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

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 18 months of M8 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 and either MultiCharts or TradeStation to open the 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.

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