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Very simple ES strategy that seems to work


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Very simple ES strategy that seems to work

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  #1 (permalink)
Florida
 
Experience: Beginner
Platform: NinjaTrader
Trading: ES
 
Posts: 110 since Sep 2014
Thanks: 60 given, 20 received

After quite a few considerations and failures to develop a good strategy for my own self, I think I have found a very simple ES scalping strategy that works quite well so far, and believe it or not its mainly based on the TMV indicator (Note: I know its not very special, not failure proof, and even less a holy grail). The key here is to have strict rules and use the actual SPX index with it and not the ES itself. I have found the actual index prints to be more reliable, thou sometimes with a bit of lag for me.

Basically I have found that buying the ES when the price is starting to brake out of the upper TMV band and covering when its close to touching the mid band results in net gains overall with good probabilities so far, same with shorting. I have some rules and additional considerations thou. For example the ADX, and the ES price action swing indicators are good cross checks, but the main thing is the TMV. However, I have not done enough backtesting, so far I have only looked at the last ten days, but it works very well, and surprisingly it works both in volatile and trending markets, it keeps you our of trouble but also helps you to capture good moves. Anyone else has looked into this? I would like to do a strict and extensive backtest, but I don't know how to extract and process the data, if anyone is interesting in doing it or helping me it would be greatly appreciated.

Here are my current strategy rules:
Indicators:
1. TMV on the SPX,
2. Linda Bradford Raschke thermo paintbars SPX
3. TTM_Trend on SPX
4. Price action swing and oscillator ES one minute chart and the same for the ES five minute

The rules are, only buy when:
1. SPX price has crossed the upper TMV line
2. LBR thermo has at least one positive area
3. TTM is blue for SPX
4. ES one minute price action swing has indicated a potential upleg
5. The oscillator has at least a 25% green level compared to the previous red level

Exit when:
1. The SPX price touches the TMV midline
2. ES one minute price action swing has indicated a potential upleg end.

Additional discretionary considerations:
1. Price patterns
2. Targets based on volume profile
3. Basic trend lines and channels
4. NQ follow up trend, or pattern

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  #3 (permalink)
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marketvoyager View Post
After quite a few considerations and failures to develop a good strategy for my own self, I think I have found a very simple ES scalping strategy that works quite well so far, and believe it or not its mainly based on the TMV indicator (Note: I know its not very special, not failure proof, and even less a holy grail). The key here is to have strict rules and use the actual SPX index with it and not the ES itself. I have found the actual index prints to be more reliable, thou sometimes with a bit of lag for me.

Basically I have found that buying the ES when the price is starting to brake out of the upper TMV band and covering when its close to touching the mid band results in net gains overall with good probabilities so far, same with shorting. I have some rules and additional considerations thou. For example the ADX, and the ES price action swing indicators are good cross checks, but the main thing is the TMV. However, I have not done enough backtesting, so far I have only looked at the last ten days, but it works very well, and surprisingly it works both in volatile and trending markets, it keeps you our of trouble but also helps you to capture good moves. Anyone else has looked into this? I would like to do a strict and extensive backtest, but I don't know how to extract and process the data, if anyone is interesting in doing it or helping me it would be greatly appreciated.

Here are my current strategy rules:
Indicators:
1. TMV on the SPX,
2. Linda Bradford Raschke thermo paintbars SPX
3. TTM_Trend on SPX
4. Price action swing and oscillator ES one minute chart and the same for the ES five minute

The rules are, only buy when:
1. SPX price has crossed the upper TMV line
2. LBR thermo has at least one positive area
3. TTM is blue for SPX
4. ES one minute price action swing has indicated a potential upleg
5. The oscillator has at least a 25% green level compared to the previous red level

Exit when:
1. The SPX price touches the TMV midline
2. ES one minute price action swing has indicated a potential upleg end.

Additional discretionary considerations:
1. Price patterns
2. Targets based on volume profile
3. Basic trend lines and channels
4. NQ follow up trend, or pattern

1. That is not "simple".
2. I can guarantee you, unequivocally, it does not "work".

I would like to try and help you, but I really am not sure where to start. You've ignored all previous advice.

Mike

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  #4 (permalink)
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marketvoyager View Post
However, I have not done enough backtesting, so far I have only looked at the last ten days, but it works very well,

Dear god, I hadn't even read this part of your post yet...

