Intraday Momentum Breakout Strategy: A Volatility-Targeted Approach to E-mini Futures Trading
A comprehensive analysis of an intraday momentum breakout strategy for E-mini S&P 500 and NASDAQ-100 futures. The strategy employs volatility-based noise area boundaries with strict intraday-only execution, achieving robust performance across multiple market regimes from 2011-2026 with maximum 8x leverage and 3% target daily volatility.
