Intraday mechanical system

Discussion in 'Strategy Development' started by thetrendfollowe, Oct 22, 2007.

  1. Hi,

    Does anybody here trade a mechanical system on intraday timeframes?

    If so, what markets do you trade?

    What timeframes? eg. 1min, 5min, 15min, etc

    And what returns are you pulling per annum?

    What is win% and profit factor?

    And how about average trade length?

    # trades per week?

    Just curious, thanks for any responses.

    I trade usually longerterm mechanical systems but thinking about experimenting with shorter time frames to decrease market exposure and increase trade frequency.


  2. I trade my own self-developed system on the SPY. Intraday, 5-min timeframe. For the last seven years - average 56% per annum, lowest year 15%, highest year 186%.

    Percent win is 56% for longs and 61% for shorts, profit factor 1.87 and average trade length is 4 hours. 3-5 trades per week. The system is tracked by PM me if you want more details.

  3. Kuran47


    Yeah, I do. Among other systems. Multiple systems on multiple markets on multiple time frames for diversification purposes.

    But I'm just a small time trader... Sometimes I can't allow a system to trade on a particular market as the other systems on other markets have used up [my margin requirement / buying power + comfort zone]. One of the disadvantages of being a small time trader.

    Check out a few I posted at my blog:

    While you're there, you might as well check out a few other things I've posted there as well.
  4. Mike,

    Thanks for your thoughts. I think there is great potential in intraday trading. Though I was thinking 5-10 trades per trade. 3-5 trades a week is not much for an intraday system. But hey 56%pa is nothing to scoff at.


    Thanks. I have bookmarked your blog for later reference.

  5. I use the method for three primary reasons - 1) I can use this method on several products which I trade (ER2, ES, NQ, YM, and DAX). 2) I can trade this method on a variety of time frames suited for my own style. 3) I can scalp or short term position trade.
  6. i use intraday sistem which i created myself. He based on 30- min.There are 3-5 tades per week. Average winning per month is 10% with leverage 1:2. I trade this sistem on future on russian exchange RTS
  7. this is perfomance
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  8. test on 2 years and 2 months.
    2 opt parametrs for long and 4 opt parametrs for short.
    I trade a russian index RTS.
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