Automated Trading Strategy #5
Strategy #5 made over $13K last year.
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Risk Disclaimer: There is no guarantee that these strategies will have the same performance in the future. Some may perform worse and some may perform better. We use backtests to compare historical strategy performance, but there are no guarantees that this performance will continue in the future.
For an overview of what we do, click here.
Backtest Results based on 1 year of trades
Strategy #5 Description:
Strategy #5 uses the MACD Indicator (MACD), Double Stochastics (DS) and the Relative Spread Strength (RSS).
Enter Long - When MACD (MACD plot) crosses above MACD (Avg plot), with a look back period of 2, AND, when DS with an RSS input series, is greater than 90.
Exit Long - When MACD (MACD plot) crosses below MACD (Avg plot).
Enter Short - When MACD (MACD plot) crosses below MACD (Avg plot), with a look back period of 2, AND, when DS with an RSS input series, is less than 10.
Exit Short - When MACD (MACD plot) crosses above MACD (Avg plot).
For MACD, use 26 as the Slow parameter, 9 for Smooth, and 12 for fast.
For RSS, use 10 for EMA1, 40 for EMA2, and 5 for Length.
You can test the strategy by duplicating backtest results.
An example of how the strategy works is below.
Download Strategy #5 for NinjaTrader 7: Click Here
Note: Download links are changed monthly.
***Strategies are available for download in Ninjatrader 7 only but you can duplicate the strategy on all platforms based on the strategy description above***
Download Instructions
Ninjatrader download instructions are listed below.
Click on the link above to download file from GoogleDrive.
Download the Strategy to your desktop, keep them in the compressed .zip file.
From the Control Center window in Ninjatrader 7, select the menu: File> Utilities> Import Strategy.
Select the downloaded .zip file.
NinjaTrader will then confirm if the import has been successful.
All strategies have the following attributes:
Only work with a certain data series type and value (Range, 36)
Are based on trading the most recent NQ futures contract
Are based on trading 1 contract, but you can use as many contracts as you want by changing the parameters in the strategy. Please contact me directly for help with this.
If you've never used/run a strategy in NinjaTrader 7, NinjaTrader provides instructions here.
How to compare strategies
We like to look at two sets of metrics when comparing strategies:
1) Backtested results for the first 1,000 trades
2) Backtested results for 1 year
Both perspectives provide a way to confirm the performance of the strategy.
And, keep in mind, March was a wild ride in 2020.
Within each perspective, it's important to look at the # of days the strategy was employed, the max drawdown throughout the life of the backtest, the profitability of the strategy over the given time frame and the average profit per day (see below for performance metrics). The right strategy depends on your risk profile. Those with a lower risk profile should focus on strategies with a lower drawdown.
We will continue to provide analysis for strategy comparison for all subscribers.
Backtest Results based on ~1,000 trades
Backtest Results based on 1 year of trades
Strategy Performance is updated on a monthly basis. New strategies will be added every month.
Column Definitions:
Strategy - The name of the strategy.
Trades - The number of trades used in the backtest to analyze performance. Our goal is ~1,000 trades for comparison.
Start date- The beginning date of the backtest.
End date - The ending date of the backtest.
# of days - The number of days in the strategy.
Drawdown - This refers to the maximum drawdown statistic, which provides you with information regarding the biggest decrease (drawdown) in account size experienced by the strategy. Drawdown is often used as an indicator of risk.
Drawdown = single largest Drawdown
As an example, your account rises from $25,000 to $50,000. It then subsequently drops to $40,000 but rises again to $60,000. The drawdown in this case would be $10,000 or -20%. Take note that drawdown does not necessarily have to correspond with a loss in your original account principal.
Profit - The net profit made on the strategy for the backtest.
#trades per day - The average number of trades made per day using the strategy.
Profit / Day - The average profit made per day.
Profit / Trade - The average profit made per trade.
Lowest daily new profit - The worst performing day of the strategy in the backtest.
Highest daily net profit - The best performing day of the strategy in the backtest.
If you have any issues, please contact me at automatedtradingstrategies@substack.com.
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