8 Day Run - Momentum Strategy by Marcn5_
By Marcn5_
Performance Metrics
- Author: Marcn5_
- Symbol: CME_MINI:ES1!
- Timeframe: 1 day
- Net P&L: +40,022.09 USD (+83.10%)
- Win Rate: 72.5%
- Profit Factor: 1.523
- Max Drawdown: 23,372.12 USD (26.75%)
- Total Trades: 193
- Sharpe Ratio: 0.024
Description
Inspired by Linda Bradford Raschke.Entry criteria:This strategy is used to capture momentum effects on the daily periodicities. Once prices have had a run of 8 or more consecutive closes above or below the 5-period simple moving average the strategy is primed to trade. It will then enter a short on the first close above the 5sma after a run of 8 or more closes below the 5sma (it will enter a long when the price closes below the 5sma after a run of 8 or more closes above the 5sma). Exit criteria:All trades are exited on the first close back above/ below the 5sma.