#040: MY STUDENT'S STRATEGIES (CASE STUDY #13)
Today’s strategy proves that you don’t need to be afraid of higher time frames, neither do you need a huge trading account to trade them. To make it short - it is a strategy for e-mini Russell 2000 (TF), for 120-minute time frame, with really nice equity and with a drawdown lower than $4,000.
Excited? Ok, here we go:
Market: e-mini Russell 2000 (TF)
Main time frame (data1): 120-minute
Secondary time frame (data2): Daily
Time template: 8:30 - 15:15
Exit: stop-loss or at 15:15 exchange time (avg. winning trade +443 USD)
Stop-loss: 1,000 USD-only protective, never hit (avg. losing trade -386 USD)
The equity below is really nice, it almost looks like a curve fitting, but don’t forget that this equity is composed of many out of sample periods. In the 12,5 years, the system has earned over a $90,000 profit, which is over $7,000 profit per year on average. And just with a maximum drawdown $3,670 that occurred in 2014, which is almost a half of the average annual profit.
There really aren’t a lot of big drawdowns, just a couple of small ones, and also a couple of flat periods. And despite the $1,000 stop loss, the largest losing trade is just $650. The number of trades exceeds 800, which is really nice number for a 12 years’ history.
The system performs well not only in Russell 2000 market, but also in others. Let’s take a look at E-mini S&P MidCap 400 (EMD) market:
It is not perfect, but since it is using completely the same parameter set, no optimisation, it is pretty nice. And with a little work, you can add this market to your portfolio.The same applies to the S&P 500 (ES) market:
Also pretty nice and, despite some drawdowns and a couple of flat periods, the equity is still rising and the biggest drawdowns are still on acceptable level of approx $5,000.
Even on a higher time frames, like this 120-minute, you can still find some really nice strategies that don’t have $10,000 drawdown. Don’t be afraid of it. The higher time frames are much more stable, they contain less noise and false signals, and, as you could see above, the reward can be really nice.
You can also click here to learn more about the workflow I teach and start creating your own similar systems today.
Happy trading!
Tomas
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