Hey team, Jacob here.
Retail futures platforms like NinjaTrader and TradeStation make it notoriously difficult to backtest historical options chain data alongside futures price action. To find out if End-of-Day (EOD) Options Gamma Exposure (GEX) actually provides a statistical edge on E-mini S&P 500 (ES) and Nasdaq (NQ) futures, I pulled historical SPY and QQQ options chains from ThetaData (2020–2026) and ran a 200-strategy walk-forward grid across multiple timeframes, sessions, and entry logic.
You can watch the full video here.
Out of 200 strategy variations tested, only 5 passed every quantitative gate—and after filtering out long-only bull-market bias, only 1 strategy (#2: 60-minute Call Wall Breakout + Fade, Long & Short) survived for live incubator deployment.
Python code to retrieve open interest, gamma and calculate the call/put walls
NinjaTrader strategy
📐 THE DOLLAR GEX FORMULA & STRIKE CONVERSION:
• Dollar GEX = Open Interest × Gamma × Spot Price × 100
• Call Wall (Resistance) = Strike with the highest total Call Dollar GEX
• Put Wall (Support) = Strike with the highest total Put Dollar GEX
• Futures Strike Mapping: SPY Strike × 10 ≈ ES | QQQ Strike × 40 ≈ NQ
🔬 THE 4-GATE AUDIT CRITERIA (2020–2026):
1. Walk-Forward Max Drawdown under $30,000 across all out-of-sample windows
2. Cumulative Return / Max Drawdown Ratio over 2.0
3. Statistically meaningful sample size across windows
4. Profitable over the most recent 6 months
