#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.
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