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A Swing Trade Strategy for the E-mini S&P, E-mini Nasdaq, and E-mini Dow

Stock Index Swing Trade

Our Stock Index Swing Trade strategy is an automated trading system designed to trade the E-mini S&P (ES), E-mini Dow (YM), and E-mini Nasdaq (NQ). It can also trade the E-mini Midcap. It enters trades after the first 15 minutes of the day session and will hold trades until it hits its profit target or its stop loss.

The stop loss and profit target are only effective during the day session (and why the largest losing trade is bigger than the stop loss since the stop loss is not effective at night). We close any open trades on Friday afternoon and do not hold trades over the weekend.

There are several modifications to this trading system that allow us to day trade by exiting a the end of the day or to use stops losses and profit targets overnight. We can also enter trades at other times besides during the first bar of the day.

Stock Index Swing Trade Performance Summary E-mini S&P (ES)
Base System, Exits on Friday afternoon, traded on day session RTH bars only
(not 24 hour session),
no stop loss or profit target overnight.
No slippage or commission included
$1000 stop loss, $1000 profit target
04/1998 -09/30/2016
Stock Index Swing E-mini S&P

We can close trades at the end of the day and it works for a day trade strategy with an average trade profit of $95.76 before slippage and commission. 

Stock Index Swing DayTrade E-mini S&P

The 24 hour session data can be used for the swing version of the strategy with the stop loss and profit target in effect at night. The results are slightly worse than our original strategy (first performance report). The results for both long and short trades are shown below for the strategy using the 24 hour session data and the stop loss and profit target effective at night. Keeping stop losses in at night can manage catastrophic risk but gives up some profit over time since we would miss profiting from the big overnight gaps in the direction of the trade that would be capture if only traded on 24 hour session data. The results below also exit by Friday’s close so there is not weekend risk.

Stock Index Swing E-mini S&P Overnight

What happens if we use the signal at any time during the day session instead of limiting it to the first bar? So far, the strategy has only entered trades on the first bar of the day session based on the concept of entering trades based on high volume in the first 15 minutes of trading. We will get a profitable strategy with a higher total net profit but the average trade profit drops dramatically as the number of trades goes up. The performance results for this setup are shown below. This holds positions overnight and is tested on day session only data which means the profit target and stop loss are not effective overnight. It does not hold positions over the weekend.

As we update these reports on 9/30/2016, this approach is the most profitable. The conservative approach relied of the first bar on the volume behind moves at the beginning of the day. Trading only on the first bar has under performed since there are many "head fakes" in lower volatility markets. Being able to take a signal on any 15 minute bar has been a key factor in this market.

Stock Index Swing Aggressive Overnight e-mini S&P

This strategy works in Tradestation and MultiCharts and the results do not include slippage or commission and are based on hypothetical backtested results.

Tradestation Performance Summary for E-mini Nasdaq (NQ)
No Slippage or Commission
Day Session Only data, exiting on Fridays
$1000 stop loss, $500 profit target
Stock Index Swing E-mini Nasdaq

Tradestation Performance Summary for E-mini Dow (YM)
No Slippage or Commission
Day Session Only data, exiting on Fridays
$1000 stop loss, $500 profit target
Stock Index Swing E-mini Dow

Inputs For Swing Trade Stock Index Trading System
Stock Index Swing E-mini S&P E-mini Nasdaq E-mini Dow Input Settings

These are the default inputs.  For NQ and YM, the profit is set to 500 instead of 1000. To use this as a day trade strategy, simply set DayTradeExit to True and set DayTradeExitTime to 4:00 pm EST in your timezone. For example, set this to 1500 if your computer timezone is on CST. The time based inputs are based on EST. To take entries throughout the day, set TradeOnlyOnFirstBar to False.

The workspace setup for the base system that uses day session RTH data only is shown below.

Stock Index Swing Data Settings

A different file and workspace setup is need to trade this strategy on the 24 hour session data. The inputs for the 24 hour session strategy are the same but the workspace setup should be setup as shown below.

Stock Index Swing Data Settings 24 Hour e-mini S&P e-mini Nasdaq