Mnikolic Investment Research
intelligent trading algorithms™
Mnikolic Investment Research
intelligent trading algorithms™

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 workspace contains 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

Download the workspace from the user community forum - also includes complete strategy report (with full trade log) in Excel format. You will need PivotBuilder Trading Suite to open it.

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.

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