8 Day Extended Runs — Strategy by Marcn5_
By Marcn5_
Performance Metrics
- Author: Marcn5_
- Symbol: CBOT:ZN1!
- Timeframe: 1 day
- Net P&L: +48,859.38 USD (+48.86%)
- Win Rate: 60.7%
- Profit Factor: 2.343
- Max Drawdown: 5,296.88 USD (4.26%)
- Total Trades: 112
- Sharpe Ratio: −0.005
Description
Inspired by Linda Bradford Raschke.Strategy suited to the US T-note (ZN1!) with a t-test of 4.06.The 5 day SMA is vital to Linda’s trend identification system. She’s done extensive testing and research using this indicator and has built models based on it. Linda used the 5 day SMA to determine that large outlier price moves happen in the direction of the trend in each market about 9-10 times per year. The powerful part about that number is that when the trend does persist, it can go on a long run, making this a trade with a high expected value.Note: the current exit criteria is sell 10 days after entry, users should experiment with different stop placements.