike Bollinger Bands which use simple moving average (SMA) standard deviation [1]. Market context shows the S&P 500 recovered its 2025 losses by mid-year [2], creating potential opportunities for mean reversion strategies that capitalize on price swings around VWAP. As of mid-2025, ES and NQ futures traded at $6,880.75 (+0.04%) and $25,749.25 (+0.07%) respectively [3].

1. Volume/order flow differentiation
   : Unlike traditional RSI/Bollinger Bands (price-based), the strategy’s focus on VWAP and order flow metrics (CVD, volumetric OBs) aligns with institutional trading practices, though effectiveness depends on market conditions [4][5].
2. Developer background as a competitive edge
   : Automation reduced emotional bias (a retail trader pitfall), while manual execution mitigated technical risks associated with full automation [1].
3. Criticality of capital size disclosure
   : The undisclosed capital base makes risk assessment impossible— a 4.5% drawdown could represent trivial risk on a large account or significant loss on a small one [1].
4. Retail shift to hybrid strategies
   : The post reflects growing retail engagement with quantitative tools combined with human oversight, particularly in futures markets amid 2025’s market recovery [2].

• Leverage exposure
  : Futures trading involves high leverage, amplifying gains/losses; the 4.5% drawdown may reflect favorable market conditions, not inherent strategy safety [1].
• Anecdotal results
  : Self-reported performance lacks independent auditing or backtesting across market cycles, raising credibility concerns [1].
• Execution risks
  : Manual execution introduces emotional bias, while automated execution carries server/API outage risks [1].
• Market trend dependence
  : Mean reversion strategies rely on price corrections, which may fail if markets become unidirectional [2].

• Educational value
  : The focus on VWAP and order flow provides insights into advanced trading metrics for retail traders [4][5].
• Validation potential
  : Disclosing strategy rules and capital size could enable independent testing to verify effectiveness [0].

This report analyzes a self-reported ES/NQ futures trading strategy with ~$103.75k 2025 YTD net profit, notable risk-adjusted metrics, and volume/order flow-focused components. The post reflects retail interest in hybrid quantitative-human strategies amid a recovering S&P 500 market. Critical gaps include undisclosed capital size, lack of verification, and missing transaction cost data. Risks include leverage, anecdotal bias, and execution challenges, while opportunities lie in educational insights and potential strategy validation. No prescriptive investment recommendations are provided.