749 every 3 months
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  • Asset: US Tech 100 (DFB) aka NASDAQ
  • Strategy type: Range breakout
  • Timeframe: 2H
  • Trading style: swing trading
  • Broker: IG Market (Compatible ProOrder)
  • Platform: ProRealTime

I trade this system profitably on a live account, so the bot is kept up-to-date and its performance is monitored regularly.

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The screenshots below were obtained using the following parameters:

  • start: 03-Jan-2021 23:00
  • end: 17-Apr-2022 23:00
  • initial capital: 10,000
  • spread: 1.5
  • Tick by tick mode: True
  • nbContracts = 1
  • flatOverWeekend = 1

 

Screenshot 2022 06 19 at 19.30.06

Dashboard;
nbContracts = 1
flatOverWeeekend = 1

Screenshot 2022 06 19 at 19.30.45

Stats of Closed Trades;
nbContracts = 1
flatOverWeeekend = 1

Screenshot 2022 06 19 at 19.30.52

Perf Calendar;
nbContracts = 1
flatOverWeeekend = 1

 

 

Next, is the backtest result of a riskier variant where trade is allowed to be open over the weekend (by setting flatOverWeekend to 0). This is a higher risk due to potential price gaps on the open.

Screenshot 2022 06 19 at 19.31.34

Dashboard;
nbContracts = 2
flatOverWeeekend = 1

Screenshot 2022 06 19 at 19.31.43

Stats of Closed Trades;
nbContracts = 2
flatOverWeeekend = 1

Screenshot 2022 06 19 at 19.31.53

Perf Calendar;
nbContracts = 2
flatOverWeeekend = 1

 

Out-of-sample performance

2 months’ worth of trading:

  • start: 17-Apr-2022 23:00
  • end: 19-Jun-2022 23:00
Screenshot 2022 06 20 at 08.26.03

Dashboard;
nbContracts = 1
flatOverWeeekend = 1

 

The expected profit, based on historical data is 47 trades x £30.78 (avg trade from the first screenshot above) = £1,446.66.

So £980.00 is not the best performance, but still profitable! May’s been pretty tough with a choppy, ranging market.

Note that maximum drawdown is higher than in the backtest during the development phase. It’s reasonable to assume that the drawdown will be higher when the system is traded live. Even though the drawdown is low compared to the profit potential, based on my live trading results, it’s not uncommon to see 2-5 consecutive losing trades, so what you see as the maximum drawdown may appear fairly often.

 

How does the bot perform in the “real world”?

Below is the bot’s performance on a live account (“Davey.I.variant”). The following parameters were used for the backtest to show like-for-like results:

  • Period start: 06-Jun-2022 11:00 (I’m in the UK, so the time is BST)
  • Period end: 19-Jun-2022 23:00
  • nbContracts = 2
  • stoplo = 130
  • flatOverWeekend = 0
  • endOfPlayHH = 20
Screenshot 2022 06 20 at 07.51.04

Equity Curve;
Live vs Backtest

This was a tough week to watch! The bot made 3 consecutive losses… followed by a few very profitable trades that made up for the loss and even made some profit! That’s just the reality of the trading business.

 

Screenshot 2022 06 20 at 07.41.23

Dashboard;
Live vs Backtest

Note the difference in the profit is also due to the fact that the last 4 trades on my live account were £2.05/point instead of the constant £2/point in the backtest.

I’ve been running various versions of this system on my own account since Feb 2022. My bet size has been mostly fixed to £2/point and, at the time of writing on 20th June 2022, I made a net profit of circa £6,600 in 4.5 months! The system works and I invite you to try it out for yourself.

 

In case you are wondering, here’s the bot’s historical performance for the parameters I use in my own trading:

Screenshot 2022 06 19 at 19.33.22

Dashboard;
nbContracts = 2
flatOverWeeekend = 0

Screenshot 2022 06 19 at 19.33.28

Stats of Closed Trades;
nbContracts = 2
flatOverWeeekend = 0

Screenshot 2022 06 19 at 19.33.34

Perf Calendar;
nbContracts = 2
flatOverWeeekend = 0

 

How to get started?

Set the following parameters:

  • nbContracts –> it’s the position size. Note, since the bot opens 2 pending orders, the margin requirement will be twice the position size. For example, if hypothetically, the margin is £1,000 for a £1/point bet, then this bot will require a £2,000 margin for nbContracts = 1.
  • flatOverWeekend –> 1 allows holding open positions over the weekend and 0 closes any open positions at endOfPlayHH hour on Friday.
  • endOfPlayHH –> if flatOverWeekend = 1, then this is the Hour on Friday at which the system will close the open position. I’m based in the UK, so the current value is set to 20 (8 pm BST). Please adjust according to your timezone (you can use the backtest results above to make sure that you found the right value).

 

NOTE I do not recommend adjusting the stoplo value unless you know what you are doing.

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  • Vendor: D-Trading
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