Again, don't know what to say. I think you are maybe just trolling? I hate to think that, but it is the most logical explanation sometimes.

Mike

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  #5 (permalink)
Legendary Market Wizard
Philly, Pa
 
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Big Mike View Post
Dear god, I hadn't even read this part of your post yet...

Again, don't know what to say. I think you are maybe just trolling? I hate to think that, but it is the most logical explanation sometimes.

Mike

Should change his moniker to "marketvoyeur"...

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  #6 (permalink)
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marketvoyager View Post
I would like to do a strict and extensive backtest, but I don't know how to extract and process the data

Multiple webinars exist on the subject right here on FIO. They are high quality. I believe they are roughly 10 hours in length in total, perhaps 15 hours.

What is contained inside those 10-15 hours takes most people 10,000 hours or more to learn. In other words, they are worth everyone's time to watch on this entire site many, many times over.

Mike

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  #7 (permalink)
Florida
 
Experience: Beginner
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Trading: ES
 
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Big Mike View Post
1. That is not "simple".
2. I can guarantee you, unequivocally, it does not "work".

I would like to try and help you, but I really am not sure where to start. You've ignored all previous advice.

Mike

I believe you but I need to know exactly why would it not work, it already did the last ten days, and today I made $900 on the combine by following the rules and traded 130 contracts all day long. Would it not work during different market conditions? I don't know, haven't done the backtesting. Can you help me by elaborating why it doesn't work, please?

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  #8 (permalink)
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Not to discourage you because what you are doing will help you gain an understanding of the market, but 10 days is way way too small of a sample size to make any conclusions about how good a system is.

The ES goes through cycles lasting from days to weeks and sometimes months where it takes on a certain character, high volatility, low volatility, very trendy, almost flatlined etc. This happens so often that algos have to change strategies every few weeks because what was working before just stops working.

I think you will probably find the same thing with your strategy. So you need to backtest over a long period of time (years) to make sure you cover all the market cycles.

As for implementing the backtests, I do not know what software you are using, but for most popular charting packages such as Ninjatrader it will be pretty simple task to code (depending on your coding experience) a strategy as yours seem simple enough. Just find a sample strategy on the internet and replace the part that calculates entries and exits with your strategy logic.

Also there are a few threads on this forum where if you ask nicely experienced coders will code your strategy for you. I am sure you will find takers.

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  #9 (permalink)
Florida
 
Experience: Beginner
Platform: NinjaTrader
Trading: ES
 
Posts: 110 since Sep 2014
Thanks: 60 given, 20 received


Seahn View Post
Not to discourage you because what you are doing will help you gain an understanding of the market, but 10 days is way way too small of a sample size to make any conclusions about how good a system is.

The ES goes through cycles lasting from days to weeks and sometimes months where it takes on a certain character, high volatility, low volatility, very trendy, almost flatlined etc. This happens so often that algos have to change strategies every few weeks because what was working before just stops working.

I think you will probably find the same thing with your strategy. So you need to backtest over a long period of time (years) to make sure you cover all the market cycles.

As for implementing the backtests, I do not know what software you are using, but for most popular charting packages such as Ninjatrader it will be pretty simple task to code (depending on your coding experience) a strategy as yours seem simple enough. Just find a sample strategy on the internet and replace the part that calculates entries and exits with your strategy logic.

Also there are a few threads on this forum where if you ask nicely experienced coders will code your strategy for you. I am sure you will find takers.

Right, this is exactly what I am thinking, the cycle adjustments. My guess is that by properly editing the strategy by identifying the cycles, it should give fairly good results. Also, the addition of multiple discretionary considerations, as I mentioned is key, and those are more of an subjective art that will perform according to ones ability and experience. As for my coding experience, I have non.

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  #10 (permalink)
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marketvoyager View Post

The rules are, only buy when:
1. SPX price has crossed the upper TMV line
2. LBR thermo has at least one positive area
3. TTM is blue for SPX
4. ES one minute price action swing has indicated a potential upleg
5. The oscillator has at least a 25% green level compared to the previous red level

Exit when:
1. The SPX price touches the TMV midline
2. ES one minute price action swing has indicated a potential upleg end.

Entry:
1-5 Why does any of this matter? What makes you think the market cares about any of these?

Exit:
1. Why is this an exit? Why does the market care that it touch a line on an indicator?
2. A 1 min price action is going to determine the potential end of an upleg? 1 min is noise nothing more.

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