In this article, I give you an automatic S&P 500 Futures strategy. This is a midweek bias.
Below you will find the results of the complete strategy and further on how I developed it.
The system is based on a Timeframe at 30 minutes and a second timeframe at 1440 minutes in data2 which is used to apply my filters
I called it Apex and you can find it in my shop!
Starting from a very simple study and through some sources I noticed a strong short / long trend on some days of the week. As can be seen from the image below.
In particular, there is a strong bullish bias starting from the early hours of Tuesday and a strong bearish bias at the weekend.
These studies are done with 14 years of historian which makes them very reliable
I start by writing a simple strategy that is always on the market that buys on Tuesdays and sells on Fridays:
I add the time exits for the long and short position and optimize..
Long side..
Short side..
From how you can see the short side produces significantly lower results due to the bullish nature of the index itself but I still decide to keep it because in situations of high volatility or uncertainty on the markets such as this period is very advantageous.
I add the first condition that is: there must be no open trades and today’s income must be equal to zero so that I will only have 1 maximum entry per day. I do this to avoid programming and backtest errors.
I add the monetary stop loss and optimize ..
I choose $1500 as a stop loss. Here are the interim results of the strategy:
I also decide to add a stop based on market volatility. I choose the ATR indicator as the basis for the stop. Here is the code:
Here the results…
Since the operations were still too many I decide to apply my filters to make the system more tradable and improve the statistics (already good basic)
The system is finished! Through the filters I applied it is very profitable from what you saw at the beginning. Bias-type systems these days are very useful because they take advantage of the very strong conditions present on the markets which makes them very robust especially in these phases of market uncertainty.