Notes: - this strategy is only developed for SPY on the 5 min chart. It seems to work with QQQ as well, but it isn't optimized for it - P/L shown is based on 10 SPY option contracts, call or put, with strike price closest to the entry SPY price and expiry of 0 to 1 day. This includes commissions (can be changed). This is only an estimate calculated using an arbitrary multiplier factor, this can be changed in the setting - P/L is based on $5000 initial capital - Works with both regular / extended trading session turned on/off. However, max drawdown is 1/2 with extended trading session ON - there is still a bug that doesn't allow alert to be created due to calculation error, will update once fixed
This strategy combines signals from the following indicators to determine entry signals: - High Low Index SPY Top 40 - MACD - Linear Regression Slope
Entry signal is triggered when: - High Low Index line crosses the EMA line - MACD trending in the same direction - Linear Regression slope is accelerating above a threshold in the same direction, indicating a strong trend
Profit target(PT) and stop loss(SL) are determined using ATR value, with 2:1 Reward to Risk ratio as default.
Exit signal may be triggered prior to PT or SL trigger when: - High Low Index SPY Top 40 shows a reversal after overbought or oversold conditions (optional) - Opposite entry signal is triggered
There are a number of optional settings: - Turn on/off "option trading", P/L will be calculated using share price only without multiplication factor for trading option contracts - # of options per trade, default to 10 - Reinvest with profit made - Trade with trailing SL after PT hit - Take profit early based on Top 40 overbought/oversold - Trade 0/1 day expiry. This will signal exit by the end of the day on Mon/Wed/Fri, and only exits 1/2 of positions (if in profit) on Tues/Thurs - Can reduce the SL level without impacting PT - No entry between 10:05 - 10:20 (don't ask me why, but statistically it performs better)
Consider donating me some of your profit if you make $$$ hahaha~ ;)
I will try this soon. If I make good money with this I will definitely give you a commission. Thank you.
PtGambler
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@AbhiTheWizard, hahaha that would be awesome! But seems like the current market is not volatile enough to trigger signals~ just keep in mind that this strategy may not work as well in different market conditions outside of the back testing range. Please use that the signals with a grain of salt. Happy trading~
Rocketman
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@Dimagrands, (1) Is there a way to forward test it in MT4? (2) Where did the strategy originate?
PtGambler
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@Rocketman, sorry for the late reply, (1) I am not familiar with MT4, so sorry no (2) I came up with it :) thought it would make sense that SPY would follow the sentiment of its top holdings.
Kickerboi
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nvm
akmaha
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Hi, I checked. It is repainting. Could you please check and if possible edit. Thanks.