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Cobra CT II Stock Indexes
Trades from March 14 - March 22, 2016
Cobra Counter Trend Trading System

Cobra CT II Stock Indexes

The Cobra CT Stock Index trading systems was designed in February 2011 and is used specifically for the E-mini S&P. It has been updated in February 2017 to Cobra CT II to take advantage of new market inefficiencies. This strategy tests well over the entire history of the E-mini S&P and  is designed for Tradestation 9.5, NinjaTrader 7, NinjaTrader 8, and MultiCharts 10.

Some additional rules that we added in April 2012 to improve the strategy are:
    • Surge Exit
    • Gap Limit
    • 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).

    Tradestation Hypothetical Performance Summary
    1/1/2000 - 09/30/2016
    No Slippage or Commission
    CobraCT Vb E-mini S&P

    Cobra CT Vb Input Settings
    Cobra CT Vb Input Settings

    Cobra CT Vb Data Settings
    Cobra CT Vb Data Settings