E Mini Futures trading systems

Today I want to share a fully automated trading system for the E Mini Future but you can also trade other Future Indices with this automated strategy.

The special feature of this strategy is, that it trades the indices only overnight. But this does not mean, that you have to stay all night in front of your computer to monitor the trade. The advantage of this strategy is, that it is fully automated. You start your computer, insert the strategy and the rest happen on autopilot.

The automated strategy looks for new lows during a bull market to enter a long position and exit the position the next morning.
It does the same on the short side. To improve the performance the strategy has some proprietary filter.

Tradestation step-by-step

Entry Logic
The strategy only opens a trade at the open of the market after 6 p.m. and only if all requirements are met.

Exit Logic
In general the system exits the position at the open of the new day session. To enable the trading over different indices, the exit time can be adjusted by the user.
Furthermore, it has a stop loss usually about $1,000 US, which can be adjusted by the user.

The advantages of the strategy

  • Profit Factor around 2.4
  • Average Trade Net Profit around $110 US
  • 14 winning years
  • Average monthly return around $120 US
  • Average yearly return around $1,400 US per contract
  • Testing Period from 1997 to 2015 (sample size very big)
  • Out of sample data confirm the sample data
  • Including Slippage and Commission of $25 US per round turn
  • No compounding, only with one contract
  • Robust strategy, works also with Russell 2000, E-Mini S&P Mid Cap 400 and E-Mini Nasdaq 100

The advantages of the market

  • The market is a very liquid.
  • Trade hours from 6.00 p.m. to 9:30 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_ES_Overnight

 

The Performance Graph – Equity curve line

PerformanceReport_STS_ES_Overnight

This performance graph goes straight upwards over the whole time. It is a beauty 🙂

The Periodical Returns

PerformanceAnnual_STS_ES_Overnight

As you can see, all the years the strategy delivers good money. The % Gain is based on a initial account balance of $100,000 US.

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

PerformanceSettings_STS_ES_Overnight

Here you can see the result for the other Indices:

Year ES 15  OverNight EMD 15  OverNight TF 15  OverNight NQ 15  OverNight
2016 783 2,075 890 1,105
2015 2,838 3,490 (410) (835)
2014 2,025 1,940 2,020 2,380
2013 1,175 2,695 3,165 1,290
2012 2,463 280 855 3,360
2011 1,388 4,860 4,415 650
2010 (-50) (1,235) (2,050) 225
2009 2,163 4,675 2,420 1,550
2008 1,113 2,090 40 (75)
2007 2,050 (335) 610 505
2006 450 750 380 115
2005 1,400 1,315 140 (470)
2004 1,488 (330) 2,395 455
2003 863 145 650 1,500

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

Walk forward results

In January 2017 I checked the strategy again, how it developed with really unseen data. In the article day trading strategy walk forward results I decribe the results in more detail.

Your next step

Check it out at Tradestation® for free.

Trade this great strategy on 4 different indices for only $24 USD / month.

Average monthly return of the 4 strategy is approximately $400 USD / month.

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

Thanks a lot!

 

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