Strategy 19_ESNQ
A ES/NQ futures day trading strategy. This strategy has 906 trades since 2015 and a CAGR of 31.99%, MaxDD of -26%, MAR 1.23, 57% accuracy, 1.59 profit factor, and 1.18 Sharpe.
Disclaimer: the following post is an organized representation of my research and project notes. It doesn’t represent any type of advice, financial or otherwise. Its purpose is to be informative and educational. Backtest results are based on historical data, not real-time data. There is no guarantee that these hypothetical results will continue in the future. Day trading is extremely risky, and I do not suggest running any of these strategies live.
The first week of December is just about over. There has been some good price action on ES (the instrument I day trade) so far this week, making it a fun week to trade. I have also doubled down on creating some simple trade strategies and I started adding them into portfolio strategies to start testing their performance together. It's been a productive week.
Today's strategy is a simple futures (ES/NQ) trading strategy that uses the MACD (moving average convergence/divergence) indicator and Chaikin's Money Flow (CMF) to time entries. I places trades at the open of the day and holds them to the close of the same day, making it a "day trading" strategy. This means it doesn't hold overnight. It also makes the results a lot more conservative. The jury is out on whether that makes them more reliable or not, but I am inclined to think it does.
I want to give a shout out to a newsletter that I just got introduced to. One of the traders in the HGT Signal chat publishes a monthly newsletter (e-mail newsletter) and recently sent me the link to sign up. I have been toying with the idea of creating some type of broad market report to look at monthly or weekly, and now I can postpone that because this newsletter does a good job of it. If you are interested in looking at it, check out the link below (you can subscribe from there):
Strategy 19 Results
The full report for 19 can be found here:
Before getting into the strategy logic, I want to show the different results for this strategy. Since this strategy has both a long and a short side, it's nice to see how they perform individually too. I have also added in the results for this strategy being added to a portfolio of day trading futures strategies. The strategies included in this portfolio are strategies 7, 8, 12, 17, and 19 (long and short). The results below show the portfolio results without 19 and with.
Strategy 19
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