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Increasing Trade Frequency in the E-mini S&P

Posted by David Bean on

We like low frequency strategies but if we can increase the frequency without sacrificing average trade profit and drawdown "too much" and at the same time, increase the Net Profit as a Percent of Drawdown, we like the opportunity. Increasing a strategy to go from 40 trades per year to 75 trades per year is still low frequency from an e-mini S&P day trade perspective. 

In the video, we go over how to setup your SR CounterTrend II v2 to take advantage of this opportunity. Below the video, we discuss some of the technical details for some of the updates.

We have some updates for SR CounterTrend II and SR CounterTrend II v2 that we are sending out.

Update 1: For SR CounterTrend II v2, we separated longs and shorts. For the exits, we looked at the Marketposition to determine if the strategy is long or short. The problem with Marketposition is that a strategy does not know its Marketposition until the close of the bar, so there is no stop loss on the first bar, which is not an issue 99% of the time since we are trading on 5 minute bars and there is typically not a move of 14 points on a 5 minute bar. We use some advanced coding techniques to place a stop loss on the bar. If you have the open code you will be able to see this. If you have the closed code, you will receive the updated code so that you will have a stop loss on the first bar.

Update 2: For both SR CounterTrend II and SR CounterTrend II v2, we found a more efficient function that will allow us to calculate more history without running out of memory. For example, we can not backtest more than 6 years of history on Platinum with the old function but the new function allows us to do this. It does not change the strategy rules and the performance summaries remain the same with the benefit of testing more history at once.

 


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