“VAREA Swing II” is a system developed by AlgoReturns. VAREA represents a novel approach to both discretionary and non-discretionary trading by creating robust, proprietary data sets constructed using a revolutionary augmentation of the Market ProfileTM methodology. These data sets are mined using the principles of market logic. Because the methodology is data intensive, and computationally complex, it yields more robust information than simple, linear OHLC information.
Market Profile methodology defines “initiating activity” as price action that shows the conviction of a specific market cohort. VAREA Swing II identifies clusters of initiating activity that, on a statistically significant basis, precede ST directional moves in the market. It attempts to monetize those subsequent moves. The minimum lot size is 3 with increments in multiples thereof. 2-3 signals are expected per month, and trades are held an average of 5 days.
Although VAREA ES 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.