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.
The subscription is a closed code annual subscription and is available in the Tradestation and Multicharts platforms.
Cobra III 2020 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
Hypothetical Performance Summary
E-mini S&P 1 Contract
$600 Stop Loss, $600 Profit Target
$25 round turn slippage and commission
11/01/1997 - 11/22/2022
Cobra III E-mini S&P
Hypothetical Performance Summary
E-mini S&P 1 Contract
$600 Stop Loss, $1100 Profit Target
$25 round turn slippage and commission
11/01/1997 - 11/22/2022
Cobra III E-mini S&P
Hypothetical Performance Summary
E-mini S&P 1 Contract
$600 Stop Loss, NO Profit Target
$25 round turn slippage and commission
11/01/1997 - 11/22/2022
Cobra III 2020 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 2020 on 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.
The results are positive and the average trade profit increases when the market is at higher index values since the pandemic. The results are much better on the long side. 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.