top of page
Algorithmic Market Structure Trading Strategy
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.
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:
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
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.
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
bottom of page