#013: MY STUDENT'S STRATEGIES (CASE STUDY #2)
Download FREE resources to boost your trading
SOTR images-05-Emini min.png
SOTR images-06-STU min.png
SOTR images-08-TMI.png
SOTR images-07-SFB min.png
SOTR images-02 v4.png
SOTR images-09-v3.png
SOTR images-03-MSA min.png
SOTR images-01-v3.png
SOTR images-10-Checklist.png
SOTR images-04-Adaptrade builder min.png
Automated trading strategies that work!

© 2015-2018 SystemsOnTheRoad.com. All Rights Reserved  | Contact | About Me | Privacy Policy

  • LinkedIn Social Icon
  • Twitter Social Icon
  • Instagram Social Icon

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.

OUR NEW PLACE

I'm a paragraph. Click here to add your own text and edit me. Let your users get to know you.

#013: MY STUDENT'S STRATEGIES (CASE STUDY #2)

In the first article about profitable strategies, developed by my students, I have presented a strategy for e-mini S&P Midcap 400 market, 30-minute time frame. You can read about it here. Today it will be a strategy for soybean market.

 

This strategy was created by my student Martin D. in 2015, it has passed all my very challenging robustness tests which I teach all my students, and has also passed paper-trading period. The trader has been trading it live for almost half a year.

 

Let's see some basic facts and figures:

 

  • Market:                                              Soybean (S)

  • Main time frame (data1):               20-minute

  • Secondary time frame (data2):     daily

  • Time template:                                08:30-13:13 exchange time

  • Exit:                                                   stop-loss or at 13:13 exchange                                                                          time (avg. winning trade +522 USD)

  • Stop-loss:                                         1,500 USD (avg. losing trade -332 USD)

 

This breakout strategy is trading short - and with great results, which is remarkable because, according to my experience, it is much more difficult to find a strategy trading the short side (or both) rather than the long one.

 

The strategy works with 2 basic conditions - one on every time frame plus a time filter (the entry mustn't be too early, nor too late) and just with 3 parameters that can be optimized. As you can see on the equity chart below, there is no doubt that this is a profitable strategy. This is, again, an equity assembled from Out-Of-Sample intervals (data that were not used for strategy development), it simulates live trading, no curve fitting:

 

 

As you can see, the equity curve is rising steadily. And the numbers are amazing as well:

 

 

The total number of trades of this strategy is not too big, 244 trades, but it is the weak spot of all short-biased strategies, they don't trade so often as long-biased ones. Yet, the strategy was still able to make 240 trades in 6 years, averaging 40 trades per year. The profit factor 2.42, almost 60% of winning trades and an average annual profit almost 7,500 USD makes the 3,137 USD drawdown really acceptable.

 

As stated in the overview, the strategy works best with 1,500 USD stop-loss. This may seem like a huge stop-loss for day traders, but you need to understand that it is only a protective stop-loss, for the worst cases. It got hit just a couple of times in the last 6 years. The average loss is only 331.84 USD.

 

This strategy also works really well in wheat market:

 

 

This is how the equity looks like when using the same parameters as for the soybean market. It takes some time to develop really robust strategy, that works also in other markets, but it is worth it. It is one of the tests proving that the strategy is really robust. With a little optimization, you can trade both markets with just one strategy. Isn't it beautiful?

 

You might be thinking - that looks really good, but I could never do anything like this. Well, the code of this strategy isn't complicated, it is just 15 lines of a code - as you can see, you don't have to make the trading complicated to be profitable. Keep it simple and never give up!

 

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

 

Happy trading!

 

Tomas

 

Click here to read more success stories.

 

 

 

Please reload

Author: Tom Nesnidal (more about me
Join 15 000+
LinkedIn Followers
Join 5 000+
Twitter Followers
Get Social With Tom
  • Black LinkedIn Icon
  • Black Twitter Icon
  • Black Instagram Icon
  • Black RSS Icon
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, 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."

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."

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 

"Tomas is truly an inspiring mentor and great trader with a positive life attitude. He has got very deep understanding of markets, breakout strategies, robustness testing procedures, and Market Internals."

Jan Lesanovsky,

Client, United Kingdom 

"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."

Trevor West,

advanced trader, Australia 

The author of this trading blog has been featured on: