In this video, we reveal, with open code, an extremely simple strategy for the E-mini Nasdaq, using market patterns to answer frequently asked questions such as:
- How do you develop trading systems?
- Do you optimize?
- What is the in-sample and out of sample?
This strategy represents a simple pattern that isn't numerically optimizable for the entry. It takes a long trade after 5 minutes of trading if the price is above yesterday's day session open and yesterday's day session close if yesterday was a full trading day (not a holiday) that traded until 1615 (or 4:15 pm EST).
It was released in mid - 2022 as we discuss it here:
https://www.youtube.com/watch?v=JdLWt8XAhBs
This strategy worked well until about June 2023, after a big run-up. The gains were enough to use the max drawdown as a trailing stop loss.
Was it optimized?
We test different stop loss values to show the outcome.
We build portfolios of trading systems by combining many simple setups. We anticipate strategies will eventually degrade and portfolios will need to be adjusted.
The 25 System Portfolio NQ is our latest setup. We go over today's results right before the close and TSLA earnings report.