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SPDR Dow Jones ETF (NYSE: DIA) 30-min Trend Following
Mon, Dec 18, 2017, 03:58 PM
Post: #1
Index SPDR Dow Jones ETF (NYSE: DIA) 30-min Trend Following
Target market: SPDR Dow Jones Industrial Average ETF (NYSE: DIA)
Supported platforms: TradeStation, MultiCharts
Strategy type: Trend-Following, Swing-Trading
Risk: Balanced
Time frame: Intraday - 30 minute
Required add-on(s): TradeBuilder Ultimate Edition
Included components: 4xStrategy (LE, LX, SE, SX)
Optimization and testing period: 36 months
Workspace designation: TU5011

This agile DIA strategy (originally featured in the TradeBuilder Ultimate debut announcement) makes use of all 4 auto-trading add-ons - LE and LX for long trade management; SE and SX for short trade management. Trade openers (LE, SE) are configured more conservatively so that trades open on more reliable signals, while trade exiters (LX, SX) are configured more aggressively, getting you out of the market at the early signs of trend or momentum weakness. This approach (open conservatively, close aggressively) to strategy development is recommended if your objective is to follow trend in either direction while minimizing trading activity during consolidation.

TradeBuilder Ultimate makes use of Ease of Movement to verify trend via price-volume analysis, CCI and RSI to ensure sufficient momentum, and Linear Regression Curve to validate that volatility is in favor of trend. What we're trying to do is trade with agility - get in when a directional move looks promising and get out at the first sign of trouble (reversal or consolidation), cutting losses early.

Order specs: 1000 shares per trade, which is also the max we held at any given time. To simulate realistic trading conditions commission of $5 cent per trade (TradeStation pricing) was applied.


TradeBuilder Ultimate TU5011: DIA (SPDR Dow Jones Industrial Average ETF) Equity Curve with Max % Drawdown


TradeBuilder Ultimate TU5011: DIA (SPDR Dow Jones Industrial Average ETF) Performance Summary


TradeBuilder Ultimate TU5011: DIA (SPDR Dow Jones Industrial Average ETF) Trade Analysis


TradeBuilder Ultimate TU5011: DIA (SPDR Dow Jones Industrial Average ETF) Monte Carlo Analysis


TradeBuilder Ultimate TU5011: DIA (SPDR Dow Jones Industrial Average ETF) Monte Carlo Profit Distribution Analysis


TradeBuilder Ultimate TU5011: DIA (SPDR Dow Jones Industrial Average ETF) Trade Distribution


TradeBuilder Ultimate TU5011: DIA (SPDR Dow Jones Industrial Average ETF) Run-Up vs Drawdown



TradeBuilder Ultimate TU5011: DIA (SPDR Dow Jones Industrial Average ETF) Value Added Monthly Index


TradeBuilder Ultimate TU5011: DIA (SPDR Dow Jones Industrial Average ETF) Strategy in Action (chart)



TradeStation/MultiCharts Strategy Properties:
  • Commission: $5/trade
  • Trade Size: 1000 shares
  • Maximum position any one time: 1000 shares
  • Optimized and backtested on minimum of 36 months of 30 minute data

The attached workspaces contain 4 Strategy add-ons for back-testing and auto-trading the setup:
  • Long-Entry (LE) - TradeBuilder Ultimate conditions for opening long positions and simultaneously closing short positions
  • Long-Exit (LX) - TradeBuilder Ultimate conditions for closing long positions only.
  • Short-Entry (SE) - TradeBuilder Ultimate conditions for opening short positions and simultaneously closing long positions
  • Short-Exit (SX) - TradeBuilder Ultimate conditions for closing short positions only.

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 TradeBuilder strategy.

Opening the workspace:

You must have TradeBuilder Ultimate Edition 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 TradeBuilder-Ultimate-DIA-M30-TU5011 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
December 18, 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 Tradebuilder Ultimate Edition At Your Own Risk. Marko Nikolic, Marko Nikolic Investment Research, And Nitrode Inc. Are Not Liable For Any Losses You May Incur By Using Tradebuilder Ultimate Edition.



Attached File(s)
.xlsx  TradeBuilder Ultimate DIA M30 Strategy Performance Report.xlsx (Size: 1.07 MB / Downloads: 5)
.wsp  TradeBuilder-Ultimate-DIA-M30-TU5011.wsp (Size: 270.73 KB / Downloads: 6)
.tsw  TradeBuilder-Ultimate-DIA-M30-TU5011.tsw (Size: 208 KB / Downloads: 5)
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