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E-mini (@ES) Range Bar System (w/ Strategy) - PB1001
Wed, Jul 04, 2012, 05:49 PM
Post: #1
Index E-mini (@ES) Range Bar System (w/ Strategy) - PB1001
TARGET MARKET: E-mini S&P (CME: ES, TradeStation: @ES.D)
PLATFORM: TradeStation
STRATEGY TYPE: Trend following; level trading; support/resistance breaks
TIME FRAME: Intraday
CHART TYPE: Range Bar $1
REQUIRED INDICATOR(S): PivotBuilder - Personal Suite
INCLUDED COMPONENTS: Indicator, ShowMe, Strategy (LE, SE)

This is a 5-pivot (0, 1, -1, 2, -2 deviated) trading system that takes advantage of PivotBuilder's built-in volatility algorithm. It is intended for trend-following setups based on a dynamic profit-taking grid.

As you know by now, PivotBuilder has 2 main components - the Trigger line and Pivot lines (up to 7), whose interactions produce long/short signals based on configurable parameters. In this particular case I set-up 5 volatility-based pivots to frame the slightly smoothed Trigger line (representing price action), separated by custom deviation levels. Breaking pivot resistance produces long signals, while breaking pivot support produces short signals.

The strategy has been exhaustively tested, and below are performance results for the last 100 days as well as screenshots of PivotBuilder in action:

E-Mini (ES) PivotBuilder Range Bar Strategy Equity Curve

E-Mini (ES) PivotBuilder Range Bar Strategy Performance Summary

E-Mini (ES) PivotBuilder Range Bar Strategy in Action (blue dotted line = profitable trades; red = losing)


TradeStation Strategy Properties:
  • Commission: $2.34/contract
  • Trade Size: 10 contracts
  • Position Limits: up to 50

The attached TradeStation workspace contains 3 PivotBuilder components:
  • Indicator: visually demonstrating the setup and line interactions. Useful for understanding PivotBuilder and its capabilities.
  • ShowMe: pinpointing the exact line interactions behind long/short signals
  • 2x Strategy: for back-testing and auto-trading the strategy. Long-Entry (LE) and Short-Entry (SE) for signal-to-signal trading.

Opening the workspace:
  1. Download the attachment at the bottom of this post
  2. Copy the downloaded file into the TradeStation\MyWork folder (e.g. C:\Program Files\TradeStation).
  3. Launch TradeStation, then go to File>>Open Workspace, or alternatively, press Ctrl-O
  4. Select PivotBuilder-E-mini-ES-Range-Bar-1-dollar-All-Components and select Open.

Remember this system/strategy is based on a 1-dollar Range Bar chart. Make sure you have it loaded before opening the workspace.

Once you load the workspace into your TradeStation platform, enter the Serial number into each module (indicator, showme, 2x strategy) you would like to activate. Remember, there are 4 of them.

Marko Nikolic
President and Chief Developer, Build-a-Signal Software
July 4, 2012, 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, BUILD-A-SIGNAL SOFTWARE, AND NITRODE INC. ARE NOT LIABLE FOR ANY LOSSES YOU MAY INCUR BY USING PIVOTBUILDER - PERSONAL SUITE.



Attached File(s)
.tsw  PivotBuilder-E-mini-ES-Range-Bar-1-dollar-All-Components.tsw (Size: 144 KB / Downloads: 65)
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