Swing Trading Strategy: Momentum ES
Our lead developer reviews the details of the Momentum ES swing trading strategy in this video. Trading futures & options is not for everyone and involves substantial risk of loss. Past performance is not indicative of future performance.
ES Momentum Trading Strategy Features:
Places Swing Trades
This strategy places a relatively short term swing trade on the S&P 500 Emini’s. It can hold anywhere from 1 to 10 days. It buys when momentum is building and sells when certain targets are hit. Using our proprietary trade logic, this algorithm will attempt to predict when the market might move higher for a more sustained up move. During these cases, it will push the target out in order to capture larger gains. During cycles that are expected to be shorter in duration (such as in a sideways moving market), this algorithm will issue a sell Limit order much sooner in an attempt to “scalp” gains as the market wishes to give them.
Traded Live
The Long futures algorithm has traded live since October 2015 in various portfolios offered by algorithmictrading.net. As of 1/14/2019, the live returns seen on this algorithm (with over 3 years of trading) have exceeded the back-tested expectations. This is rarely seen, especially with approximately 20% out-of-sample, blind walk-forward trades.
Rigorously Back-Tested 15 Years
We back-test each of our algorithms over 15 years. View the back-testing details on the combined system (as seen in the S&P Crusher or Swing Trader) or on each algorithm contained within the trading system.
| Yearly Analysis (per $20,000 traded) | |
| Average % gain per year | 27.51% |
| Average $ gain per year | +$5,503 |
| Monthly Analysis (per $20,000 traded) | |
| Average % gain per month | +2.29% |
| Average $ gain per month | +$459 |
| Trade Analysis (per $20,000 traded) | |
| Total Num Trades | 1312 |
| Trade Win Rate | 76.68% |
| Trading Systems Which Use the Momentum Algorithm | |
| S&P Crusher v3 | Yes |
| The Swing Trader | Yes |
| Period Analyzed | |
| Historical period analyzed | 1 May 2003 – 10 Jan 2019 |
| Traded Live Since | October 2015 |
| Slippage & Commission Used in Analysis | |
| Commission used in all reports (Futures Trade) | $6.50 per round trip trade (all-in) |
| Slippage used in all reports (ES) | $12.50 per round trip trade |
| Draw-Down (per $10,000 traded) | |
| Worst percent draw-down (closing trade to closing trade) | -45.41%** |
| Period Seen | 4/29/11-12/8/11 |
| Momentum (ES) | |
| Instrument traded | Emini S&P 500 (ES) |
| Outperforms during | Up moving markets |
| Ability to hold overnight | Yes |
| Algorithm type | Momentum Swing Trade |
| Account Details | |
| Minimum account size | $20,000 |
| Allocation | 1 Contract per $20,000 in account |
| Number of algorithms traded | 1 |
| Instrument traded | ES |
| Trades Futures | Yes |
| Trades Options | No |
| Account types allowed | Cash, IRA, Roth IRA |
| Pricing | |
| Licenses available | Yes |
| Licensing fee | Call or Contact Us for a quote |
CFTC RULE 4.41: Results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
Covered Call & Momentum Trading Strategy Trade List: Trading $20,000 (1 Contract)
Data assumes $20,000 starting account, trading 1 Contract. Includes slippage & commission. Results are taken from compiled back-tested/hypothetical accounts which have limitations (see CFTC RULE 4.41 below).
CFTC RULE 4.41: Results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
Back-Tested Reports from Tradestation
Download back-tested data for the Momentum ES. This algorithm is traded in both The Swing Trader and S&P Crusher v3.