Supply Scout on Micro E-mini S&P 500 (MES)
Should you use it?
Use with cautionUsable, with caveats
It meets the brief on MES, but read the caveats before trading it — and run it in simulation first.
- Stayed profitable going forward at 4 of 4 walk-forward cut-offs.
- Would have been picked in advance at only 2 of 4 cut-offs — the edge was found with the whole period in view.
One of the 9 bots chosen to run together in a single account — trading 09:30–11:00.
Recommended set
MES · 3-minute bars · Short · Periods 3, Body breaks · 09:30–11:00 ET entry window · 35-tick (8.75 pt, $44) stop · 115-tick (28.75 pt, $144) target
Net profit
+$4,762
1 MES contract · after commission
Profit factor
1.30
$1.30 won per $1 lost
Max drawdown
$966
net / drawdown 4.9 : 1
Win rate
31%
513 trades · 1.0 per day
Per month
+$188
largest loss −$46
One contract · NinjaTrader 8 Strategy Analyzer, Aug 2024 – Sep 2026, after commission.
What the numbers say
- It meets the brief. Target: profit factor above 1.0 and at least 3 : 1 net profit to max drawdown. Result (NT8 Strategy Analyzer, with the “NinjaTrader Brokerage Free” commission template): PF 1.30 and 4.9 : 1 on 513 trades.
- Profitable in every calendar year of the test (2024: +$1,912, 2025: +$1,814, 2026: +$1,240); 17 of 26 months positive; best 2026-06 (+$782), worst 2025-05 (−$368).
- Long / short split. Longs $0 on 0 trades, shorts +$4,762 on 513.
- Exposure. Average 55 minutes in the market, 1.0 trades per session; every trade closed within the Globex session it was opened in (17 at the 15:55 flatten, 5 at the 17:00 session close), nothing carried across the 17:00 break or a roll.
- Walk-forward. The in-sample winner failed forward at 4 of 4 cut-offs. The recommended set was positive forward at 4 of 4 cut-offs (forward PF 1.22–1.37, net/DD 2.7–5.4) and would have passed the in-sample gate at 2 of 4 of them — positive forward but not something an earlier search would have selected.
- Plateau. 8 of 72 stop/target cells in the same family pass PF > 1 and net/DD ≥ 3 over the full period — a narrow ridge.
- Verified. The replica behind the sweep matched NT8’s trade count on the validation window (252 vs 252); headline figures come from NT8’s own engine.
Set it up in NinjaTrader
Add ToredaDSBreakStrategy to a MES 3-minute chart (or the Strategy Analyzer) and change only these inputs — everything else stays at the strategy default:
| Input | Value | Note |
|---|---|---|
| Data series | MES, 3 Minute, Last | Front-month contract; NT8 merge policy “MergeBackAdjusted” supplies the history. |
| Direction (Demand/Supply) | Short | Longs 0 / shorts 513 trades. |
| Periods | 3 | Default 5. |
| Break Type | Body | Default WickBody. |
| Stop Unit / Stop Ticks (Risk) | Ticks / 35 | 8.75 MES points = $44 per contract before slippage. |
| Target Unit / Target Ticks (Risk) | Ticks / 115 | 28.75 MES points = $144. |
| Use Breakeven / Use Trail | false / false | |
| Use Time Window (Session) | true | Window 09:30 → 11:00 (America/New_York). |
| Use Flatten Time / Flatten | true / 15:55 | Default. |
| Max Trades Per Day | 0 | 0 = unlimited. |
| Analyzer: order fill resolution | High, 1 Minute | Matches the runs in this report; commission template “NinjaTrader Brokerage Free” (≈ $1.90 per round turn). |
1 contract vs 3 contracts
One position at a time, so size scales cleanly: the ratios stay the same and every dollar figure is three times larger.
