Day Trading Spy

Day trading is the most profitable trading strategy, but also very challenging. I will share a fully automated trading strategy for the SPDR S&P500, which is a Exchange Traded Fund to track the S&P 500 market index.

The special feature of this strategy is, that it comes with a fully automated position sizing system. To sustain as a trader you have to have a good and reliable trading strategy but also to calculate your risk proberly. This is done by the strategy.
Furthermore the position sizing can be adjusted to your personal preferences, as trading account and risk per trade.

The strategy looks at the opening gap. If the gap is big enough and some proprietary filter are passed, it will enter a trade in a certain timeframe. Depending on the gap it goes long or short.

Tradestation step-by-step

Exit Logic

In general the system exits the position at the end of the day. Furthermore it comes with the standard stop function provided by Tradestation to protect you from big losses. The stop loss is  adjusted to the position size of your trade. The stop loss can be adjusted to your personal choice.

 

The advantages of the strategy

Assumption:
Trading account: $100,000 USD
Risk per trade: 1% (very conservative)

  • Profit Factor over 2
  • Average Trade Net Profit around $160 US
  • over 60% winning trades
  • 10 winning years in a row
  • Average monthly return over $200 US
  • Average yearly return around $3,000 US
  • Testing Period from 2006 to 2016 (10 years)
  • very profitable in volatile years
  • Including Slippage and Commission of $0.01 US per share
  • Robust strategy that works in other markets

The advantages of the market

  • The market is a very liquid.
  • Very small slippage
  • Trading hours from 9.30 p.m. to 16.00 a.m EST.
  • Trading an index reduces the risk compared to equities because you trade a market. A good or bad news for a stock can result in large price movements or gaps, because the liquidity dries out or the release of the news is outside the trading time.

The Performance of the strategy

The table delivers the important data of the strategy:

PerformanceSummary_STS_Opening_Breakout_Spy

 

The Performance Graph – Equity curve line

PerformanceGraph_STS_Opening_Breakout_Spy

This performance graph goes steady upwards over the whole time, without big drawdowns.

The Periodical Returns

PerformanceAnual_STS_Opening_Breakout_Spy

As you can see, all the years the strategy delivers good money. The % Gain is based on an initial account balance of $100,000 US and risk per trade of only 1%. If you increase the risk per trade for example to 2%, your average trade net profit goes up by 37%.

The settings tell you, that it also includes slippage and commission:

PerformanceSettings_STS_Opening_Breakout_Spy

HYPOTHETICAL PERFORMANCE DISCLAIMER: 

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

Your next step

Check it out at Tradestation® for free.

Trade this great strategy with an costumizable automated position sizing system for only $10 US / month.

Average monthly return of this strategy is approximately $200 US / month.

The price is so low, because at the moment the strategy earns little money. If the market gets more volatile, the strategy will perform better and the price will go up.

If you have any questions, don’t hesitate to contact me or leave a comment below.

Thanks a lot!

 

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