S&P 500 Trading: Two Strategies Averaging Over $220 per Trade

In this article, we’ll analyze two trading systems developed on the E-mini S&P 500 futures that, despite using different trading logic, share one particularly interesting metric: an average trade of more than $220.

The E-mini S&P 500 (ES) is one of the most liquid and widely traded equity index futures in the world and one of the primary instruments used to trade the S&P 500. Its high liquidity makes it particularly well suited for developing systematic strategies, both intraday and multiday.

The two strategies we’ll examine are part of our trading system portfolio and both operate on ES using a 15-minute time frame. Despite trading the same market, they use different entry triggers and logic, showing how different approaches to the same underlying market can identify different opportunities and contribute to the diversification of a systematic portfolio.

We’ll take a closer look at how these two strategies work, the rules they use to enter and exit the market, and the results they have generated over the long term.

S&P 500 Mean Reversion Strategy Using Previous Session Highs and Lows

The first strategy operates on the E-mini S&P 500 using a 15-minute time frame and generates its signals by combining price patterns with technical levels derived from the previous session.

The main trigger is based on the previous session’s highs and lows. When one of the system’s predefined patterns occurs, the strategy does not enter the market immediately. Instead, it places a limit order at one of these two levels:

• for long trades, the entry is placed at the previous session’s low
• for short trades, the entry is placed at the previous session’s high

The idea is to wait for the market to reach an extreme area before opening a position, looking for a subsequent move back in the opposite direction.

This structure also includes a long setup called DayDrop. The setup is activated on Mondays or Wednesdays when a specific pattern of market weakness is detected.

In this case, the logic is different. Instead of waiting for price to return to the previous session’s low, the strategy can enter directly at market during the early hours of the session. The idea behind DayDrop is to treat a particularly sharp decline as a potential buying opportunity, looking to take advantage of a subsequent price recovery.

Risk management includes different stop losses for long and short trades, set at $1,700 and $1,200 per contract, respectively, along with a breakeven level at $1,250 and a $5,000 profit target.

Performance of the First E-mini S&P 500 Futures Strategy

As shown in Figure 1, the strategy has produced an overall smooth and upward-sloping equity curve over the long term, reaching a cumulative result of approximately $250,000.

The growth has not been without drawdowns and sideways periods, but overall, the system has maintained good consistency throughout the historical period analyzed, with a particularly noticeable acceleration in the more recent portion of the test.

Looking more closely at the performance shown in Figure 2, the strategy generated 1,132 trades, with an average trade of $220.77 and a 50.44% win rate.

There is also a clear predominance of long trades, which account for 1,070 of the 1,132 total trades, while only 62 trades were taken on the short side.

The strategy is therefore primarily designed to take advantage of bullish and recovery opportunities in the S&P 500, with the short side playing a much more limited role.

S&P 500 Mean Reversion Strategy Using Pivot Points

The second strategy also operates on the E-mini S&P 500 using a 15-minute time frame, but it follows a different, long-only approach based on classic Pivot Points calculated using data from the previous trading day.

At the beginning of each new trading day, the Pivot Point is calculated as the average of the previous session’s high, low, and close. The first support level is then calculated as twice the Pivot Point minus the previous day’s high.

The entry trigger looks for a downside price extreme followed by a recovery. For the setup to become active, the current day’s low must first fall below the previous day’s low. Price must then move below the first support level before closing back above it.

Once this recovery is confirmed, the strategy opens a long position at market on the following bar.

The logic is therefore typically mean reverting: the system does not simply buy while the market is falling. Instead, it waits for the market to show an initial reaction after reaching an area of significant weakness. Entries are also restricted to a specific time window, approximately between 5:00 a.m. and 4:00 p.m.

Position management is particularly simple, with a $900 stop loss per contract and a $2,400 profit target.

Performance of the S&P 500 Pivot Points Strategy

As shown in Figure 3, the second strategy has also produced a rising equity curve over the long term, reaching a cumulative result of more than $100,000. Its performance, however, has been less consistent than that of the first strategy, with some prolonged sideways periods, particularly in the middle portion of the historical test.

From around 2020 onward, growth becomes more pronounced again, with the strategy reaching new equity highs even in more recent years.

The statistics shown in Figure 4 include a total of 380 trades, all exclusively long, with an average trade of $271.91. The win rate is relatively low at 35.53%, but this is offset by a particularly favorable ratio between the average winning trade and the average losing trade.

The strategy’s profitability therefore does not depend on a high percentage of winning trades, but rather on its ability to generate profits that are significantly larger than its losses when the expected recovery move develops as anticipated.

Systematic S&P 500 Trading: Diversifying Strategies on the Same Market

The two strategies analyzed here show how different trading systems can be developed on the same market using different trading logic.

Both operate on the E-mini S&P 500 using a 15-minute time frame and seek to take advantage of periods of weakness followed by a potential price recovery, but they do so using different triggers, entry levels, and trading structures.

This diversification of trading logic is one of the most important aspects of building a systematic trading portfolio. The goal is not to rely on a single strategy, but to combine systems capable of identifying different opportunities and potentially behaving differently under varying market conditions.

Thanks to its high liquidity and the wide range of trading opportunities it offers, the E-mini S&P 500 remains a particularly interesting market for developing systematic strategies and building diversified portfolios.