Introduction
Hello, today we’ll evaluate the strategies in our portfolio that have achieved the best results over the last period.
The Mini SP 500, in particular, has been one of the best performers and one of the markets that has delivered the most significant gains in recent weeks.
One of the coaches at Unger Academy here.
Here, we see two automated strategies on the Mini SP 500 that are part of Andrea Unger’s personal database and which, although they use different logic to make entries, have made up to $18,000 in 2023 and already $4,500 in the first month of 2024.
For our tests, we used a fixed size of one contract, which is the standard unit for futures.
Mean-Reverting Strategy
So let’s go and see the first strategy that I want to show you today.
It is a mean-reverting strategy, which means it will try to open long positions when the market goes down.
It won’t make short entries so this strategy can only go long, so buy, the Mini SP 500 market.
It will do so on days that follow a decline, such as on January 31, when we saw a sharp downward movement.
The market just fell from the beginning of the session to the end and, very significantly, closed at the low end of the maximum range for the day.
In situations like this, the strategy places a long order the next day, let’s say, since it doesn’t believe in the downturn that occurred the previous day.
On February 1, it did well and closed this long trade, taking home the take profit on the last available bar of the day or, rather, the first bar of the next session, making an impressive gain of $4,000.
So, if we look at the report of this strategy, which was codified in 2017, we can more or less say that even the out-of-sample period, namely, the post-development period, showed positive performance.
In general, this strategy brings home very good average trade values because when it doesn’t hit a stop loss or take profit, the trades are closed after four days.
Trend-Following Strategy
Now let’s move on to the next strategy. As I mentioned earlier, the logic of this strategy is opposite to that of the previous one, but as you can also see at a glance, both strategies made a trade on the same day, February 1.
In the previous case, we bought when we had a sort of downturn the day before.
Instead, in this case, we’ll wait for a rise in the current session to place long orders.
Another difference is that with this strategy, we can also place short orders if the market falls sharply.
So, this is a trend-following strategy that buys the Mini SP 500 when the market rises.
And we can see that, on February 1, this strategy also took home a nice gain, in this case, of $2,200.
The gain is lower than the previous strategy, but it’s still an excellent trade that only lasted a few bars and still was able to generate a remarkable profit.
In this case, if we look at the average trade of our strategy, we see that it doesn’t exceed $100.
The overall average trade of the short and long trades is around $91-$92.
The equity line is also quite good, although this system has gone through some particular times…
It’s a strategy that was developed in 2018, and after a good start, has also had some less happy moments. We remember that between 2020 and 2022, there were undoubtedly many, even sudden, declines in this market and that generally the traditional rules of some markets no longer worked properly.
But lo and behold, given this rally around mid-2022, the strategy returned to its equity peaks and continued to perform well until the present day.
This is a trend-following strategy that will close its positions at the end of the day.
This leads to an average trade that isn’t as large as that of a multiday strategy, but still enough to cover commission costs and slippage.
Thank you very much for your attention and see you in the next video!
