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#025: MY STUDENT'S STRATEGIES (CASE STUDY #8)


The strategy I have prepared for you this time is a strategy suitable for small accounts. The strategy is designed for E-mini S&P MidCap 400 (EMD) market, 15-minute time-frame, it is long- biased and the maximum drawdown is just 2,450 USD. That means that when you follow the rules I have described in this article, you can start trading this strategy with 10,000 USD account. And the stop loss is just 400 USD. This is rather low stop loss for an automated strategy.

Here are some basic figures about this strategy:

  • Market: E-mini S&P MidCap 400 (EMD)

  • Main time frame (data1): 15-minute

  • Secondary time frame (data2): 60-minute

  • Time template: 8:30 - 15:00

  • Exit: stop-loss or at 15:00 exchange time (avg. winning trade +480 USD)

  • Stop-loss: 400 USD (avg. losing trade -327 USD)

The equity that you can see below is based on the Out-Of-Sample intervals and includes all transaction costs and slippage. So it is really realistic equity curve of what you can expect when trading it live. It starts with a little drawdown (about 1,500 USD), but this happens almost every time you start trading new system - it almost immediately goes to a drawdown. Approximately in the middle of the equity curve, there is a flat period of about 30 trades between trade number 120 and 150, which, in reality, means 8 - 9 months. That might be too long for someone to bear, but after this period, that equity starts going up again. Exactly for periods like this one you need other, low-correlated systems in your portfolio.

Here you can see the system in numbers:

When going through the report, you can notice really nice profit factor 1.84, the percentage of profitable trades reaching 56% and really nice 122 USD average net profit from each trade. The total net profit almost 35,000 USD in 7 years means almost 5,000 USD per year on average which is twice as much as the 2,450 USD drawdown.

Let’s take a look at the performance of this system in another market than just EMD.

When the same system is applied to S&P 500 (ES) market, also 15-minute time-frame, the equity is not perfect, but we can use it as a confirmation that the system is profitable also in other markets than just EMD. And still, it was able to make almost 20,000 USD.

Overall, this system can prove to you that you don’t need 50,000 USD trading account to start with and that with some effort you can develop really nice strategy even for a small account.

By clicking here you can 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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What others are saying

"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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Author: Tom Nesnidal (more about me) 
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