#023: MY STUDENT'S STRATEGIES (CASE STUDY #7)
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DISCLAIMER:  Futures trading systems and commodity trading bear a high degree of risk. People can and do lose money.
Hypothetical results have many inherent limitations. Past performance does not guarantee future results. 

 

ACTUAL RESULTS SHOULD BE VIEWED WITH CAUTION, BECAUSE PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

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#023: MY STUDENT'S STRATEGIES (CASE STUDY #7)

 

After several index strategies, that use 2 time frames, this time I have for you a strategy that works with just 1 time frame and still, it can offer really nice profits. You don’t need to use 2 time frames to profitable trade. The strategy was originally developed for the YM market, but when one of my students verified it in other markets, the strategy worked in the NQ market even slightly better than in the YM market. And since the strategy has passed all robustness criteria, that I explain in my ebook “How to Become a Successful Trader in 10 Weeks” (will be released during autumn 2016), it is perfectly acceptable to trade this strategy also in a different market than it was developed for.

 

This is the basic setup for the NQ market:

 

Market:                                           E-mini NASDAQ 100 (NQ)
Main time frame (data1):            15-minute
Secondary time frame (data2):   -
Time template:                             8:30 - 15:10
Exit:                                                exit based on indicator, stop-loss or at                                                               15:10 exchange time

                                                        (avg. winning trade +228 USD)
Stop-loss:                                      1,000 USD - only protective, barely hit.
                                                        (avg. losing trade -197 USD)

 

This equity is from Out-Of-Sample periods, so it can give you really realistic expectations. The equity curve is, as you can see, almost straight line and there aren't many drawdowns:

 

 

And here is the strategy in numbers:


The strategy is using pretty small stop-loss and has quite a small drawdown (only 3,415 USD), which makes it a perfect strategy for smaller accounts. The profit factor 1.68 and almost 60% of profitable trades are also really good values for out-of-sample data.

And how does the strategy performs in the market it was originally created for, i.e. the YM market? Well, since the YM and NQ markets are highly correlated, the equity of this system (with the same parameters!) looks similar to the one mentioned above - also pretty nice equity curve:

 

 

The market that we use for the strategy development doesn't necessarily have to be the one that we use for live trading. If we find, during the portfolio verification, another market that is even better for this strategy, we can trade the strategy there. Or even on both. The fundamental condition for live trading is that the system has to be tested and has to pass all robustness tests also in all other markets that we want to use for live trading. And this is the main point of this example - to remind you that evaluation in other markets is one of the most important robustness evaluation criteria.

 

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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"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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"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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"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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"As an experienced trader, I used Tomas´s consultation to get more clarity on best-practise robustness testing procedures, risk management, and portfolio management. He was quickly able to help me refine my current trading and system development approaches, and pointed me to really practical measures that I could implement immediately. I found Tomas to be not only extremely knowledgeable but very helpful and a great teacher. This has given me more confidence in developing robust strategies that work, and I would recommend his mentoring as extremely valuable for any systems trader."

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