My ES Day Trading System Rules

Discussion in 'Strategy Development' started by jaywireman, Mar 25, 2008.

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  1. I wanted to share a system I have been using for the past few days with some great results. I welcome any comments/feedback you can provide to improve the rules.

    You can contact me via PM or at my email: WIREMAN_JAY@YAHOO.COM

    Here is the setup for tradestation:

    1) Create a 3000 tick bar chart of the @ES.D. The system also works on the @ER2.D.

    2) Insert a 9 period EMA moving average. Make this line white.

    3) Insert a 55 period SMA moving average. Make this line magenta.

    4) Insert the Tradestation built-in indicator "TrendLines Automatic". Use the following settings: TrendLines Automatic(4,4,10,"Yes","Red","Blue","Intrabar").

    5) Insert the MACD indicator. Use the default settings: 12,26,9.

    Here are the trading rules:

    1. Red line-this is the resistance line. This line will only be used for buy signals. One close above the red line and you can take a long(buy) entry on the open of the next bar.

    2.Blue line-this is the support line. This line will only be used for sell signals. One close below the blue line and you can take a short(sell) entry on the open of the next bar.

    3. White line-this line is your intial stop line and trailing stop line. Once you close above the red line or below the blue line then you use the white line as your stop. For ex: if you close one bar outside of the red line would be a buy signal at the open of the next bar. After entry your intial stop and trailing stop would be one close below the white line after entry.

    4.Yellow/cyan line-these two lines are at the bottom of the chart. If the yellow line is above the cyan line the market is in an uptrend. If the yellow is below the cyan then the market is in a downtrend. The wider the lines are apart from each other then the stronger the trend in that direction. Also, you will notice a green horizontal line just near these lines. If both lines are above this green line(also called zero line) then the market is in a strong uptrend. If both lines are below the green horizontal line then the market is in a strong downtrend. In uptrends you like to see the yellow above the cyan and both lines above the green(zero line). This indicator validates the breakouts and breakdowns when you enter the market.

    Here is a screen shot from March 20th, 2008:


    Hope this helps my fellow traders.

    Feedback and comments are welcome.
  2. nkhoi

    nkhoi Moderator

    nice! and best of all you don't even have to draw any TL.
  3. nkhoi

    nkhoi Moderator

    what happen to the chart?
  4. Here is the chart again. Don't know what happened with the link.

  5. (1) Has this been tested on at least 100 sample trades and in different market conditions. For example, how did it perform in 2005 or 2006? And what were the results?

    (2) It seems to me that successful day trading always involves a fair degree of judgement of current market conditions. In other words, thinking about what is going on. That's why I don't believe in mechanical only day trading systems. But, perhaps there are better traders than me that have made the mechanical only approach work for them. IMHO researched rules + market judgement is what works.
  6. pismo10


    Like similar trend following systems, it will do well in trends and get destroyed in choppy markets.
  7. Baywolf


    TS's auto trendlines are horrible. You are better off charting your own.

    I will take a look at your system when I get off work later. Thanks for the disclosure of your system.
  8. That's what I was thinking.
  9. We got a problem.

    This system works fine if the market is trending during the entry. If its choppy it will kill you. Unfortunately, markets chop a heck of a lot more than they trend.

    Have you backtested this because I can almost guarantee a negative equity curve.

  10. topstep


    #10     Mar 26, 2008
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