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# "QLiquidity" Strategy (ATS 2.0)

## "QLiquidity" Strategy (ATS 2.0)

### QLiquidity Strategy

QLiquidity is a mean-reversion strategy for NQ futures. It watches a set of recent intraday reference levels: the kinds of places where resting orders and stops tend to cluster. When QLiquidity reads a *liquidity sweep it moves to enter* and take advantage of the reversion after the sweep. Every trade is gated by the **QuantVue Direction Classifier**, our proprietary daily-bias engine, so the strategy only fades sweeps that agree with the day's bias. The sweep levels are found with a variety of processes, including full orderbook examination.

By default QLiquidity trades the New York day session (09:35 to 16:55 ET), holds one position at a time, and is flat before the evening session begins. Load it, choose your size, and let it run the day.

#### Features include:

* A liquidity-sweep detection engine based on order book examination
* Every trade filtered by the **QuantVue Direction Classifier**: longs on long-bias days, shorts on short-bias days
* **New York day session by default.** Entries run 09:35 to 16:55 ET, and any open position is closed when the window ends
* **One position at a time** by default. The first qualifying signal takes the trade; later signals wait until it closes
* Volatility-aware take-profit and stop-loss brackets, adjustable per your risk preference
* A time-in-trade limit so a stalled position never sits open all session
* Automatic skip of U.S. market holidays and early-close half-days
* Optional position stacking and martingale sizing for experienced users
* Built-in compatibility with the QuantVue Automated Trading Suite

#### A note on the 5-minute interval

QLiquidity runs on 5-minute candles, and every part of it is defined in those terms. QLiquidity was built, tested, and validated specifically on 5-minute NQ; running it on another interval would be a different, unproven strategy.

This is why **Candle Interval** is fixed at 5-minute and can't be changed.

#### Settings

**Main Configuration**

**Candle Interval** — the candle size QLiquidity runs on. Built and validated for **5-minute** candles and locked there.

**Symbol** — the instrument traded. QLiquidity is researched and validated for **NQ** futures.

**Trading Hours** — the window during which the strategy is allowed to act, and the days it trades. The default is the New York day session, **09:35 to 16:55 ET, Monday through Friday**: the configuration with the strongest validated results. You can widen it toward around-the-clock trading or narrow it further (see the adjustment examples below).

**Additional Time Parameters**

**Close at End of Hours** — flattens any open position when the trading window closes. With the default window this closes any open trade at the end of each day session, so nothing is carried overnight. We recommend leaving this **on**.

**Use Time Entropy** — when **on** (the default, recommended), a trade that has not resolved after a bounded number of candles is closed. This is the configuration QLiquidity was researched against. Turning it off removes the hold-time ceiling and leaves only the end-of-window exit.

**Time Entropy Bars** — how many candles a trade may stay open before the time limit closes it. Default **60** (five hours on 5-minute candles), the value used in research. Raising it lets winners run longer at the cost of holding stalled trades longer; lowering it tightens hold time but clips some winners early.

**Skip Holidays / Half-Days** — when **on** (the default, recommended), QLiquidity takes no trades on U.S. market holidays or early-close half-days, using the shared market calendar. Early-close sessions end before the normal end-of-window exit can act, so trading them risks carrying a position across the closure. Turn it off only if you accept that risk.

**Profit & Loss Parameters**

**Base Contract Quantity** — the number of contracts per entry. This is your primary risk dial; set it to match your account size and risk tolerance. Default 1.

**Take Profit Multiplier** — how far the profit target sits from your entry, as a multiple of the strategy's internal volatility anchor. Higher values aim for bigger winners that hit less often; lower values bank smaller wins more frequently. Research default is **2.0**.

**Stop Loss Multiplier** — how far the stop sits from your entry, as a multiple of the same volatility anchor. Lower values cut losers faster but get stopped out more often; higher values give trades more room at the cost of larger individual losses. Research default is **1.5**.

**Advanced Features**

**Use Direction Filter** — when **on** (the default, recommended), QLiquidity only takes trades that agree with the day's Direction Classifier bias. Turning it off accepts every raw sweep the engine detects, in both directions, on every day. That materially diverges from the researched configuration and is not recommended for live capital.

**Cooldown Candles** — the minimum number of candles between two setups of the same type and direction. Default **5**. Raising it spaces entries out further; lowering it lets the strategy re-engage a level sooner.

**Stack Multiple Trades** — when **off** (the default), QLiquidity holds a single position at a time and ignores new setups until it closes. This is the smoother, lower-drawdown profile with the higher per-trade hit rate. When **on**, each qualifying setup opens its own position with its own bracket, up to the limit below. Stacking trades more often for a higher total return, at the cost of deeper drawdowns; verify your account has margin headroom for the full stack.

