Hey everyone, and welcome back to our usual chat that we have about the strategies in our portfolio that have performed the best over the last period.
Okay, so this week, I want to talk to you about the SP 500 futures.
We are in the week leading up to the release of the CPI data, which is the U.S. inflation data, and also, the release of the meeting of the U.S. central bank, the Federal Reserve, on Wednesday, at which the Federal Reserve will decide whether to raise interest rates and by how much, and we’ll see if it also hints at what the bank will do in the future.
So, the SP 500 will be one of those instruments that will probably be affected during these releases.
In the past few weeks, we’ve had two strategies in our portfolio that performed pretty well on SP 500.
One comes directly from our founder Andrea Unger, who developed this system a few years ago and then it was also slightly modified. As you can see, for example, on days like this, the strategy really makes a very high number of trades.
And as you see, the take profit is very close. Indeed, we’re talking about a take profit as low as $350. So, for this product, which has a Big Point Value of $50, they’re equivalent to only 7 points of monetary excursion.
The strategy enters both long and short in conjunction with some levels calculated from the day’s opening.
As in this case, for example, where the day’s opening occurred, as you can see here on the left side of the screen.
And starting from that level, we calculate – using the range of the current day’s – we calculate some levels above and below the opening where we’re going to place the long and the short orders.
This is a counter-trend strategy, and consequently, it enters long at the level below the daily opening, and enters short at the higher level, as in this case, where you see this slightly higher level.
Every time the market bounces off our level, the strategy enters the market and places stop and take profit orders and obviously hopes, let’s say, to reach the take profit.
But as you can see, there are also quite a few stop loss orders.
This is a strategy that opens many trades, especially in times of high volatility, and as you can see, these are levels to which the market certainly reacts to.
So clearly, it’s essential to use rapid time frames in strategies like this, because otherwise, the execution could be too fast, and then in live, we could have, for example, false signals or could even omit entries.
Nevertheless, we’ve had this strategy in our portfolio for a few months, and I can tell you that it works.
And especially this year, it’s definitely helped us benefit, let’s say, from this market, which recorded a significant decline in 2022, as you can see from the Buy & Hold chart.
We’re now having a sort of relief rally but unfortunately, it hasn’t given any clear recovery signs.
In any case, this is an excellent strategy that, if you look at the short side, it’s been able to make some outstanding gains.
The long equity, on the other hand, has struggled the most. However, it is still positive over the last 365 trading days, and the overall equity line is this.
The average trade obviously can’t be very high in this system.
However, we do already see results without slippage here.
In fact, we’ve already estimated a cost of $20 per trade, so although this is certainly a low Average trade, we should remember
that the potential slippage and commission fees that we would pay when trading a Mini SP 500 contract have already been considered.
Let’s now turn to the next strategy, which is also quite unique.
Maybe some of you have already seen this strategy in some previous videos.
This is a reversal strategy that can also work in a trend-following way and enters in conjunction with round numbers.
So, you see, for example, in conjunction with this level, 4000 points, a short trade was made – on different days of course –and this trade was then closed with a take profit.
Also, at the lower level, at 3950, so in increments of 50 points, this strategy can place orders, and it can open short or long positions.
Now let’s move on to the report on this strategy. This system also has a take profit on the long side, which is relatively short.
I mean, we’re talking about $900 here, while on the short side, we’re going to let the trade run a little bit longer because, as we know, these markets, the stock markets, when they go down they generally collapse abruptly, whereas when they go up, they go in upswings, if you will.
So, the target on the short side will be higher, $2,400.
Again, we added the same rule for slippage and commissions, so we see the net results.
In this case, the average trade was higher than the previous strategy, but this strategy does make fewer entries.
And this has been the equity line for the last 365 days.
You can see some terrible times, I mean a $20,000 drawdown.
This is a product that, as I mentioned earlier, has not been easy to trade in the last year.
But here is the thing, starting with the summer, namely, June 2022, and for the next six months through December, this strategy has been performing very well.
Again, we see that the short side is the one that has produced, for example, in this case, a handful of trades that have produced some outstanding results.
In contrast, the long side is the one that made our account suffer the most in the early stages of the backtest.
So, guys, go and give it a try as well. Look, these strategies, they are a little bit different than the usual ones, and I do hope that you appreciate that.
If there is anyone among you interested in the world of systematic trading, I recommend that you go and click on the link in the description of this video. From there, you’ll be able to watch a free presentation by Andrea Unger, or you can go and get our best-selling book by just covering the shipping costs, or book a free consultation call with a member of our team.
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And with that, that’s it for today! We will see you soon in our next video. Until then stay safe, bye bye!
