Accuracy Score:
  • 1 Votes - 5 Average
  • 1
  • 2
  • 3
  • 4
  • 5
ES (E-mini S&P 500 Futures) 8-min Trend-Following Grid - PB1008
Wed, Aug 09, 2017, 01:33 PM
Post: #1
Index ES (E-mini S&P 500 Futures) 8-min Trend-Following Grid - PB1008
Target market: E-mini S&P 500 Futures, CME:ES
Supported platforms: TradeStation, MultiCharts
Strategy type: Trend-Following
Risk: Balanced
Time frame: Intraday - 8 minute
Required add-on(s): PivotBuilder Personal Trading Suite 2017 Edition or newer
Included components: 2xStrategy (LE, SE)
Workspace designation: PB1008

This PivotBuilder intraday (8-minute) ES strategy focuses on following underlying trend while simultaneously taking advantage of many short term and intermediate price swings. This is accomplished by utilizing all 7 pivot lines (in LE and SE components) with varying period and deviation values, essentially forming a grid for different types of price behavior (trending, momentum exhaustion, swing volatility). The grid set-up capitalizes on large moves while cutting the losses before they become large (see Trade Analysis, win:loss ratio of 2.12:1). The trade distribution screenshot shows consistency in return/trade.

We went with balanced risk settings and objectives - target max drawdown under 8% (actual is around 6.5%). Annual return is just over 31.5%, but you can of course amplify that by trading greater number of contracts (bearing in mind that leverage affects risk) - in this strategy we used 1 contract per trade, which is also the max we held at any given time. To simulate realistic trading conditions commission of $2.34 cent per contract was applied, in addition to slippage of $12.50/contract.


PivotBuilder Strategy PB1008: ES (E-mini S&P 500 Futures) Trend-Following Equity Curve with Max Drawdown


PivotBuilder Strategy PB1008: ES (E-mini S&P 500 Futures) Performance Summary


PivotBuilder Strategy PB1008: ES (E-mini S&P 500 Futures) Trade Analysis


PivotBuilder Strategy PB1008: ES (E-mini S&P 500 Futures) Monte Carlo Analysis


PivotBuilder Strategy PB1008: ES (E-mini S&P 500 Futures) Monte Carlo Profit Distribution Analysis


PivotBuilder Strategy PB1008: ES (E-mini S&P 500 Futures) Trade Distribution


PivotBuilder Strategy PB1008: ES (E-mini S&P 500 Futures) Chart - Strategy in Action



TradeStation/MultiCharts Strategy Properties:
  • Commission: $2.34/contract
  • Slippage: $12.50/contract
  • Trade Size: 1 contract
  • Maximum position any one time: 1 contract
  • Optimized and backtested on minimum of 12 months of M8 data

The attached workspaces contain 2 Strategy add-ons for back-testing and auto-trading the setup:
  • Long-Entry (LE) - PivotBuilder conditions for opening long positions and simultaneously closing short positions
  • Short-Entry (SE) - PivotBuilder conditions for opening short positions and simultaneously closing long positions

The attachment ending with .tsw is a TradeStation workspace, while .wsp is intended for MultiCharts users.

Also attached is a full performance report in xls (Excel) format - including documentation of every trade opened by the PivotBuilder strategy.

Opening the workspace:

You must have PivotBuilder Trading Suite installed before loading the workspace.

  1. Download the appropriate workspace, attached to the bottom of this post
  2. Copy the downloaded file into the:
    • TradeStation users: TradeStation\MyWork folder (e.g. C:\Program Files\TradeStation).
    • MultiCharts users: the default directory is your Windows Documents folder
  3. Launch TradeStation/MultiCharts, then go to File>>Open Workspace, or alternatively, press Ctrl-O
  4. Select PivotBuilder-Personal-ES-M8-Trend-Following-Grid-PB1008 and select Open.

Once you load the workspace into your platform, enter the Serial number into each strategy add-on. To avoid entering your Serial every time you open the workspace, enter the number once, then save it as a new workspace.

Marko Nikolic
President and Chief Developer
August 9, 2017, Toronto, Canada

CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN. YOU AGREE TO USING PIVOTBUILDER - PERSONAL SUITE AT YOUR OWN RISK. MARKO NIKOLIC, MARKO NIKOLIC INVESTMENT RESEARCH, AND NITRODE INC. ARE NOT LIABLE FOR ANY LOSSES YOU MAY INCUR BY USING PIVOTBUILDER - PERSONAL SUITE.



Attached File(s)
.tsw  PivotBuilder-Personal-ES-template-PB1008-TradeStation-9-5.tsw (Size: 112 KB / Downloads: 3)
.wsp  PivotBuilder Personal - ES M8 PB1008 Workspace.wsp (Size: 537.34 KB / Downloads: 7)
.xlsx  PivotBuilder ES M8 Full Report and Trade Log.xlsx (Size: 147.37 KB / Downloads: 2)
reply


Related articles
Article: Author Last Post
Index ES (E-mini S&P 500 Futures) 10-min Swing Trading - PB1009 Marko Thu, Jan 04, 2018 04:43 PM
Last Post: Marko
Index IEF (7-10 yr Bond ETF) 8-min Trend-Following - PB1007 Marko Tue, Aug 01, 2017 04:07 PM
Last Post: Marko
Index GBP/USD M8 Trend-Following - PB1006 Marko Tue, Feb 03, 2015 12:07 AM
Last Post: Marko
Index S&P Int. Mid Cap (MDD) Trend Following - PB1005 Marko Tue, Dec 16, 2014 10:04 PM
Last Post: Marko
Index E-mini (CME:ES) Level Trading (4x Strategy) - PB1003 Marko Thu, Sep 27, 2012 05:20 PM
Last Post: Marko
Index E-mini (CME:ES) Renko System (4x Strategy) - PB1002 Marko Mon, Sep 17, 2012 03:51 PM
Last Post: Marko
Index E-mini (@ES) Range Bar System (w/ Strategy) - PB1001 Marko Wed, Jul 04, 2012 05:49 PM
Last Post: Marko

Category Jump:


New Posts
New Posts
No New Posts
No New Posts
Locked
Locked
RSS Feeds