#040: MY STUDENT'S STRATEGIES (CASE STUDY #13)


Today’s strategy proves that you don’t need to be afraid of higher time frames, neither do you need a huge trading account to trade them. To make it short - it is a strategy for e-mini Russell 2000 (TF), for 120-minute time frame, with really nice equity and with a drawdown lower than $4,000.

Excited? Ok, here we go:

  • Market: e-mini Russell 2000 (TF)

  • Main time frame (data1): 120-minute

  • Secondary time frame (data2): Daily

  • Time template: 8:30 - 15:15

  • Exit: stop-loss or at 15:15 exchange time (avg. winning trade +443 USD)

  • Stop-loss: 1,000 USD-only protective, never hit (avg. losing trade -386 USD)

The equity below is really nice, it almost looks like a curve fitting, but don’t forget that this equity is composed of many out of sample periods. In the 12,5 years, the system has earned over a $90,000 profit, which is over $7,000 profit per year on average. And just with a maximum drawdown $3,670 that occurred in 2014, which is almost a half of the average annual profit.

There really aren’t a lot of big drawdowns, just a couple of small ones, and also a couple of flat periods. And despite the $1,000 stop loss, the largest losing trade is just $650. The number of trades exceeds 800, which is really nice number for a 12 years’ history.

The system performs well not only in Russell 2000 market, but also in others. Let’s take a look at E-mini S&P MidCap 400 (EMD) market:

It is not perfect, but since it is using completely the same parameter set, no optimisation, it is pretty nice. And with a little work, you can add this market to your portfolio.The same applies to the S&P 500 (ES) market:

Also pretty nice and, despite some drawdowns and a couple of flat periods, the equity is still rising and the biggest drawdowns are still on acceptable level of approx $5,000.

Even on a higher time frames, like this 120-minute, you can still find some really nice strategies that don’t have $10,000 drawdown. Don’t be afraid of it. The higher time frames are much more stable, they contain less noise and false signals, and, as you could see above, the reward can be really nice.

You can also 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.

#successstories

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