Futures trading strategies for prop traders, ranked by difficulty

There is no best futures trading strategy, and nothing here shows any of them to be profitable. What can be compared is how each one fits prop firm rules: how big its stop usually is, how often it trades, how fast a losing streak eats a $2,000 drawdown, and which rule it tends to break first. This post scores 15 common futures day trading strategies on exactly that, and ranks them from simplest to hardest to run inside a prop account.

The ranking is our judgement, not a measurement. It combines two things: how precisely the rules can be written down (a strategy you cannot define, you cannot test), and how much friction it meets from the rulebook. A strategy can be simple to understand and still rank low because it fights the rules, as swing trading does.

Free tool · free with your email

Position size calculator

Turn today's loss budget and your stop into a contract count.

Unlock the calculator Yes — email me the Position size calculator, and about the launch, my founding-member discount and trading-rule updates. I can unsubscribe at any time. Privacy policy.

See what the position size calculator does first

The yardstick: one account, one budget

Every strategy below is measured against the same example account, so the numbers compare. These are example figures, not results, and your plan's numbers decide:

• A $50,000 evaluation with a $2,000 trailing drawdown, so the floor starts at $48,000
• An example daily loss limit of $1,000
• An example risk budget of $200 per trade
• MNQ, the micro Nasdaq-100 future: $0.50 a tick, $2 a point (CME Group contract specs; see our MNQ tick value post)

Sizing follows one formula: contracts = $200 ÷ (stop in points × $2), rounded down. Sized that way, every full stop costs at most $200, so:

• the example daily limit stops the day after 5 full stops (5 × $200 = $1,000)
• the drawdown is gone after 10 full stops (10 × $200 = $2,000), fewer if the floor has trailed up

What changes from strategy to strategy is whether the stop fits the budget at all, how quickly five stops can arrive, and whether open profit lifts the floor under an intraday trailing drawdown. The example stop sizes in this post are assumptions chosen to illustrate each style, not measurements; real stops vary by day, and the rule set you write decides yours.

The ranking at a glance

Stops and trade counts are illustrative assumptions for one example rule set each, not measured averages. "Micros at $200" is the sizing formula applied to each end of the stop range.

The simplest to define: fixed levels at fixed times

1. Opening range breakout

Mark the high and low of the first minutes after the 9:30 ET open (15 is a common choice), then trade the first close outside that range, with the stop on the other side. It ranks first because every part is a number: the window, the break, the stop, the exit. The hard part is that the range sets the risk, and the range changes every day. On a narrow morning the stop is small; on a wide one, a single micro can cost more than the $200 budget, which means the right size is zero. One trade a day keeps the losing streak slow. Full rules and two selected past sessions on TradingView charts (one that reached its target, one that stopped out) are in the opening range breakout breakdown and the ORB post.

2. Initial balance breakout

The same idea on a longer clock: the initial balance is the first hour's range (9:30–10:30 ET), and the trade is a close outside it. A common version puts the stop at the middle of the range rather than the far side, which halves the risk compared with the full range. It ranks second only because the first hour is usually wider than a 15-minute window, so more days push the stop to or past the budget's edge. On a 150-point stop, one micro risks $300 and the right size is zero. See the initial balance breakout breakdown and its blog post.

3. Prior-day high and low

Yesterday's regular-session high and low are objective levels everyone can see. Rule sets either trade a close through one of them or a rejection back from it. Stops are usually tighter than a breakout of a whole range, so the sizing is friendlier. The difficulty is definition: you must decide whether "prior day" means the regular session only or the full electronic session including overnight, and what to do when price opens beyond the level. Choppy days that cross the line repeatedly are where the daily limit gets tested, so a cap of one or two attempts belongs in the rules. See the prior-day high/low breakdown and its blog post.

4. VWAP pullback

In a session that is trending away from VWAP (the volume-weighted average price), wait for price to pull back toward it, then trade in the trend's direction with a stop beyond the pullback. Stops are moderate, and a written cap of two trades a day turns a bad day into two stops, not five. What makes it harder than the first three: "trending" has to be defined as a number, or every judgement call becomes a rule you did not test. The VWAP pullback breakdown shows a green day, a red day and the cap that kept the red one small; the post covers the rules.

Free toolSkip the arithmetic: the position size calculator does this for your own numbers.Get it ↓

The middle: rules you can write, judgement you must limit

5. Trend following with moving averages

A fast and a slow exponential moving average (9 and 21, or 20 and 50, on 1- to 5-minute bars are common choices) define direction; trades go with the trend, often on a cross or a pullback to the fast line. The rules are simple to code. The rule that bites is the intraday trailing drawdown: trend trades let winners run, and a trade that runs +$600 open from a fresh balance high and comes back to breakeven has still lifted an intraday floor by $600. Example figures, not results. On sideways days, crosses also come in clusters, so a daily trade cap matters.

6. Break and retest

Price breaks a level, comes back to test it from the other side, and the trade goes with the original break. The stop can sit just past the retested level, so it is often tight. The difficulty is that "a retest" needs exact edges: how close counts as a touch, how long you wait, and what happens if price never comes back. See the break and retest breakdown and its blog post.

