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E-mini (CME:ES) Level Trading (4x Strategy) - PB1003
Thu, Sep 27, 2012, 05:20 PM
Post: #1
Index E-mini (CME:ES) Level Trading (4x Strategy) - PB1003
TARGET MARKET: E-mini S&P (CME: ES)
SUPPORTED PLATFORMS: TradeStation, MultiCharts
STRATEGY TYPE: Level trading, S/R breaks
TIME FRAME: Intraday
CHART TYPE: Range Bar $1.25
REQUIRED INDICATOR(S): PivotBuilder Personal Trading Suite
INCLUDED COMPONENTS: 4xStrategy (LE, LX, SE, SX)
WORKSPACE DESIGNATION: PB1003

This setup has been optimized for level trading. To help you visualize the concept, imagine a price chart with a dynamic grid where lines are actually pivots that hug and adapt to price action at different deviations (i.e. positive and negative levels).

The Mid-pivot/Trigger line crosses are used for initiating trades. Long Enter (LE) strategy add-on opens a long position when the Trigger line crosses over the Mid-pivot, while Short Enter (SE) add-on open short positions when the Trigger line crosses under the Mid-pivot. The Long Exit (LX) and Short Exit (SX) add-ons are configured to close their respective positions (LE closes LX, SX closes SE) as price crosses and retraces through 2 higher and 2 lower deviations.

The strategy has been exhaustively tested. The testing considers, both, priciest commission, and slippage. Below are the complete performance results for the last 6 months well as screenshots of PivotBuilder in action:

PivotBuilder Strategy PB1003: E-Mini (ES) Range Bar Level Trading Equity Curve

PivotBuilder Strategy PB1003: E-Mini (ES) Range Bar Level Trading Complete Performance Summary

PivotBuilder Strategy PB1003: E-Mini (ES) Range Bar Level Trading Trade Analysis

PivotBuilder Strategy PB1003: E-Mini (ES) Range Bar Level Trading Monthly Returns

PivotBuilder Strategy PB1003: E-Mini (ES) Range Bar Level Trading Winning Distribution

PivotBuilder Strategy PB1003: E-Mini (ES) Range Bar Level Trading Losing Distribution


PivotBuilder Strategy PB1003: E-Mini (ES) Range Bar Level Trading Total Trades Distribution


TradeStation/MultiCharts Strategy Properties:
  • Commission: $2.34/contract
  • Slippage: $12.50/contract
  • Trade Size: 10 contracts
  • Max Contracts: 60

The attached workspaces contains 4 Strategy add-ons for back-testing and auto-trading the setup:
  • Long-Entry (LE) - PivotBuilder conditions for opening a long positions
  • Long-Entry (LX) - PivotBuilder conditions for closing a long positions
  • Short-Entry (SE) - PivotBuilder conditions for opening a short positions
  • Short-Exit (SX) - PivotBuilder conditions for closing a short positions

The attachment ending with .tsw is a TradeStation workspace, while .wsp is intended for MultiCharts users.

Opening 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-E-mini-ES-Range-Bar-Level-Trading-PB1003 and select Open.

MultiCharts users: make sure that the chart type loaded is a Range-based chart with a $1.25 point value. If you’re not sure how to do that, see this tutorial.

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 this workspace, enter the number once, then save it as a new workspace.

Marko Nikolic
President and Chief Developer
September 27, 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-Level-Trading-PB1003.tsw (Size: 51.5 KB / Downloads: 80)
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