Momentum. S&P Futures (ES) 5 Minute. Version 5.06

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Judith White
6 years ago
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1 Momentum S&P Futures (ES) 5 Minute Version 5.06 Overview Momentum is a trend strategy. The Momentum strategy will enter a long or short trade when the market is presenting a trend with significant momentum. Once the momentum is confirmed the strategy will also look for a pullback prior to taking an entry. This Momentum is an Intra-Day strategy. This strategy was designed specifically to work on the S&P Futures Contract (ES) on a 5 minute interval. The strategy does not trade on the last session of the week. Momentum tends to weaken during the last session of the week. Back testing and optimization is performed on data extending back to September 1 st, Please forward any questions to: support@keystonestrategytrading.com TradeStation Bug This strategy exposes a TradeStation bug. This has been reported to TradeStation and is a known issue at TradeStation. Currently there is no scheduled date for fixing this bug. TradeStation did provide a workaround. Please review the issue and the work around as provided by TradeStation and explained in this document below. 1 P a g e

2 New to version 5.06 The time for closing a position is changed from 4:10 CST to 3:10 CST. This did reduce the overall net profit, however it also reduced the overall risk of the trade which greatly improved risk/reward ratios for the Strategy. In October of 2014, the strategy reached a milestone. The strategy has now been trading on a live account for 1 year. This coupled with the decision to change the time for closing a position triggered the need to complete a new optimization. The optimization resulted in 1 minor change to the momentum algorithm. There is also several minor changes to the exit parameters a shown below. Input V5.05 V5.06 ProfitTarget StopLoss ProfitTargetLE StopLossLE ProfitTargetSE StopLossSE BreakEvenLE BreakEvenSE The optimization also resulted in an update to the beginning time that the strategy will take a trade. The time is adjusted from 9:00 CST to 9:10 CST. The colors for the indicator are updated to provide more clarity for when a signal for entry is eminent. 2 P a g e

3 Parameters: ProfitTarget StopLoss ProfitTargetLE StopLossLE ProfitTargetSE StopLossSE BreakEvenLE BreakEvenSE Profit Target for the initial bar when the strategy enters a position Stop Loss for initial bar when the strategy enters a position Profit target for long entries after initial bar Stop loss for long entries after initial bar Profit Target for short entries after initial bar Stop loss for short entries after initial bar Break even for long entries after initial bar Break even for short entries after initial bar 3 P a g e

4 Parameter Settings: Please visit the Keystone website for the input parameters based on the most recent optimization. Current input parameters: 4 P a g e

5 Exit Criteria The strategy will exit when the first of these criteria is met: 1. Profit Target is achieved. 2. Stop Loss is realized. 3. Break Even Stop is triggered. 4. Time Exit. 5. ATR Trailing Stop is triggered. 5 P a g e

6 Momentum Indicator The Momentum Indicator will provide a visual and audible indication when the current bar supports a potential trade. The histogram will turn darker as each of the Momentum levels are achieved. It must be positive to enter a long position and negative to entry a short position. If the current bar meets the momentum criteria and an adequate pullback is identified the bar will turn green. If the bar sustains this level and the bar closes green, the strategy will enter a trade. The histogram will be white when the current time is outside of the time the strategy will actually enter trades. The following page contains an example of a long position and a short position. 6 P a g e

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8 Momentum Net Change Indicator The momentum net change indicator provides the levels where the price must be in order to enter a position. The price must be above the blue line to take a long trade and the price must be below the red line to take a short entry. 8 P a g e

TradeStation Bug and Work Around This strategy will adjust the profit target and stop loss on the subsequent bar after the entry bar. For short entries only the stop loss is not adjusted correctly.

9 TradeStation Bug and Work Around This strategy will adjust the profit target and stop loss on the subsequent bar after the entry bar. For short entries only the stop loss is not adjusted correctly. TradeStation is aware of the issue and is working to have it corrected. Currently there is no committed date for fixing the issue. TradeStation did provide a workaround as detailed below. Under format strategies select the Automation tab. Ensure that Send strategy generated stop orders directly to the TradeStation Order Execution Network is NOT selected. 9 P a g e

10 DISCLAIMER: There is a risk of loss in futures, forex and options trading. Do not trade with capital you cannot afford to lose. There is a risk of losing all or more of your initial investment. Past performance is not necessarily indicative of future results. This strategy, indicator and any supporting documentation and/or videos are not intended to be a recommendation to buy or sell any futures or options market. All information has been obtained from sources, which are believed to be reliable, but accuracy and thoroughness cannot be guaranteed. User, Readers and/or Viewers are solely responsible for how they use the information and for their results. TradeStation and EasyLanguage are registered trademarks of TradeStation Technologies, Inc. Neither TradeStation Technologies nor any of its affiliates has reviewed, certified, endorsed, approved, disapproved or recommended, and neither does or will review, certify, endorse, approve, disapprove or recommend, any product or service that offers training, education or consulting regarding the use of EasyLanguage. CFTC RULE 4.41 HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN. 10 P a g e

IBH Cumulative Tick Table of Contents

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