**Maximum Concurrent Trades** — the most positions the strategy may hold open at once when stacking is enabled. Default **4**. Worst-case exposure scales linearly with this number times your contract quantity.

**Use Martingale** — opts in to martingale position sizing, where the next entry after a losing trade may be sent at double the contract count. This is an aggressive approach and increases drawdown risk; enable it only with capital you can afford to put behind it. Martingale is only available in the default single-position mode: it is automatically disabled when Stack Multiple Trades is on.

**Max Contracts** — caps the order size when martingale is enabled, so the doubling can never run away on you. Only applies when **Use Martingale** is on.

#### Adjusting QLiquidity: worked examples

Every example below changes one thing at a time from the shipped defaults. That is also how we recommend you tune: one dial, then watch it, then the next. Remember, the defaults are only a starting place for your own settings. **They are NOT A RECOMMENDATION.**

**"I want to trade it exactly as researched."** Change nothing except **Base Contract Quantity**. The defaults are the validated configuration: single position, NY day session, Direction Filter on, take-profit 2.0 and stop 1.5.

**"I only want the morning."** Set **Trading Hours** to 09:35 → 11:30 ET and leave **Close at End of Hours** on. Most of QLiquidity's setups fire in the first hours of the session, so a morning window keeps the bulk of the activity and has you flat by lunch. The tradeoff: morning entries lose the rest of the day to reach their target, so more trades get cut at the window close.

**"I want tighter risk per trade."** Lower **Stop Loss Multiplier** from 1.5 toward 1.0, and consider lowering **Take Profit Multiplier** to match (for example 1.0 / 1.0). A tighter bracket cuts losers sooner and banks wins earlier: individual losses shrink, but more trades get stopped on noise before they can revert. Expect a calmer equity line and less total profit than the default bracket.

**"I want to give winners more room."** Raise **Take Profit Multiplier** toward 2.5 or 3.0. Targets that far hit less often, and more positions will run into the time limit instead. If you go this way, consider raising **Time Entropy Bars** as well (for example 60 → 90) so the clock does not close trades that are still working toward the wider target. Wider targets and longer holds mean more exposure per trade; size accordingly.

**"I want more shots on goal."** Turn **Stack Multiple Trades** on and set **Maximum Concurrent Trades** to 2 to start. Each qualifying setup now opens its own bracket instead of waiting for the previous trade to close. Confirm your margin covers the full stack at your contract size before raising the cap further, and note that martingale turns itself off in this mode.

**"I want to size up after losses."** Leave stacking off, turn **Use Martingale** on, and set **Max Contracts** to the largest single order you are willing to see. With a cap of 4 and a base quantity of 1, a losing streak can escalate an entry to 4 contracts before the cap holds it there. Do the arithmetic on that worst case against your account before enabling it.

One dial we recommend you leave alone: **Use Direction Filter**. Turning it off adds every counter-bias setup to the trade stream, and those are the trades the research showed the Classifier was correctly filtering out.

#### Profit, loss, and trade limits

QLiquidity enforces its own discipline: one position at a time by default, spaced entries, a hold-time ceiling, and flat at the end of the window. If you want hard daily profit or loss limits on top of that, we recommend using your broker platform's native risk tools (for example, Tradovate's account-level limits) rather than relying on charting-platform tracking, which can be imprecise.

#### What to expect

* **NQ, 5-minute, NY day session by default.** QLiquidity is purpose-built for NQ and is not validated on other instruments or intervals.
* **Some days have no trade.** No-bias days, holidays, half-days, and sessions with unavailable reference data are all skipped, and the console says so ("standing aside"). Expect quiet days; that is the filter earning its keep.
* **One position at a time.** In the default mode, a new setup while a trade is open is noted in the console ("holding current trade") and passed over.
* **Most exits are not the take-profit.** A large share of trades close on the time limit or the end-of-window flatten rather than at the target. That is normal for this style: the strategy takes what the reversion gives and refuses to hold a stalled trade.
* **It buys weakness and sells strength.** As a mean-reversion strategy, QLiquidity enters against the most recent push. Individual entries will often look uncomfortable in the moment; the bracket and the time limit are there so no single trade can do outsized damage.
* **Past performance is not a promise.** Markets move through calm and turbulent regimes, and a strategy that does well in one can give some back in another. Trade a size you are comfortable with, and treat the stacking and martingale options with respect.

***

Questions? Reach out any time at [**hello@quantvue.io**](mailto:hello@quantvue.io) — we're happy to help you get QLiquidity dialed in. Cheers!