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Strategy 8 -- A simple but effective momentum futures trading strategy
We are trading futures (micros) again. This one made $52K in the last 4 years with 1155 trades and a 78% win rate. PF 1.4, Sharpe 1.4, RoR 9.7%, MaxDD…
Jul 12
•
Larry Kann
4
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Strategy 8 -- A simple but effective momentum futures trading strategy
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Strategy 7 – A mean reversion futures strategy.
We have a equities futures strategy that trades micros. It made $66k since 2020 with 377 trades, PF of 2.13, Sharpe of 1.51, RoR of 12%, MaxDD of -8.5…
Jul 9
•
Larry Kann
6
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Strategy 7 – A mean reversion futures strategy.
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Strategy 6 — A lean mean-reverting machine.
I tweak a mean reversion strategy and test it against index constituents (current and delisted) from 2021 and got a ROR of 115%, MaxDD -20%, 59% win…
Jul 1
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Larry Kann
7
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Strategy 6 — A lean mean-reverting machine.
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June 2024
Strategy 4c — Unf***ing some mistakes from the last one.
A reader pointed out two things wrong with the previous variation of strategy 4. I addressed those issues, and our performance is now ROR 39.5%, PF…
Jun 26
•
Larry Kann
3
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Strategy 4c — Unf***ing some mistakes from the last one.
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Strategy 4b — Small tweaks that improve performance
With a few small adjustments and a switch in data providers, we get a strategy that has a profit factor of 2.9, Sharpe of 2.2, MaxDD of -11.4%, win rate…
Jun 23
•
Larry Kann
2
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Strategy 4b — Small tweaks that improve performance
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Logarithmic Returns – Why are they used in algorithmic trading?
A brief research note on logarithmic returns. Should we be using them?
Jun 14
•
Larry Kann
3
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Logarithmic Returns – Why are they used in algorithmic trading?
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Strategy 5 – We’re cooking with gas now.
Finding an edge after the popular “Gap and Go” strategy. This strategy made $170k in the past two years (750 trades) with a 66% ROR, 15% MaxDD, 1.3…
Jun 11
•
Larry Kann
2
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Strategy 5 – We’re cooking with gas now.
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Strategy 4 – Beats the buy-and-hold SPY benchmark in profit and max drawdown.
This strategy uses RealTest for backtesting. It made $1.2 million on a universe of stocks (S&P 100) over the last 10 years, has a profit factor of 1.89…
Jun 8
•
Larry Kann
2
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Strategy 4 – Beats the buy-and-hold SPY benchmark in profit and max drawdown.
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Strategy 3 – Is two better than one? It’s certainly more than one…
Let’s turn it up by one. We’ve got two indicators, a trailing ATR stop, some daily charts, profit factors between 2-5 one different asset types, and…
Jun 2
•
Larry Kann
3
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Strategy 3 – Is two better than one? It’s certainly more than one…
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May 2024
Strategy 2 – One indicator on a daily chart
Today’s strategy only uses 1 indicator and has a profit factor over 2.0 on multiple instruments tested.
May 21
•
Larry Kann
1
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Strategy 2 – One indicator on a daily chart
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Strategy 1 -- A simple trading strategy for manual or automated trading
This strategy only uses two indicators, has no optimization, and has a profit factor of 5.9 with a profit of $13k on one ES contract in out-of-sample…
May 15
•
Larry Kann
4
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Strategy 1 -- A simple trading strategy for manual or automated trading
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12
Researching the MACD Indicator in Python
The last indicator to research before trying to create a strategy. Spoiler, one of our visualizations shows us one of the trade entry criteria we are…
May 3
•
Larry Kann
1
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Researching the MACD Indicator in Python
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