i like the project man. Curious about something similar only designed for the VIX on higher time frames.
I put in a lot more hours in the past week and got it working with NT backtesting...which means I could tweak and make everything much better. There is still plenty of work to do to fully build it out, but the framework is here. Here are the past 8 trading days which captured 430 NQ points (this is sim backtest). These results are trading 1 NQ roundtrip. I have ideas on order management for multi-contract trades, but this is just for testing. I said earlier in the thread that I'm only interested in the open, but this is flipped now. These results do not include the open. I will create a new strategy similar but dedicated to the open which is a whole other animal. Also, details I mentioned earlier do not apply now. This version is totally different from earlier versions. It had one small losing day, and today was very slightly green.
Explain, I’m already running it on MNQ for testing and the signals are correct. Keep in mind this is a low frequency strategy in a liquid instrument.
yes, I need to add the commissions which would’ve been about $600. Also keep in mind that ninja trader back testing is not perfect because it takes the price at the beginning of the following bar which actually hurts the strategy since I’m chasing trend. My actual results so far have been slightly better than back testing results.