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#038: MY STUDENT'S STRATEGIES (CASE STUDY #12)


Trading is full of ups and downs. You can experience really good times as well as really bad ones. With a balanced portfolio you should be able to get over the bad ones and enjoy only the good ones. The strategy I am about to present you today could be part of such a balanced portfolio as well.

It is a long-biased strategy for E-mini Dow Jones Futures (YM) and it uses, again, a combination of 30-minute and daily time frames. This combination, together with 15-minute and daily time frame , is quite popular. It filters all the noise of the low time frames and you still don’t need so big trading account as for trading purely on daily or even weekly time frames.

The biggest drawdown this strategy has experienced in the last 12 years was just $2,600, but it is also good to have in mind the drawdown from Monte Carlo Analysis that we can get from a software like Market System Analyzer. When you get over this drawdown, you can be pretty sure that the system is not working any more, you should turn it off and start looking for some way how to improve it. Or replace it by another one.

Now let’s get back to the strategy:

  • Market: E-mini Dow Jones Futures (YM)

  • Main time frame (data1): 30-minute

  • Secondary time frame (data2): Daily

  • Time template: 8:30 - 15:15

  • Exit: stop-loss or at 15:15 exchange time (avg. winning trade +297 USD)

  • Stop-loss: 1,300 USD-only protective, barely hit (avg. losing trade -239 USD)

The profit in the last 12 years was almost $55,000USD, which is really nice for a YM market. The system has done 715 trades in that period which is almost 60 trades per year, averaging over 1 trade per week.

On the chart below, there are not so many drawdowns, and if any, the system has recovered from it pretty quick. The biggest one was in the year 2008 (you can see it between trade #200 and #250) and not only did it recover from the drawdown, but it also achieved over $10,000 profit in the next 20-30 trades without any major losses.

Bear in mind that what you can see is a equity composed of out of sample periods, no curve fitting.

All important numbers you can see in the table below. The overall profit is $53,905, profit factor 1.78, 58% of all trades are profitable, average net profit over $75 and close to close drawdown just $2,600 - as I have already mentioned.

The system is also performing well in other index markets (EMD, TF, and ES), on both 15- and 30-minute time frames (when combined with the daily data).Still, in none of them has the system such a low drawdown and such a flat equity curve as in the 30-minute YM market.

It isn’t a bad performance for just 8 lines of a code, is it? You don’t need to make things complicated to be profitable, don’t try to outsmart the markets. Just keep it simple. Sometimes the simplest approach has the best results. Don’t be afraid to experiment, bring up new, perhaps crazy ideas.

Click here to learn more about the workflow I teach and start creating your own similar systems today.

Happy trading!

Tomas

Click here to read more success stories.

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"Tomas is one of the most creative traders I know. He is able to generate unique trading ideas and elegant solutions to system development challenges."

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Andrew Swanscott, BetterSystemTrader.com

"Tomas has been a professional trader for more than a decade and I have had the privilege of monitoring his accounts in action since 2006. His systems are performing as some of the best I have ever monitored and executed. I have been in the trading industry since 2002 and worked with many developers from all over the world. Tomas is definitely the one to consider."

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Martin Lembak,

Systems Trading Expert,

MFRM, CAIA 

"Tomas is a professional trader, who for the last 10 years has specialized in developing trading systems. We have been tracking his trading systems for about 5 years and they generally show very robust, stable and above average performance. Striker is pleased to work with someone like him - a real professional with enthusiasm and deep knowledge of trading."

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William Galwas, President Of Striker Securities, Inc 

"Personal consultation with Tom helped me to re-evaluate the complexity of my robustness testing and optimization processes. Plus, it has helped me with a specific plan on how to take things forward. It has given me some great ideas on how to avoid overfitting and make my testing more robust and provided tips on low hanging fruit in terms of the best markets to trade for intraday/short-term breakouts."

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Craig Peters,

semi-advanced trader,

United Kingdom 

"Tom's approach to Automated Trading Strategies design, tests of robustness and portfolio diversification is really unique. He has been a professional trader for many years and the depth of his understanding of Breakout strategies and Market Internals is hard to find elsewhere."

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Antonin Fisher,

Hedge Fund Manager,

Czech Republic 

"Tom´s systems and trading approach do really work and can bring good, stable and reasonable returns. I can highly recommend him as a teacher."

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David Hruby,

Trader, Czech Republic 

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