E-mini S&P, E-mini Nasdaq, E-mini Russell, DAX
Tick Pulse V10
$TICK Pulse V10 is an indicator based trading system released on June 28, 2018 to include some additional input that allow VIX Filtering. In early July 2018, some additional inputs were added to limit daily losses on a closed trade basis as well as input to limit daily entries. This strategy uses the NYSE TICK on 15 second intervals to quickly capture trades that take advantage of buy and sell programs or pulses in the stock market. The data is used to trade the stock index futures. Tick Pulse was originally developed at the end of 2015 and zooms into the market on these shorter 15 second time frames.
Traditionally, we have used one minute time frames or higher for most of our trading strategies and those trading strategies that use more than one data series such as the NYSE market internals (NYSE TICK, NYSE ADVANCERS, NYSE DECLINERS).
This shorter time frame gives us "quicker" signals. As more and more traders compete for profits in the algorithmic trading world, we find that some of the trends happen more discretely and we have to use shorter time frames to detect new trends more efficiently.
The video shows the trades from September 9, 2016, as there was a nice bear trend after a very low period of volatility. (The last time the stock market indexes made less than a 1% move in August was in 1995) Even if we anticipate a move down, (or up), it is not always easy to know how to capitalize on these moves. That is why we use our trading systems to put us into trades that have the potential to capture trends.
With 15 second charts, we are able to capture about one years worth of historical data within the Tradestation Platform for both NYSE TICK and the stock indexes. The performance summary for each stock index is below. The E-mini S&P, DAX, and E-mini Russell are our favorites based on the equity curve and average trade profit. Some markets are less liquid (such as the E-mini Midcap) and some markets have lower average trade profits (such as E-mini Dow and Euro Stoxx). We have found this to be true for most systems for these markets.
The performance summaries are shown below for seven different stock indexes. The performance summaries do not use slippage and commission. (The reason for this is so that we can compare raw results between platforms since different platforms calculate slippage and commission differently. The average trade profit is one of the key factors that we look at to make sure it will be profitable.) The E-mini S&P, E-mini Russell, and DAX are our three favorite markets for this strategy.
Tradestation Hypothetical Performance Summary, TICK Pulse V10 E-mini S&P
08/14/2015 - 02/17/2017
No Slippage or Commission
Price is not required to exceed the limit for fills
*First trade is on 8/14/2015