top of page

COBRA III E-MINI S&P

The Cobra III E-mini S&P is a day trade strategy for the E-mini and Micro S&P that takes advantage of “middle trend” opportunities in the market. The goal is to capture the trend in the middle. It does not trade based on capturing a countertrend or mean reversion move. It also works to capture the move before the market accelerates in a breakout pattern.

​This strategy trades on 15 minute charts and uses multiple data series within the algorithm. The CBOE VIX as well as the NYSE Advancers and Decliners are used in the trading rules.

STRATEGY INPUT SETTINGS

COBRA III E-MINI S&P SETUP

We go over the latest trades testing back to November 3, 1997 through November 22, 2022. We look at the setup with a $600 stop loss with a $600 profit target, an $1100 profit target, and no profit target.​

​We had to adjust the code to remove the VIX filter to test back to 1997 since VIX data only goes back to 2003. The style of the chart does not affect the backtest. We show how a candlestick chart shows the same results as a regular OHLC chart.

COBRA III E-MINI S&P BACKTESTING & AUTOMATION

Automation and backtest settings are a critical part of systematic trading. We show how to turn on automation for specific account with Confirmation set to Off as well as how to make sure to capture trades whose limit order are not filled. It is also critical to make sure that you can automate more than one strategy on the same symbol if you trade a portfolio of different strategies on the same symbol as we do in the Stock Index Portfolio.

​Backtesting based on showing a trade if the limit order is touched versus only showing a trade if the price trades through the limit order is also discussed.

TRADING COBRA III E-MINI S&P ON THE E-MINI NASDAQ

We trade the Cobra III 2022 one minute trading system on the Nasdaq but we like to show the 15 minute E-mini S&P strategy on the E-mini Nasdaq. We double the R1 from 2 to 4. double the stop loss from $600 per contract to $1,200 per contract, and increase the profit target from $1100 to $2000.​

​We are testing this strategy going back 21 years which has been a time period where the majority of the time, we have been in a bull market more than a bear market.

bottom of page