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ES (E-mini S&P 500 Futures) 10-min Swing Trading - PB1009
Thu, Jan 04, 2018, 04:43 PM
Post: #1
Index ES (E-mini S&P 500 Futures) 10-min Swing Trading - PB1009
Target market: E-mini S&P 500 Futures, CME:ES
Supported platforms: TradeStation, MultiCharts
Strategy type: Trend-Following
Risk: Balanced
Time frame: Intraday - 10 minute
Backtesting period: 18 months (July 2016 - January 2017)
Required add-on(s): PivotBuilder Personal Trading Suite 2018 Edition or newer
Included components: 2xStrategy (LE, SE)
Workspace designation: PB1009

This PivotBuilder strategy, originally featured in the PivotBuilder 2018 Release Post, is built with swing trading in mind. It takes advantage of PivotBuilder 2018's new Tick Delta Crossover filter to avoid smaller ripples and focus on larger swings of momentous volatility.

We went with conservative risk settings and objectives - target max drawdown 5%. Annual return is just over 20% (total @ 36% circa July 2016), 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 PB1009: ES (E-mini S&P 500 Futures) Equity Curve

PivotBuilder Strategy PB1009: ES (E-mini S&P 500 Futures) Performance Summary

PivotBuilder Strategy PB1009: ES (E-mini S&P 500 Futures) Trade Analysis

PivotBuilder Strategy PB1009: ES (E-mini S&P 500 Futures) Trade Distribution

PivotBuilder Strategy PB1009: ES (E-mini S&P 500 Futures) Monthly Returns

PivotBuilder Strategy PB1009: ES (E-mini S&P 500 Futures) Monte Carlo Analysis

PivotBuilder Strategy PB1009: ES (E-mini S&P 500 Futures) Monte Carlo Distribution Analysis

PivotBuilder Strategy PB1009: 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 18 months of M10 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-M10-Swing-Trading-PB1009 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
January 4, 2018, 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-ES-M10-PB1009-Full-Strategy-Report.xlsx (Size: 102.71 KB / Downloads: 7)
.tsw  PivotBuilder-Personal-ES-M10-Swing-Trading-PB1009.tsw (Size: 128 KB / Downloads: 6)
.wsp  PivotBuilder-Personal-ES-M10-Swing-Trading-PB1009.wsp (Size: 560.74 KB / Downloads: 10)

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