Video Summary - Backtesting JJ Simon's NQ Strategy

Summary (finance-focused)

The video backtests and evaluates “JJ Simon’s Fair Value Theory” applied to NQ (Nasdaq-100 E-mini) futures on a 1-minute timeframe. The core idea is to determine whether price mean reverts back toward perceived fair value levels—primarily around:

New York open (9:30 a.m.)
New York afternoon (~2:00 p.m.)

The presenter builds a more mechanical rule set and tests it in FX Replay, reporting strong performance across multiple sample periods. The video also highlights that results can be timing-dependent, and it covers volatility/risk controls.

Assets / instruments mentioned

NQ (Nasdaq-100 futures / E-mini Nasdaq-100)
VWAP (used as optional confluence)
ATR (Average True Range indicator)
FX Replay (backtesting platform)

Key strategy framework (“Fair Value Theory” + execution rules)

Core concept

If there’s no new information to re-price the market, price is expected to revert toward a “fair value” anchor.

Fair value anchors / time windows tested

9:30 a.m. New York open (“NY open”) Often treated as the reference/fair value anchor.
~2:00 p.m. New York open (“NY afternoon”)
Asia session open (mentioned as optional) Presenter notes it was not tested, and it requires volume + volatility surge.
London (not emphasized) Presenter suggests JJ likely doesn’t trade London.

Trade timing (optimization / cautions)

Continuations are typically sought in the first 10–15 minutes after the open.
Presenter suggests avoiding/limiting:
- First ~3 minutes after 9:30 a.m. for continuations (found much worse)
- Mean reversions only within the first ~30 minutes of the NY open
- For PM mean reversions, the last hour (~3:00–4:00 p.m.) may be lower probability

Entry model (mechanical criteria)

Displacement candle (decisive close) definition

A bullish/bearish candle qualifies if the counter-wick is ≤ 20% of the range from open to extreme, using a fib-measure tool to check this mechanistically.

Break of structure required

The best setups require displacement + break of structure on the same candle
Specifically: a close beyond a prior level supporting continuation or reversion.

Two trade types (entry triggers)

Entry Trigger 1: Continuation
- Displacement + break away from fair value
Entry Trigger 2: Mean reversion
- If price has moved away already: displacement + structure break that supports returning toward fair value

Stop loss / take profit

Default settings (most common)

Stop loss: 25 ticks
Take profit: 38.5 ticks (~1.5R)

Volatility adjustment (ATR-based)

If ATR ~ 7 to 20: generally 25 tick SL / 38.5 tick TP
If ATR > 20: may use 50 tick SL / 75 tick TP (~1.5R)
If ATR < 7 (often NY PM / sometimes Asia): tighten Presenter mentions 16.5 ticks vs 24.75 thresholding

Trade management

Presenter reports no discretionary trade management during normal tests: “Just letting it play out” (no trailing/adjustments).

Risk sizing guidance (prop-firm style)

Tick distances are described as aligning with about $1,000 risk depending on contract count:

1 contract @ 50-tick SL ≈ $1,000 risk
2 contracts @ 25-tick SL ≈ $1,000 risk
3 contracts @ 16.5-tick SL ≈ $1,000 risk

Key numbers / performance metrics reported

Single-day example (March 4, 2025)

Multiple trades were shown executing and hitting take profits.
The presenter characterizes the performance as strong for the tested window, though a clean full-day summary table is not provided.

Aggregate backtest results (validation dataset)

Across 158 trades (continuations + mean reversions combined):

Win rate: 54%
Profit factor: 1.76
Max win streak: 8
Max loss streak: 5

By trade type:

Continuations (Entry Trigger 1)
- Win rate: described as slightly higher
- Profit factor: described as better than mean reversions
Mean reversions (Entry Trigger 2)
- Win rate: described around ~49% / 59% depending on filtering context
- Profit factor: ~1.46 (presenter’s stated figure)

Period/regime examples (sample conditioning / sensitivity)

February 2026 subset
- Trades: 43
- Win rate: 58%
- Total: 19R (presenter notes “only half of February”)
April 2025 → early May (uptrend / upward regime)
- Win rate: 56%
- Profit factor: 1.93
- Returns described as improving later in the period
April 2023 (ranging / choppy regime)
- “Not as good,” generally worse for the strategy

Risk-reward optimization

Simulator suggests the best match is:
- 1.5R optimal
1.6R is described as slightly better (marginal improvement).

Timing optimizations (material improvement after removing low-quality windows)

Filters removed/avoided:

First 3 minutes after 9:30 for continuations
10:00–11:00 and 3:00–4:00 p.m. for certain mean-reversion entries

Reported improvement:

Before filters: 150 trades, 46R, 52% win rate, 1.66 profit factor
After filters: ~62% win rate, 2.46 profit factor (Same general testing universe after removing those windows.)

Mean reversion timing rule (explicit conclusion)

Take mean reversions only within the first ~30 minutes of NY open.
Later mean reversions show lower probability.

Disclosures / cautions / verification notes

The strategy creator (JJ Simon) performance claims are not independently verified by the backtester.
JJ is said to claim $1.2M in payouts over ~12–13 months across futures prop firms (Topstep, E8, Funded Next), but the presenter notes it’s “not fully verified on our end.”
The presenter emphasizes validation rather than trust.
The provided subtitles do not clearly include a formal financial advice disclaimer.

Presenter / sources

Presenter (main backtester): FX Replay user / YouTube channel host (name not given in subtitles)
Strategy source mentioned: JJ Simon (creator of the “Fair Value Theory” NQ 1-minute scalping strategy)
Prop firms mentioned (as claimed by JJ): Topstep, E8, Funded Next
Community/platform: FX Replay (used for backtesting)

Backtesting JJ Simon's NQ Strategy | Fair Value Theory

Key takeaways