VAREA Swing II is a system developed by AlgoReturns. VAREA represents a novel approach to both discretionary and non-discretionary trading. VAREA creates robust, proprietary data sets constructed using Market ProfileTM methodology. These data sets are mined using the principles of market logic. Though data intensive, and computationally complex, this yields more robust information than simple, linear OHLC information.
The Swing II system is agnostic to trend in identifying short-term trading opportunities. Rather, it identifies the data signature of 3 specific market behaviors that are statistically relevant to directional price movement over the short-term (1-5 days). Once identified, the system applies an execution strategy to enter and exit trades based upon derived market logic parameters as well as sampled volatility and trend functions observed in the market.
Although VAREA Swing II is a new system, it is expected to exhibit a 60% accuracy rate and a profit factor of 2:1, with drawdowns of 16% or less using Striker.com performance criteria. Hypothetical results are available on AlgoReturns’ website. 3-4 signals are expected per month, and trades are held an average of 10 days. The algorithm has been tested on 15+ years of historical data. Accuracy, profit factor and drawdowns are approximations and do not include the effect of commission and slippage. The minimum lot size is 3 with increments in multiples thereof. Algorithm runs on a “hands-free automatic” mode starting with taking real-time price feeds from futures broker and ending with order communication to Striker. Developer is expected to make an annual update to the algorithm to reflect realized experience.