7. Range trading

When price is moving sideways between a clear high and low, sell near the top and buy near the bottom, with stops just outside. Stops are small and the trades are frequent, which is where the daily limit starts to matter: two to four trades a day means five stops can arrive by lunchtime on a day the range breaks. The hard part is the one rule nobody can write in advance: when the range has ended. A hard daily stop and a cap on attempts do more work here than in any strategy above.

8. Mean reversion to VWAP

The opposite bet to the VWAP pullback: when price stretches far from VWAP (often measured in standard-deviation bands), trade back toward it. The stop has to sit beyond the extreme, so it is wider and less predictable, and on a strong trend day price can keep stretching. That is the losing streak to plan for: several stops in the same direction on one day. Under the yardstick, one micro at a 60-point stop risks $120, so only one micro fits the $200 budget. See the VWAP mean reversion breakdown and its blog post.

9. Value area and point of control

Volume profile shows how much traded at each price. The point of control is the price with the most volume; the value area is the range around it holding most of the session's volume (by the usual convention about 70%, the figure used in Market Profile teaching). The approach comes from auction market theory and the Market Profile work J. Peter Steidlmayer developed at the Chicago Board of Trade in the 1980s. Common rule sets trade a return into the prior day's value area, or a rejection at its edge. It ranks in the middle because the levels are objective once computed, but which profile (session, composite, which hours) is a choice, and different choices give different levels. Write the choice down before testing.

10. Liquidity sweep and reversal

Plainly: price pushes just past an obvious level such as a prior high, where many traders keep their stops, triggers them, then reverses back inside. The trade goes with the reversal, with a stop beyond the extreme of the push. Stops are often tight, which makes the sizing look attractive. The difficulty is that "swept and reversed" and "broke out and kept going" look identical for the first few bars. Any rule has to say exactly how far past the level, and how quickly back inside, counts. Without that, it is a story told after the fact.

The hardest to run inside prop rules

11. Order flow

Order flow trading reads the trades themselves: the depth of market, footprint charts showing volume at bid and ask, and cumulative delta. Stops can be very small, so the formula allows many micros. It ranks this high for difficulty because the skill is in reading, not in rules, and reads are hard to backtest. It also needs data feeds and platform tools that cost money, and your platform's data may not match what the firm's engine records.

12. Scalping

Many small trades, small targets and small stops. A 6-point stop is $12 a micro, so the formula allows 16 micros at $200. The rule that bites first is cost: commissions and slippage scale with contracts and trades, and one tick of slippage on entry and one on exit is 0.5 points, a twelfth of a 6-point stop. Frequency is the other problem: at many trades a day, five full stops can arrive in an hour, so the daily limit matters more than the drawdown. Some rulebooks also restrict very short holding times; check yours.

13. News trading

Trading the release of scheduled data such as CPI, payrolls or the FOMC decision. Its stop is listed as unknowable because the fill is: in a fast market a stop order becomes a market order and can fill well past its price, so the planned $200 risk can turn into several times that. Some prop plans restrict trading in a window around these releases, and a breach can end the account regardless of the P&L. A single large news day can also run into a consistency rule that caps your best day.

14. Swing trading

Holding positions for days to catch larger moves. Simple to understand, hard to run in a prop account for two reasons. First, many evaluation plans require you to be flat before the session closes, which rules out overnight holds. Second, the stops are large: at a 300-point stop, one micro risks $600, three times the example budget, and four stops in a row take a fresh $2,000 drawdown. In the yardstick account the right size is zero micros.

15. Spread trading

Holding two related contracts at once: a calendar spread (this month against next) or an intermarket spread (for example, Nasdaq against S&P futures). The risk is the gap between the two, not the direction of either. It ranks last for prop traders because the account's rules usually see two separate positions: each leg may count toward the contract limit and the drawdown on its own, and some rulebooks restrict holding opposite or offsetting positions. Exchange-recognised spreads may not be available on the firm's platform at all. Check before designing one.

What the ranking shows

Three patterns run through the table:

• Stop size decides whether a strategy fits at all. Sized from a fixed budget, a wide-stop strategy is not riskier per trade, it is just smaller, until one micro costs more than the budget and the correct size is zero. The how many contracts post works this through.
• Frequency decides which limit you meet first. One trade a day meets the drawdown slowly. Many trades a day meet the daily loss limit fast, often on the same morning.
• Runners meet the trailing floor. Under an intraday trailing drawdown, any strategy that lets open profit build and give some back pays twice. Under an end-of-day drawdown the open swing does not move the floor, but the close does.

Before you pick one

Whichever strategy you look at: write the rules so two people would code them the same way, backtest them with commissions and slippage over many sessions, size them from the stop and your plan's daily limit, and forward-test on a simulator before risking an evaluation fee. Our free guide, Build It, Break It, Then Trade It, walks through those steps, and the drawdown room calculator shows how many stops your current room can take.

The position size calculator below turns your loss budget and any strategy's stop into a contract count, so you can see before the open whether today's stop fits.

Every number in this post is an example or an assumption for illustration, not a result, and no strategy here is presented as profitable. Rules differ between firms and plans; your firm's current rulebook decides.