We have a few updates for the trading systems as we end February 2020. The results on the month were very positive. Below is a list of the updates for the trading systems
1.) Order execution update for Tick Count Trend E-mini Nasdaq.
This update affects the Stock Index Portfolio (38), Liquid DayTrade Portfolio, and All Strategy Access (74). Increases in volatility can bring out the requirement for coding changes. We update the code in Tick Count Trend E-mini Nasdaq. This is simply an order execution update and doesn’t change the results. Testing the strategy going back five years, we see a $30 total net profit increase with the same number of trades. The reason for this change is to eliminate any rejected orders so that the strategy can trade correctly in higher volatility.
The best way to describe this change is that if you had a strategy that once the conditions were met, entered a trade like this:
Then Buy Next Bar at Lowest(L,3)[1] limit;
is changed to:
then begin if Close >= Lowest(L,3)[1] then buy Next Bar at Lowest(L,3)[1] limit else if Close < Lowest(L,3)[1] then buy Next bar at Close – 0 limit; end;
Since an index of [1] is used there can be massive changes in price in only one, 1 minute bar and create order rejected if you place a buy limit too high above the market or a sell limit too low below the market.
2.) Order execution and performance update for AT 2019.
This update affects the Stock Index Portfolio (38) and All Strategy Access for all 74 strategies. This setup uses a custom session that ends at 1614 EST with one minute left in the trading day. This should allow us to use SetExitOnClose with one minute left or an exit code such as If Time=1614 then sell this bar on close;
This type of code wouldn’t work if the market were closed at 16:14 but since the market is still open, it should work. However, some of the exit trades may have not worked for this.
For this reason, we are changing the Exit Time to 1600. We also wanted to change from a range based stop loss to a fixed stop loss. We change the StpLs input to False and set StpLs2 to True and set StpLs2Amt to 1900.
This is an original from 2001. I don’t like to make too many changes. This is an example of how we change strategies and is not based on optimization. The stop loss is based on manually testing some parameters we think will work.
The AT 2019 Old will remain in the Portfolio Calculator spreadsheet at the bottom and add to the number of strategies so that reference can be made. This update slightly improves the performance for the portfolios for which it is a part of. For All Strategy Access, we don’t recommend trading both.
The new inputs and performance summary are listed first and and the old inputs and performance summary are listed second.
These reports do not include slippage and commission. The average trade profit goes form 59 to 84 and the Net Profit as a % of Drawdown more than doubles.
3.) Performance update for 60M Breakout ES.
60M Breakout has been one of our top strategies. This is a very simple one rule strategy based on a price relationship.
This update changes the index value and adds one rule based on Standard Deviation of Range. The inputs for L1 and IND(index) are also “opened” up so that they can be changed.
We also add a VIX filter requiring the VIX is less than 50. This doesn’t affect any historical trades. We don’t want to trade this with a VIX > 50.
This small code change affects Stock Index Portfolio (19), Stock Index Portfolio (38), 200K Portfolio, and All 74 Strategies.
The new performance summary is listed first and the old performance summary is listed second.
These reports do not include slippage and commission. The average trade profit and the Net Profit as a % of Drawdown more than double.
4.) Performance update for Gap Continuation
Gap Continuation 2019 is one of our top strategies. With the increase in volatility we see the opportunity to add a rule and limit trades during high volatility. We do this by looking at the 10 minute range and stop trading when it is above a certain threshold.
Since this strategy has a 15 point stop loss, there is no reason to trade it when volatility reaches a certain level. The order book was moving 15+ points per second at times during the last week of February 2020. This doesn’t happen frequently but if it were to become the new normal, we don’t want to be trading this strategy since the stop loss is tight.
We show the performance summary below. The range filter reduces the total number of trades by 49. There are 1,991 trades in the original strategy and 1,942 trades in the new strategy. The performance between the two is very similar and slightly better in the new version. The goal was not to optimize the strategy or make big change but to find an efficient and simple way to reduce trades in the case of extremely high volatility.
The new performance summary is listed first and the old performance summary is listed second.
These reports do not include slippage and commission.
5.) Performance update for Tick Pullback ES and NQ
Tick Pullback E-mini S&P and E-mini Nasdaq trade momentum using the NYSE TICK. With the increase in volatility we see the opportunity to delay the entry for more of a pullback. We add a simple rule to wait for a multiple standard deviation pullback after we see some momentum in the market. We also increase the stop loss from $300 in both the ES and NQ to $500 in the ES and $700 in the NQ.
The new performance summary is listed first and the old performance summary is listed second for the E-mini S&P. The third report is the updated Tick Pullback E-mini Nasdaq and the fourth report is the old Tick Pullback E-mini Nasdaq.
These reports do not include slippage and commission.
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