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Cobra CT II Stock Indexes NinjaTrader 8

Cobra CT II Stock Indexes NinjaTrader 8

The Cobra CT Stock Index trading system 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 availabe in the NInjaTrader 8 platform as of April 2017.

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).

    NinjaTrader 8 Hypothetical Performance Summary
    1/1/2006 - 05/04/2017
    No Slippage or Commission

    Cobra CT Vb NinjaTrader 8 Input Settings

    Cobra CT Vb NinjaTrader 8 Data Settings