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BOOK YOUR FREE STRATEGY SESSION NOW >>Today's video talks about a very interesting and effective strategy that was created by a member of the Unger Academy who shared it with our community.
This is a breakout strategy for the Euro FX quoted on CME.
The system was built in April 2021, and in addition to containing some filters that increase the effectiveness of the entries, it provides some mechanisms for the automated closing of the positions that improve risk management (stop loss, take profit, and a time closure).
Keen on finding out more about how this strategy works? Want to see its equity line and in-sample and out-of-sample performance?
Then watch the video!
Enjoy! 😎
Hey everyone! One of the coaches of Unger Academy here, and today we’re going to be talking about an operational cue from the work of one of the members of Unger Academy. It's a strategy coded in April 2021 on the Euro-Dollar future listed on the CME .
Now the strategy is conceptually very simple and opens positions at the breakout of the high and low of the previous day. Without going into too much detail, there is a very important filter on the times when it is more convenient to enter the market and another important filter concerning the volatility of the market movements that occurred in the previous session. Now all this is of course completed by a stop loss and a take profit combined with an exit after 5 days in case the trade did not move in any particular direction and there were no other entry triggers in the opposite direction.
Then there are two or three expedients used to clean the system eliminating other unfavorable conditions for the development of the trades.
Lastly, the market data are taken from TradeStation, from the continuous contract of the TradeStation future, so the trading hours refer to the time zone of the corresponding market, which is the CME.
The sessions are open 23 hours a day, unlike the Forex market, the spot market. And the trading starting time begins on Sunday at 5pm and ends on Friday at 4pm.
Now let's take a look at the performance that was analyzed when the strategy was developed. We have a successful system that, starting from the beginning of the backtest, so 2008, until April 1, 2021, brought home about $90,600. The equity line is definitely very good. Its ugliest phase was just the initial phase, starting from the beginning of 2008 until 2009, when the strategy had its worst drawdown of more than $15,000. Afterwards its performance remained almost unchanged and constant with a drawdown of around $6,000 - $7,000.
Let's take a look at the year-by-year metrics. Well, the year 2008 was quite tragic. After that period the strategy has never seen a bad year again until the beginning of 2021. You only see 6 trades because the backtest stops at the beginning of April 2021. Here it is.
Lastly, let’s look at the trade metrics. The average trade is very generous, about $ 200, so it is enough, more than enough to cover all costs. There are 450 trades. More or less that's about 3 trades a month, almost one a week. A percent profitable of about 50%, so there will be about 50% winning trades and 50% losing trades. But the average win is much higher than the average loss. Specifically, the average win is $1,400 and the average loss is $960.
Now the last important aspect is that the trader has not used any out of sample when he developed and optimized the parameters to use in the strategy.
Now, after almost a year, about 9 months to be exact, we can see how the strategy would have performed during the "real" out of sample. And I say “real" out of sample because usually, when you use a portion of out-of-sample data, then you analyze it to evaluate the system, and often, a very common mistake is to judge what you did in the “in-sample” part by going to the out-of-sample part and then deciding whether or not to keep the system. This shouldn't be done. And what we're going to see now is the actual out of sample, because the trader had no way of knowing how the market would perform from April until now.
So let's take a look at the results. As you can see, the average trade remained the same and virtually unchanged. About $200. Let's go over the annual period. The year 2021 ended on a positive note with 37 trades. So, on average the metrics have remained the same over the entire history.
Let's go look at the equity line. The system has continued to perform pretty well. I mean, obviously, we need to focus on the last part, so the part that goes from April 2021, so about here, all the way until today.
This strategy is of course open-coded and available to all the members of Unger Academy, along with many other strategies that are shared among the community on a daily basis. And sharing is really very useful because it fosters learning and discussion.
What’s important in this video is the very idea of a breakout strategy for a market such as the Euro-Dollar future. Pay attention to the trading hours and try some volatility filters, and you may come out with a very interesting and robust system indeed.
Naturally it is always advisable to personalize the system and adjust it to your trading needs and style. There are those who will feel more or less confident with a certain stop loss. Those who will absolutely want to modify it. Those who will slightly change some filters to make the system more or less aggressive. So for sure, we invite you not to use the strategy as is, but to try to modify and develop it further, always paying attention to the overfitting of the data.
If you are interested in understanding how to build these trading systems, and if you are looking for a profitable way to do it, we use the system of the 4-time world trading champion Andrea Unger. And if you want to learn more about it, in the description of this video, you’ll find a link that will take you to a totally free webinar that will introduce you to this subject.
And with that, this video has come to an end.
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Until the next time, bye-bye and see you soon!
We'll help you map out a plan to fix the problems in your trading and get you to the next level. Answer a few questions on our application and then choose a time that works for you.
BOOK YOUR FREE STRATEGY SESSION NOW >>Andrea Unger here and I help retail traders to improve their trading, scientifically. I went from being a cog in the machine in a multinational company to the only 4-Time World Trading Champion in a little more than 10 years.
I've been a professional trader since 2001 and in 2008 I became World Champion using just 4 automated trading systems.
In 2015 I founded Unger Academy, where I teach my method of developing effecting trading strategies: a scientific, replicable and universal method, based on numbers and statistics, not hunches, which led me and my students to become Champions again and again.
Now I'm here to help you learn how to develop your own strategies, autonomously. This channel will help you improve your trading, know the markets better, and apply the scientific method to financial markets.
Becoming a trader is harder than you think, but if you have passion, will, and sufficient capital, you'll learn how to code and develop effective strategies, manage risk, and diversify a portfolio of trading systems to greatly improve your chances of becoming successful.
