Jun 27, 2021
4 mins read
Updated for 2021 Trade report: (From Jan 2021 to June 2021 : strategy is configured to run with Dynamic Target) https://docs.google.com/spreadsheets/d/119_wpzEKWWe5x6CHyfVZqEIMDb2wS1xtsDyFq9A5nr8/edit?usp=sharing
JAN 2020 to March 2021 Report : : (Standard fixed Target of 100 ticks) https://docs.google.com/spreadsheets/d/1EbF_RWt1ZO9qdNbTTsSe1QY6-x1TFRLqR1mvltrgPFs/edit?usp=sharing
Instrument : $NQ_F , Time Frame : 3 Min , RTH only. Start Date: 01/01/2020 End Date 01/03/2021
Starting Capital : $10000 , Increased a contract after every $6000 profit,
Max Contract size limited : 5 for Long & 6 for SHORT
Ending Capital : $216965 after slippage of 4 tick per trade (Commission needs to be deducted; approx. $5000)
Total Trades : 1004 Winning Trades: 478 Loosing Trades:525 Breakeven : 1
Order Fill Resolution: Tick level to be precise for real world trading.
Strategy does significantly well in SHORT position and hence optimized to increase position size by 1 for every SHORT trade.
SUMMARY : Individual Trade Results; https://docs.google.com/spreadsheets/d/1EbF_RWt1ZO9qdNbTTsSe1QY6-x1TFRLqR1mvltrgPFs/edit?usp=sharing
Cumulative Profit/Loss Graph:
Cumulative Max Drawdown
Does this strat work on ES?
Work in progress, Results are not that encouraging for ES, it did approx $70000 on ES on an account of $10000.
Does this strat work on CL?
CL results are similar to NQ. In fact slightly better, the trade timing needs to be changed from ETH to RTH for CL.
Do i need to manually punch in trade?
This is a fully automated strategy for NQ & CL, No need to take any manual action. AutoTrader will manage entire order & position size. You can set your Risk & Reward per contract/Session. This also has a burst model which when enabled does quick scalpe in large qty for quick gains.
Does system let you trade in Micro?
The strategy has capability to find trading opportunity against emini and have the trade taken against Micro instrument. the slippage is slightly higher in that case , approx. 6-8 ticks per side.
Please explain how does the scaling works? The strategy takes into consideration power of compounding as it starts growing account by $X the position size starts to increase. One can identify max drawdown in last one year of testing and use that a compounding threshold. i.e. lets say during back testing with single contract , selected instrument has given a max drawdown of -$8000 then you know that it would be safe to use this as scale in threshold. once your strategy goes post +$8000 in profit it will increase position size by 1. One can restrict max position sizing to a finite number. in above backrest results max position size was set to 5 for long and 6 for Shorts.
Do you run this personally?: I along with couple of my acquittances are running this strategy in live account, every one is different config/settings so there no edge is lost also its a momentum based trend following strategy based on pace of offers/bids so every timeframe offers different opportunity. Once you buy i would love to collect stats from your side as well provided one is comfortable sharing.
Can i control trade manually once entered by Strategy? Once can close the position however strategy will NOT let you change Stoploss and Target once a trade is entered. You always close the trade manually by clicking on Close button of chart trader (it will disable strategy & close any open position). In future i do plan to introduce chart based control should one wish to control trade from chart.
Can you explain what you mean by trend following? Is back testing based on Renko or heikin ashi bars? : The back testing results shared above is from 3 min standard candle, Renko or heikin ashi or any artificial bars should NOT be used for back testing as results will always be inflated and incorrect. The strategy works on simple identification of pace of offer and go with the flow with a protective stop loss.
Please throw some light of slippage? Slippage is very critical part of any profitable system, attached report above takes into consideration 4 ticks of slippage per round trade. typically it matches with real world trading however during extreme volatile market/news on NQ the slippage could be a range of 4-8 ticks. You can check each trade shared in above report with real charts as each trade is time stamped for verification.
What's the turn around time for this strategy to reach its full position size trading opportunity: Every trading strategy has its own back-in or breakeven time, once basically needs to keep running the strategy unfazed for full 3 months before reaping the benefit of scaling in. Its NOT your "GetRichOverNight" scheme, min 3 months is needed for strategy to attend his full potential. also once could easily get 14 loosing trades in a row based on 2 years of back testing. The key is loose small and let the winners run. this is exactly what the strategy is perfected for.
What notification does one get ?
Sound, Email and alert log notification for every trading opportunity(New trade ,stoploss, target), Email service is limited to live account only.