Cobra CT Vb E-mini S&P for NinjaTrader
The Cobra CT Vb E-mini S&P Trading System, was added in February 2011. It is the latest in our series of countertrend trading systems. This strategy tests well over the entire history of the E-mini S&P.
In the latest version of Cobra CT Vb E-mini S&P, version 5, added on March 25th, 2013, the NinjaScript adds additional exit strategies and the ability to cancel the limit order entry and limit orders based on profit targets to the market after a specified number of seconds. This capability matches what we are able to do in Tradestation when we cancel and replace limit order entries and exits to the market after 3 seconds.
We like to use the LiberalFillWithOpen for backtesting this strategy as the Liberal and Default Fill types do not accurately reflect the fill types needed for the entry that we use. You can learn more about the Fill Types and download the LiberalWithOpen Fill Type and see why we use it here on our NinjaTrader FAQ page for NinjaTrader Fill Types.
Cobra CT Vb E-mini S&P Trading in June 2012
In April 2012, we have added three additional rules to improve the strategy.
1. Surge Exit
2. Gap Limitation
3. Monthly Loss Limit
The Surge Exit when set to True exits when there is a move of PT points within L1 bars if the strategy has been in a trade BS bars. The defaults are 7 for PT, and 20 for L1 and BS. This means that if there is a favorable 7 point move within 60 mins and the strategy has been in the trade for at least 60 mins then it will exit the trade. It operates like a dynamic profit target off of an adverse excursion point instead of a fixed point from the entry.
The Gap Limit when set to True will not take a trade if there is a GapPtsLmt (input) gap move based on the open. This is to prevent catching a falling knife.
The MonthlyLoss rule will stop trading when there is a Monthly Loss based on a closed trade total of $500 or more by default. The monthly loss can be greater since the stop loss of a trade is $600 and a trade could exit at the end of the day for a $450 loss and then take a trade again during the move that is stopped out. The monthly loss could still be over $1000 but if the total loss after a trade is greater than the MonthlyLoss number then the strategy stops trading. To turn this rule “off” set this number to a very high value (ex 500,000).
Cobra CT Vb E-mini S&P Performance, Kinetick Data, 3 Years
No Slippage or Commission