VAREA ES Swing I 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 a 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 ES Swing I system first identifies market configurations that are statistically more likely to precede accelerated, directional price movement. 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 ES Swing I is a new system, it is expected to exhibit aa 60% accuracy rate and a profit factor of 2:1, with drawdowns of X32% or less using Striker.com performance criteria. Hypothetical results are available on AlgoReturns’ website. X1-2 signals are expected per month, and trades are held an average of X5 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.