Preview
Trading System Logic
This post presents a discretionary trading system optimised to trade during the Regular Trading Hours session of the Micro E-mini Russell 2000 futures contract.
The strategy is based on two key principles:
- the identification of a congestion;
- the exploitation of incursions aimed at capturing liquidity positioned above key support or resistance levels.
The trading system exploits the use of time bars: the main focus will be on low-momentum situations, where the market moves within a clear and well-defined range, using the 30-minute timeframe to filter trades. This typically mean-reverting approach seeks to identify points where the price has experienced liquidity manipulation and tends to return to its equilibrium within the range.
A distinctive feature of this system is the particular use of the z-score. This choice allows for a good expectation through a low win rate, with profits tending to exceed losses by a significant amount.
Money Management
To transform this strategy from a theoretical concept to an operational tool, all the essential technical parameters are provided in the post:
- take profit;
- stop loss;
- discretionary trailing stop option.
These elements are not mere accessories, but constitute the functional architecture of the system, allowing for rigorous and replicable application over time. The integration between the strategy’s structural logic and its quantitative component guarantees operational robustness and adherence to real market conditions. In particular, the discretionary trailing stop offers flexible position management, useful both to consolidate small profits in the event of a reversal and to quickly contain losses.
Offering these parameters means making available to the reader not just an idea, but a tested and complete system, ready to be analysed, adapted and implemented with awareness.
Reference code 28092024
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