Shorting Nasdaq futures with a trend-following system sounds like balanced, professional risk management: trade breakouts in both directions and let the market decide. We tested seven classic trend and breakout short strategies on daily NQ futures from June 7, 2010 to April 16, 2026. Every single one lost money. In a market that climbed from roughly 1,800 to roughly 26,000, the short side of trend following wasn't a hedge. It was a tax.
The seven NQ short strategies we tested
All are the mirror image of a long system we covered elsewhere in this series, run on daily bars with signals on the close and filled at the close:
- Turtle 20/10 and 55/20 (Donchian breakouts, a simplified version of the rules Richard Dennis and William Eckhardt taught in 1983): short a close below the prior 20- or 55-day low, cover on a close above the prior 10- or 20-day high, 2 × ATR(20) protective stop.
- Keltner breakout short (details): short a close below the 20 EMA minus 2 × ATR(20), cover on a close back above the 20 EMA.
- Bollinger squeeze short (details): after a 125-day low in band width within the last 5 days, short a close below the lower band (20, 2), cover on a close above the middle band.
- MACD 12-26-9 and 5-35-5 short (details): short the bearish MACD crossover, cover on the bullish one.
- Supertrend 10 3 short (details): short the down-flip, cover on the up-flip.
- Costs: 1.0 NQ point per round trip on every trade.
All results are in NQ index points per 1 contract. A Micro E-mini Nasdaq-100 (MNQ) contract is worth $2 per point and a full NQ contract $20 per point, so MNQ dollars below are simply points × 2. Every trade has 1.0 point deducted per round trip to cover slippage and commission.
Shorting Nasdaq futures: the results (and why short strategies fail)
| Short system | Trades | Win rate | Total pts | PF | 2010–2019 pts | 2020–2026 pts | 2022 pts |
|---|---|---|---|---|---|---|---|
| Turtle 20/10 short | 77 | 14.3% | -13,028.7 | 0.21 | -4,679.7 | -8,349.1 | +103.2 |
| Turtle 55/20 short | 30 | 10.0% | -7,501.9 | 0.16 | -2,191.1 | -5,310.8 | -605.7 |
| Keltner breakout short | 55 | 18.2% | -9,786.0 | 0.28 | -3,459.2 | -6,326.8 | -741.2 |
| Bollinger squeeze short | 10 | 10.0% | -1,699.8 | 0.0 | -609.8 | -1,090.0 | no trades |
| MACD 12-26-9 short | 200 | 23.0% | -15,555.0 | 0.54 | -3,777.5 | -11,777.5 | +1,485.8 |
| MACD 5-35-5 short | 352 | 22.2% | -17,947.0 | 0.56 | -4,170.8 | -13,776.2 | +1,944.0 |
| Supertrend 10 3 short | 77 | 22.1% | -12,011.5 | 0.39 | -4,082.0 | -7,929.5 | +1,572.5 |
Seven strategies, seven losses. Win rates ranged from 10% to 23%. The worst, the MACD 5-35-5 short, lost 17,947.0 points, or -$35,894 on a single MNQ contract. The Turtle 20/10 short lost 13,028.7 points with a 0.21 profit factor. The Bollinger squeeze short had just 10 trades, far too few to mean anything on its own, but it fits the pattern: one winner, nine losers.
Crucially, this isn't just a 2020s effect. Split the test in half and every short system lost money in 2010–2019 and in 2020–2026. That's the robustness check we run on every strategy, and here it's unanimous in the wrong direction.
A note on drawdown: the figure we report is closed-trade drawdown, the worst peak-to-trough of the equity curve built only from finished trades. It ignores how far an open position sank before it was closed, so for a system that holds for weeks it understates the pain you would actually sit through.
