S&P 500 Benchmark Strategy

8 Apr 2018

This strategy is a Benchmark Trend trading strategy. I used it primarily to measure my private algorithms against. It works on a variety of instruments at intervals between 1m and 1d (you'll have to play with some of the ranged variables in these cases). It was primarily designed to trade the 15 minute interval on SPX derived products. S&P E-Mini contract featured above.

It hits what I consider to be key targets when developing an algo:
1. Avg Trade is above $50
2. Profit Factor is above 1.2 (preferably above 1.5)
3. Has a relatively small draw-down
4. Is able to be traded both long and short

Notes/Options:

• Can trade within market hours (default), outside market hours (with open inside), or anytime
  
• Can adjust lengths for trend calculations
  
• Algo tries its best to avoid fake-outs by using a volume component, this means that it misses 'slow rises' sometimes
  
• By default it tries to only enter trades between 0930 and 1600. If the trade has left the station, it will wait for the next setup.
  
• Stop loss level has a big impact on performance per instrument - default is 20 ticks but this has to be changed per instrument (I plan on updating this with code to auto-magically generate appropriate stop levels
  

As a Trend Following algorithm, it is vulnerable to chop zones but has been particularly resilient over the past few months when traded at 15m or 1h intervals. It is designed to trade against the 'current' market that has more frequent whipsaws. When used over generic bull market periods, it fails due to the high number of failed short trades and trimmed long trades. It works in a medium/high volatility environment.