Trend Following · Scalp System

Sire-PYE

Index Futures Strategy · MNQ / MES / ES / NQ · Pine Script v5

A higher-timeframe anchored scalp system built around aggressive capital preservation. Uses a 30-min 20 EMA with a chop ratio filter and a strict daily kill switch. Backtested +34.19% on MNQ over 12 months.

+34.19%
Net Profit
$17,093
Total P&L
$4,528
Max DD
1.83
Profit Factor
Overview

Strategy Overview

Sire-PYE is a trend-following scalp system designed for Index Futures (MNQ / MES / NQ / ES). It uses a higher-timeframe "Anchor" EMA to determine market direction and executes on a lower timeframe to capture intraday momentum.

The core philosophy is aggressive risk management: it prioritizes capital preservation by utilizing a strict daily "Kill Switch" that prevents overtrading during choppy, non-trending sessions. If the market isn't giving, the strategy takes nothing.

Logic

How It Works

● Trend Anchor
The strategy uses a 30-minute 20 EMA as the "Line in the Sand." This higher-timeframe EMA determines the macro directional bias. Price above = bullish context. Price below = bearish context.
● Chop Filter
Every bar calculates: trend_ratio = |close − day_open| / (day_high − day_low). If the ratio exceeds 0.5, the day has directional conviction — trades are allowed. If ≤0.5, the strategy sits out entirely.
● Per-Trade Stop Loss
A tight 5.0 point hard stop is applied immediately upon entry. On MNQ this equals $50 per trade (5 contracts × $2/pt × 5pts), keeping individual losses small and defined.
● Daily Kill Switch
A $100 Daily Max Loss limit is enforced. If daily equity drops by $100, the script ceases all trading for the remainder of the session — no exceptions. On MNQ with 5 contracts, this allows 2 full stops before shutting down.
Key Insight

The "One & Done" Effect

With 5 contracts on MNQ ($2/pt), a single 5-point stop loss costs $50. The $100 kill switch allows 2 stops maximum before the day is over. This is intentional — the strategy requires the market to prove itself before re-engaging.

The result: it becomes a "Perfect Setup" hunter. On trending days, the ChopExit holds the position through the full move and exits cleanly when direction fades. On bad days, maximum exposure is hard-capped at $100.

The 12-month MNQ backtest confirms this works: 24 ChopExits captured a combined $36,473 at an average of $1,520 per exit, while 413 stops cost only -$20,650 total at -$50 each.

Backtest Results

Performance — Both Instruments

Backtested on real 5-minute CME futures data. MNQ covers 12 months (Mar 2025 – Mar 2026, 19,682 bars). MES covers 6 months (Sep 2025 – Mar 2026, 18,773 bars). Both tested with identical parameters: 5 contracts, 5pt stop, $100 daily kill, 0.5 chop threshold.

MNQ
▲ Profitable
PeriodMar '25 – Mar '26
Net P&L+$17,093
Return+34.19%
Total Trades438
Win Rate5.3%
Profit Factor1.83
Avg Win$1,641
Avg Loss-$50
Max Drawdown$4,528
Max Consec Losses79
MES
▼ Unprofitable
PeriodSep '25 – Mar '26
Net P&L-$2,831
Return-5.66%
Total Trades273
Win Rate22.7%
Profit Factor0.83
Avg Win$217
Avg Loss-$77
Max Drawdown$5,994
Max Consec Losses15
◆ Why MNQ outperforms MES
The strategy's edge lives in the ChopExit — holding through a trending move and exiting when the day goes choppy. On MNQ those moves are large enough that the avg winning ChopExit captured $1,520 per exit (24 exits = $36,473). On MES the same logic only captured $31 avg per exit across 197 exits — the moves are too small relative to stop costs at $5/point. MNQ is the only recommended instrument for this strategy.
⚠ Risk Disclosure
Past backtest results are not indicative of future performance. Trading futures involves significant risk of loss. Always test on paper before live deployment.
Configuration

Default Parameters

ParameterDefaultDescription
EMA Timeframe30 minHigher-timeframe anchor for directional bias
EMA Length20Al Brooks Always-In line
Execution TF5 minEntry trigger and stop management timeframe
Stop Loss5.0 ptsHard stop per trade — $50 on MNQ (5 contracts)
Contracts5Optimised for MNQ — adjust for other instruments
Daily Kill Switch$100Maximum daily loss — allows 2 stops on MNQ before halt
Chop Threshold0.5Trend ratio cutoff — 0.5 recommended per backtest
Opening Range Bars18Bars before chop filter activates (18 × 5min = 90 min)
InstrumentMNQ (recommended)MNQ only based on backtest evidence
Setup Guide

How to Load It

1
Open TradingView
Load MNQ1! on the 5-minute chart.
2
Search the Script
Search "Sire-PYE" in the TradingView public scripts library and add it to your chart.
3
Leave Defaults
All default parameters are pre-configured to replicate the backtested results above.
4
Paper Trade First
Run a paper trading session for at least 2 weeks before committing capital.
5
MNQ Only
Do not use this strategy on MES or ES — the backtest shows it is not profitable on those instruments.
MNQ Quick Stats
Net P&L+$17,093
Return+34.19%
Max Drawdown$4,528
Profit Factor1.83
Avg Win$1,641
Avg Loss-$50
Backtest Period12 months
Timeframe5-min
VersionPine Script v5
LicenseFree & Open
Get the Script
▶ Open on TradingView ☕ Buy Me a Coffee
Instrument Guide
MNQ▲ Recommended
NQScale down qty
MESNot recommended
ESNot recommended
Tags
Trend FollowingMNQNQ30m EMAChop FilterKill SwitchAlways-InAl BrooksPine Script v5Free
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