top of page


When you begin with breakout strategies, it is easier and faster to build just long-biased ones. It is not optimal, it is generally better to have strategies trading both long and short, but it is a great way to start and to build your first portfolio to begin with live trading. And over time, you can either replace these long-biased ones or you can add to your portfolio some short-biased strategies to have it more balanced.

I would like to present you such a strategy today. It is a short-biased strategy for Russell 2000 (TF) market. It combines 2 timeframes, one is pretty standard, the 15-minute, and the second one is 360-minute (6 hours). It is a combination that we don't see that often, but that doesn't mean that you cannot get interesting results.

Let’s take a look at the setup:

  • Market: Russell 2000 (TF)

  • Main time frame (data1): 15-minute

  • Secondary time frame (data2): 360-minute

  • Time template: 8:30am - 4:15pm

  • Profit factor: 2.13

  • Win %: 59.76%

  • 206.42 USD

  • Exit: stop-loss or ATR-based Profit Target (avg. winning trade +652.03 USD)

  • Stop-loss: ATR-based (avg. losing trade -455.44 USD)

One of the things that stands out in this strategy is the profit factor - it is 2.13. And that includes the commission of $10 per trade (that is still quite a lot, TradeStation will charge you less than half of that). 10-year profit is $69,700, which can look like not a lot, but the close to close drawdown is just $2,450. So you can easily trade 2 contracts and double the profit. The average annual net profit to drawdown ratio is 2.8.

Most short-biased strategies have a low number of trades and are not tradeable. This one has 338 (34 per year on average) which is just about the limit. It makes about 2 trades each 3 weeks.

Let’s take a look at the equity curve and see if it looks as good as the numbers:

When you take a look at the equity curve, you can see that there aren’t too many losing periods. The longest period without any new equity highs is less than 25 trades (which is good considering that it takes 37 weeks on average to make those 25 trades). There are a couple of drawdowns between $2,000 and $2,500, like at trades #90, #140, #305, but the strategy has usually recovered pretty quickly.

The start of the equity looks really good; in the first 100 trades, the strategy has created over $30,000 in profit. It took another 200 trades to double it to $60,000.

How does this equity look in numbers? Let’s take a look:

To recap the most important numbers - the strategy has done, in 10 years; 338 trades, 202 (59.76%) of them were winning and 136 losing. The stop-loss for losing trades is $1,000, the maximum close to close drawdown is $2,450, and the profit factor is 2.13. All of these numbers include the $10 per trade commission.

Does the system have the same performance in other markets? Let's take a look at other index markets, like E-mini S&P 500 (ES):

The 10-year profit isn’t as nice as for the TF market, $26,000 in 10 years is not much, but we can still see a steadily rising equity curve, not so big drawdowns (less than $2,000), and the number of trades is just 240, that could be a bit more, but overall really nice results.

Will E-mini NASDAQ 100 perform the same?

In this case, the overall profit is even lower, not even $18,000 in 10 years, it’s not much, but the equity curve is still rising and the maximum drawdown is still below $2,000. The number of trades is again quite low for live trading, but the number of trades is the problem of most short-biased strategies. So this is also a really nice result.

Both of these results are telling us that this strategy is likely to perform really well in live trading, but it shouldn’t be the only test that we perform.

So, even when you start with long-biased strategies in your portfolio, strategies like this one can be a nice way to add some short-selling elements to your portfolio.

Click here to learn how to build similar strategies.

Happy Trading!


Click here to read more success stories.

  • YouTube
  • LinkedIn
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 

Get Social With Tom
Author: Tom Nesnidal (more about me
bottom of page