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After previously presented long-biased strategy, this week I have for you a short-biased strategy. It is a strategy for E-mini S&P MidCap 400 (EMD) market, 30-minute time-frame and has, same like the previous system, a drawdown under 3,000 USD which is making it suitable for small trading accounts.

This is the basic setup:

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

  • 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 +451 USD)

  • Stop-loss: 1,000 USD - only protective, barely hit (avg. losing trade -307 USD)

The equity is almost steadily rising, but there is, again, a period between trade number 120 and 170 when the strategy goes up and down and doesn't make any profit. That means that you will have to wait for more than a year for some profits. Some of the traders would just switch the strategy off, thinking that the strategy doesn't work any more. But the drawdown is nothing exceptional, still under 3,000 USD. So what you should do in this situation is not to switch the system off (the drawdown is still acceptable) and just patiently wait for profits. And as you can see, right after this period there is a 10,000 USD profit in just a couple of trades. Don't be impatient, in trading you won't become a millionaire overnight.

Let’s take a look at the equity curve. This equity curve is composed of Out-Of-Sample intervals and therefore can give us realistic expectations how the system will behave when we run it live. But don’t look only at profits, you should be also prepared that the live trading will start with the 2,500 USD drawdown followed by 6 months - 1 year flat period without any new equity highs. But that doesn't mean that the system doesn't work.

When looking at the numbers, you can clearly see that there is a potential in this strategy and that it can really bring you some nice profits:

The profit factor that is 2.29 is really nice value. Combined with above 60% of profitable trades and 154 USD average trade net profit it is making this strategy another nice system for a portfolio under 20,000 USD.

The net profit of this system is almost 48,000 USD in the last 12 years. That is 4,000 USD per year on average. And here is the breakdown of the profits year by year. In the last 5 years the system was always profitable. The profits were between 3,000 USD and 7,000 USD.

As a prove that the system (and the numbers above) is not only overfitting, but really a robust system, I recommend every new system to be tested also in other markets. How does this one perform in E-mini S&P 500 (ES) market?

The equity curve has a long flat period between trade number 210 and 300, but overall there aren't many drawdowns and the equity is mostly rising. And the system still made 35,000 USD in the last 12 years without any big drawdowns.

Trading isn’t about fast profits. The success in trading is built on thousands of small wins and even smaller losses. You have to be patient and wait for the big wins to come. What really helps is to have well diversified, low-correlated portfolio, so that the periods without any big profits are as short as possible and for you not so difficult to get over.

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

Happy trading!


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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."

Andrew Swanscott,

"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."

Martin Lembak,

Systems Trading Expert,


"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."

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."

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."

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."

David Hruby,

Trader, Czech Republic 

Author: Tom Nesnidal (more about me
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