Accuracy Score:
  • 1 Votes - 5 Average
  • 1
  • 2
  • 3
  • 4
  • 5
IEF (7-10 yr Bond ETF) 8-min Trend-Following - PB1007
Thu, Jul 06, 2017, 02:50 PM
Post: #1
Index IEF (7-10 yr Bond ETF) 8-min Trend-Following - PB1007
Target market: IEF (7-10 year T-Bond), an iShares ETF
Supported platforms: TradeStation, MultiCharts
Strategy type: Trend-Following
Risk: Conservative
Time frame: Intraday - 8 minute
Required add-on(s): PivotBuilder Personal Trading Suite
Included components: 2xStrategy (LE, SE)
Workspace designation: PB1007

This workspace is intended for long-term following of IEF intraday trend. Being a T-bond ETF, this strategy is also applicable as a hedge if you're trading currencies, stocks (especially technology), or other growth-cyclical instruments. The strategy makes use of PivotBuilder's standard deviation feature which acts as a filter during choppier times and mostly issues signals when there is enough price momentum in the direction of a trend.

To appease most traders' risk appetite, we went with conservative settings and objectives - target drawdown under 5% max (actual is under 3.5%). Returns are just over 8% a year, but you can of course amplify that by trading greater number of shares - in this strategy we used 500 per trade, with max accumulation of 1000 at any given time. To simulate realistic trading conditions commission of 1 cent per share was applied, in addition to slippage.


PivotBuilder Strategy PB1007: IEF (7-10 yr T-bond ETF) Trend-Following Equity Curve


PivotBuilder Strategy PB1007: IEF (7-10 yr T-bond ETF) Performance Summary


PivotBuilder Strategy PB1007: IEF (7-10 yr T-bond ETF) Trade Analysis


PivotBuilder Strategy PB1007: IEF (7-10 yr T-bond ETF) Chart - Strategy in Action




TradeStation/MultiCharts Strategy Properties:
  • Commission: $0.01/share
  • Slippage: $0.005/share
  • Trade Size: 500 shares
  • Maximum position any one time: 1000 shares
  • Optimized and backtested on last 2 years of 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-IEF-M8-Trend-Following-PB1007 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
July 6, 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)
.xlsx  PivotBuilder IEF M8 Strategy.xlsx (Size: 59.35 KB / Downloads: 5)
.tsw  PivotBuilder-Personal-IEF-M8-Trend-Following-PB1007.tsw (Size: 64 KB / Downloads: 4)
reply
Tue, Aug 01, 2017, 04:07 PM
Post: #2
RE: IEF (7-10 yr Bond ETF) 8-min Trend-Following - PB1007
Here's an update 1 month after IEF workspace's original publication. There has been no re-optimization at any point.




Marko Nikolic
President and Chief Developer
August 1, 2017, Toronto Canada
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 ES (E-mini S&P 500 Futures) 8-min Trend-Following Grid - PB1008 Marko Wed, Aug 09, 2017 01:33 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

Category Jump:


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