EXHAUST & REVERSE E-mini S&P
The Exhaust and Reverse E-mini S&P trading system is an emerging strategy based on patterns we have seen since 2016. It is common knowledge among futures traders that there can be a tendency for the S&P 500 futures to be a stop and reverse market. Since 2016 the bias is been even greater for the market to move down before it moves higher when the VIX < 25 and the stock market isn't in one of its "fast correction" high volatility modes.
Since 2016, the corrections have become quicker. This strategy wills top trading during one of those corrections, as measured by the VIX and then buy the dips as the marke moves higher. The market mindset of expecting Fiscal and Monetary stimulus has become the norm until it no longer works. While it works, and after a correction is over, this strategy will buy the dips as the market "calms down" and moves higher "slowly".
This strategy takes advantage of what we call the "government/Fed" sponsored stock market mode.
REVISION 2 Release 12/16/2020
The Exhaust and Reverse E-mini S&P trading system trades the E-mini S&P on one minute charts from the 5:00 pm CST open to the 4:00 pm CST Close. This strategy was originally developed in 2016 and has been updated in December 2020 to adjust for volatility.
The updates for the latest version in 2020 include:
- Added a Monthly Stop Loss of $2000 per contract on a closed trade basis
- Added a VIX Filter with a VIX Threshold for the close of the VIX < 25
- Increase the Stop Loss from 350 per contract to 500 per contract
- Increase the Profit Target from 500 per contract to 800 per contract
- Change the Start Time from 0000 EST to 1700 CST
- All indicator values remain the same
- Data settings were set to Exchange instead of Local
The original strategy inputs from 2016 could be used in this Revision by setting the UseMonthlyStopLoss to False, the VIXThreshold to 100, the StpLsAmt to 350, PrfTgAmt to 500, and the StartTime to 0000.
Exhaust and Reverse E-mini S&P
Hypothetical Performance Summary
PTS input = 5