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Recruitment of participants Futures Trading Strategy F100: Swing Trade Nasdaq100, S&P500 and Dow Jones

Discussion in 'Tradestation' started by Dron, 24 January 2024.

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Dron
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  1. Dron

    Dron Well-Known Member
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    #1 Dron, 24 January 2024
    Last edited: 24 January 2024
    Futures Trading Strategy F100: Swing Trade Nasdaq100, S&P500 and Dow Jones

    The Futures Trading strategy works best for Nasdaq, SP500, and Dow Jones futures. It’s a mean reversion strategy, but you can apply the code for many other futures contracts.

    The backtest is done using Tradestation data from Chicago Mercantile Exchange (CME) on continuous and back-adjusted data and using exchange hours (0930-1600 NYT).

    The backtest trades at the close, is based on daily bars, and is from the contract’s inception until today. The strategy can also be traded on tomorrow’s open, but performs slightly worse with this setting.


    The equity curve (@NQ.D):

    upload_2024-1-24_17-31-22.png

    Performance metrics (@NQ.D):

    upload_2024-1-24_17-31-38.png

     
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