Same rules, opposite results
The strongest evidence that the problem is direction, not the signals, is to compare each short with its own long twin on the same data:
| System | Long side pts | Short side pts |
|---|---|---|
| Turtle 20/10 | +9,232.6 | -13,028.7 |
| Turtle 55/20 | +12,520.6 | -7,501.9 |
| Keltner breakout | +1,891.0 | -9,786.0 |
| Bollinger squeeze | +2,139.2 | -1,699.8 |
| MACD 12-26-9 | +6,834.5 | -15,555.0 |
| MACD 5-35-5 | +4,412.8 | -17,947.0 |
| Supertrend 10 3 | +11,275.8 | -12,011.5 |
Every one of these long sides made money; every short side lost. (The Bollinger pair is thin: 19 long trades and 10 short trades, too few to be statistically meaningful on their own.) The indicators aren't broken. They're being asked to bet against a market with a powerful long-term upward drift, where selloffs tend to be sharp and brief and recoveries fast. A trend-following short needs the decline to last long enough to trigger, then keep going. On NQ, most of them reversed first.
The exception: 2022
In the 2022 bear market the picture changed. The MACD 12-26-9 short made 1,485.8 points, the MACD 5-35-5 short 1,944.0, the Supertrend short 1,572.5 and the Turtle 20/10 short 103.2. Not every system caught it: the Turtle 55/20 short (-605.7) and Keltner short (-741.2) still lost.
That year shows the hedge argument in action. The MACD 12-26-9 long lost -3,189.2 points in 2022; adding its short side cut the combined 2022 loss to about -1,703.4 points (our arithmetic). The Supertrend pair: -2,319.0 long plus 1,572.5 short, about -746.5 combined. But over the full 16 years, those same shorts cost far more than they saved.
Our take: On Nasdaq futures from 2010 to 2026, systematic trend-following shorts were a tax on your account, full stop. If you run a long-and-short breakout system on NQ because it "feels balanced," this data says the short half has been paying for nothing except occasional relief in years like 2022. That's a strong statement, so here are the limits: this is one instrument during a secular bull market. The same short rules might hold up on commodities, currencies, or an index in a long bear market like Japan's after 1990. And shorts can still serve a real purpose as a hedge: if you hold a long portfolio and knowingly pay a cost for protection in a 2022-style year, that's insurance, not a strategy. Just call it what it is, size it like insurance, and don't expect it to pay for itself.
What this backtest does not model
- Exchange margin increases during fast markets, which can force a smaller position or liquidation at the worst time.
- Roll gaps. The test runs on a continuous front-month NQ series, so quarterly contract rolls can create small artificial price jumps.
- Perfect fills. Signals are computed on the daily close and filled at that same close. In real life you need to act in the last minutes of the session or accept the next open.
- Overnight and weekend risk is in the price series, but position sizing, margin calls and psychological stamina through deep open drawdowns are not.
- No taxes or financing costs are modeled beyond the 1-point round-trip deduction.
This is a backtest on one instrument. Past results do not guarantee future results, and nothing here is financial advice.
Key takeaways
- All seven trend-following short systems lost money on NQ, 2010–2026.
- Every one lost in both 2010–2019 and 2020–2026.
- Each system's long side made money on the same data; direction was the problem.
- 2022 was the main exception, when several shorts offset part of the long-side losses.
- This is one instrument in a secular bull market; shorts may still earn a place as a sized, deliberate hedge.
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FAQ
Is shorting Nasdaq futures profitable with trend-following systems?
Not in our test. Seven short systems (Turtle 20/10 and 55/20, Keltner, Bollinger squeeze, MACD 12-26-9 and 5-35-5, Supertrend 10 3) all lost money on daily NQ from 2010 to 2026.
Why do short strategies fail on NQ?
NQ had a strong long-term upward drift over the test; declines were usually sharp and short-lived, so trend-following shorts often triggered late and got stopped out on the rebound. The same rules' long sides all made money.
Did any short strategy make money in 2022?
Yes. In 2022 the MACD 12-26-9 short made 1,485.8 points, MACD 5-35-5 1,944.0, and Supertrend 1,572.5. Over the full period they still lost.
Should I never short NQ?
This is one instrument in a secular bull market, and it's not financial advice. Shorts can still make sense as a deliberately sized hedge for a long portfolio, as long as you treat the cost as insurance.
Loomi.Ai provides educational market research, not financial advice. Trading futures and options involves substantial risk of loss, and backtested results are historical and do not guarantee future returns.
Sources
- Loomi backtest: blog_strategy_tests.py + results JSON, Loomi research
- The Original Turtle Trading Rules, TurtleTrader.com