Free strategy:

Algorithmic Market Structure Trading Strategy

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Description of the strategy:

A fully systematic, mean-reversion trading strategy designed to exploit temporary retracements that take place during a market trend. 
 
Strategy uses basic logic of identifying market structure using N-day high (3 months in its swing-trading form), or daily session high/low (its daytrading form).
This system can be traded on both daily timeframes and intraday, both manually or in a fully automated version. Traders executing this strategy manually will benefit by having fully mechanical framework to follow, successfully eliminating discretion in trading.
For full details & description of this strategy, see my YouTube videos - part 1 and part 2, where I describe the strategy step-by-step.  

Swing trading version of this strategy:

  • Trades S&P500 stocks, long-only
  • Maximum 10 positions held simultaneously
  • 50% margin used, initial capital $10,000
  • In case of multiple signals, these are ranked by stock's historical volatility
  • Uses additional filter based on VIX index, as explained in the video
  • Buy rule, exit rule & stop-loss explained in the video

How to trade this strategy:

Day-trading:
  • apply on any market including Forex
  • trade both long & short - use daily high/low to identify the market structure
  • use exits as described in the video
  • in case of sufficient capital, split the positions in 2 parts and combine both exits
Swing-trading:
  • trade long-only on S&P500 stocks as presented in the video
  • open the trades at open following the day during which the signal got generated
  • start trading this strategy with no margin
Code available to download below is in Amibroker AFL format - other formats/languages not supported. Free trial of Amibroker can be downloaded from their website.
 
Critical Trading is not an affiliate of Amibroker. 
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David

David has been actively researching and trading financial markets for over 10 years. His primary focus is systematic trading of a portfolio of strategies in equity markets, with rest of his time allocated to discretionary trading of Supply & Demand.

RISK DISCLAIMER: STRATEGY PRESENTED FOR STUDY PURPOSES ONLY, NOT AS AN ACTUAL INVESTMENT ADVICE. AUTHOR OF THE STRATEGY IS NOT RESPONSIBLE FOR ITS FUTURE RESULTS. TRADING OF FINANCIAL MARKETS BEARS A HIGH DEGREE OF UNCERTAINTY AND RISK. MAKE SURE YOU UNDERSTAND THESE RISKS BEFORE MAKING ANY TRADING DECISIONS