Strategy on RUT. Search for the best system.

Discussion in 'Strategy Development' started by gg12, Feb 1, 2007.

  1. gg12


    I found a nice system based on the Russel Index RUT.

    Based on a 2 point grid a nice profit would have been made the last 10 days. Please see attached graphics for details.

    I compared the INDU, SPX, NDX and RUT. But RUT is clearly the best INDEX for profit.

    To execute the strategy an instrument like the ER2 future or IWM options are necessary.

    Who has made experiences on RUT strategies to share with all?
  2. gg12


    The next executable signal (#1) is

    Long Stop 802 with TS at 2 point grid (currently 800)
    no profit target

    (System is always in the market and reverses at the TS-points).

    Attached are the trades in real slippage conditions (please see the gap, which made real live not as easy as theory).
  3. I do not understand how you draw your lines. Please explain. Thanks.
  4. gg12



    The first trade has been entered at

    802 (open long position)

    It has been stopped out at 804, because of the Trailing Stop (2 points) with a gain of points.

    Hope the attached graphics explains the drawing.
  5. tyler19


  6. gg12


    #2 is break even
    #3 is ongoing

    See attached graphics
  7. tyler19


    Once the price hits your stop on the RUT chart, It looks like the ER2 futures chart is way past a two point loss already. How do you deal with this?
  8. tyler19


    The trade that got stopped out on 2/1 at the end of the day would have reversed for a loss first thing Thursday 2/1.. Correct?
  9. gg12



    I have no mapping (or System) to the ER2 Future yet. Therefore the signals which you see are for the RUT
    and could be taken with the instrument ER2 Future in the moment the signal is produced.

    For the trade on 1/2 you are right. That was a loss due to the protective trailing stop. It was simultaneously the opening of a long position.

    I will add that trade as #0 to my statistics.

    #0 short 800 closed @ 802 -2 points
    #1 long 802 closed @ 804 +2 points
    #2 short 804 closed @ 804 0 points
    #3 long 804 ongoing TS currently @ 806
  10. gg12


    I have added all trades (#0-3) in a graphics (see attached)
    #10     Feb 2, 2007