Cobra SPY 009 Trading System

Cobra SPY 009 trading system is ETF version of the Cobra E-mini S&P.  The SPY and E-mini S&P are correlated markets representing the S&P 500.  Instead of trading all 500 stocks in the S&P 500, you can trade just one instrument, the SPY, an Exchange Traded Fund that trades on the AMEX and is considered a stock/equity market or you can trade the E-mini S&P futures traded on the CME.

This strategy is a trend following day trade system entering trades between 11:15 am – 3:30 pm EST.  It can be tough to design an ETF day-trade system, that has enough average profit per trade to manage the transaction costs in the market of slippage and commission.  This strategy uses a $1/share stop loss or $1000 stop loss on 1000 share trades.  The number of shares can be adjust with the inputs.

The Tradestation Performance Summary for the last 5 years is show below for 1000 share trades.  The inputs that are used in this system follow.  Since mid-June this strategy has been making equity peaks up until mid-November.  We are in a pullback, looking for another run.

Cobra SPY 009 Trading System Performance Summary

Cobra SPY 009 Recent trading in December 2011

Cobra SPY 009 System Inputs

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