| 1 contract | 3 contracts | |
|---|---|---|
| Net profit (after commission) | +$4,762 | +$14,285 |
| Gross profit / gross loss | $20,834 / −$16,073 | $62,502 / −$48,218 |
| Commission paid | $975 | $2,924 |
| Profit factor | 1.30 | 1.30 |
| Max drawdown | $966 | $2,898 |
| Net / max drawdown | 4.9 : 1 | 4.9 : 1 |
| Profit per month | +$188 | +$564 |
| Average winner / loser | $131 / −$45 | $393 / −$136 |
| Largest loss | −$46 | −$137 |
| Worst losing streak (13 trades) | −$590 | −$1,771 |
| Risk per trade at the stop | $44 + costs | $131 + costs |
| Suggested risk capital (≈ 3 × max drawdown) | $2,898 | $8,694 |
Year by year
| year | trades | net | PF | win |
|---|---|---|---|---|
| 2024 | 88 | +$1,912 | 1.78 | 39% |
| 2025 | 257 | +$1,814 | 1.22 | 30% |
| 2026 | 168 | +$1,240 | 1.23 | 29% |
| in-sample (→ 2025-12-31) | 346 | +$3,681 | 1.35 | net/DD 3.9 |
| out-of-sample (2026) | 168 | +$1,240 | 1.23 | net/DD 2.8 |
How robust is it?
Walk-forward check
The in-sample winner held up forward at 0 of 4 cut-offs; the recommended set was positive forward at 4 of 4 and would have passed the gate at 2 of 4. It works forward but was identified with the whole period in view — discount the headline accordingly.
Monte Carlo
The observed drawdown ($950) sits at the middle end of what the same daily results could have produced — 47% of resampled histories draw down further, and 1 in 20 reaches $1,644 or more. The edge is not in doubt in this sample: 0.2% of resampled histories end below zero and the 3 : 1 brief holds in 80% of them. Reordering the same trades (second row) moves the drawdown a lot: the 95th-percentile sequence-risk drawdown is $1,542. Size the account on the 95th-percentile drawdown ($1,644 per contract) plus margin, not on the observed $950, and expect up to 188 trading days without a new equity high.
At the default settings
At its defaults the strategy loses on every timeframe tested.
| configuration (defaults) | trades | net | PF | max DD | win |
|---|---|---|---|---|---|
| 1m Both S40t T80t P5 Wick ETH | 5,282 | −$17,620 | 0.90 | $19,322 | 34% |
| 2m Both S40t T80t P5 Wick ETH | 4,330 | −$13,390 | 0.91 | $14,606 | 34% |
| 3m Both S40t T80t P5 Wick ETH | 3,758 | −$7,096 | 0.94 | $8,277 | 35% |
| 5m Both S40t T80t P5 Wick ETH | 3,002 | −$3,947 | 0.96 | $5,595 | 35% |
| 10m Both S40t T80t P5 Wick ETH | 2,117 | −$4,498 | 0.94 | $6,845 | 34% |
| 15m Both S40t T80t P5 Wick ETH | 1,666 | −$9,864 | 0.83 | $10,047 | 32% |
| 30m Both S40t T80t P5 Wick ETH | 1,099 | −$4,915 | 0.87 | $5,537 | 33% |
Know before you trade it
- Selection bias. 105,840 configurations were searched; the walk-forward is the only evidence not contaminated by the search. The recommended set was positive forward but earlier searches would not have chosen it.
- Plateau width. 8 of 72 neighbouring stop/target cells pass — the set sits on a narrow ridge; small drifts in volatility could move it off.
- Instrument-specific. Stops and targets are in MES ticks; do not transfer them to another instrument — each instrument has its own report.
- Fill assumptions. Both engines fill stops at the stop price and targets on touch; live fills will be worse.
- Two years, one regime. The sample is Aug 2024 → Sep 2026; behaviour in other regimes is untested.
Getting started
- Run it in simulation first with the inputs above and compare the first 100–200 trades against the forward statistics before any live size.
- Do not chase the leaderboard. Re-optimising to whatever tops the in-sample ranking is the procedure the walk-forward check shows failing.
Supply Scout on other instruments
Backtest results are hypothetical. They were produced with the benefit of hindsight on historical data, do not represent actual trading, and cannot fully account for slippage, liquidity or the emotional pressure of live trading. Past performance is not indicative of future results. This content is for educational purposes only and is not financial advice. Trading futures involves substantial risk of loss. See our risk disclosure for details.