SIF ES1
ES1 is a day trading system for the S&P e-mini contract. The system was initially developed in January of 2006, but does not attract much attention because of the trading frequency. The basic concept is to wait for a day until the market has made a significant move. Then if the gap is not too large the next day the market is traded counter trend with a profit objective of about 8 points. There are three versions, one with stops in both directions, one with stops only in the direction of the long term trend, and one which has no stops but exits at the end of the day.
This system has traded on average 23.6% of available trading days, or about 1 day per week. However it may go for much longer periods without any trades. The longest dry spell has been 50 days. As of Nov 21, 2011, it has not traded in 22 days.
Some interest was expressed in seeing what this strategy would look like when applied to other symbols. Below are links to the system being applied to TF and EMD. The reports were generated with code that has been untouched for well over a year. They were generated using a trade requirement of market penetration on limit orders, so no slippage was applied.
Excel chart with equity curves since 1/1/2000.
TradeStation backtest report from 1/1/2000(with stops)(updated 02.03.2012)
Last 20 Months Performance (Flash Chart)
100% Out of Sample Performance Chart (Added 11.06.2011)
