strategy for emini S & P 500 - it's working with end of day data. There is one hour pause between days in eminis&p500 trading.
Ideal time to calculate signal - this strategy can be traded manualy or by automatic system.
slippage 1 (for more realistic)
fees 2,5$ per contract
Entry - day Open after signal is generated
Close - day Open after exit condition occur
max contract held 2 (23 times only from 367 trades) - 344 times only 1 contract
30000$ is minimum because overnight maring for ES is about 7500$ and max drawdown is 12000$, you must be able to hold 2 contract. When we don't want hold two contracts only 20000$ is enough. StopLoss is 2780$.
Only 4 days average bars in trade!
This example is from 1997 to today (6.3.2017). 20 years history.
***Check on Equity curve result BOX - BUY&HOLD EQUITY to compare***
Blackline is S&P500 performance. Between 50-100 trades are years 2000-2002 (dot.com bubble) and 200-250 trades, years 2008-2009 (market crash). My strategy works fine in these years.