Preview
Trading System Logic
This post presents a discretionary trading system optimised to trade during the Regular Trading Hours (RTH) session of the Micro E-mini Nasdaq futures contract (MNQ). The entire process from development and backtesting to real-time implementation of the system includes consideration of commission costs for each trade.
The strategy is based on two key principles:
- The identification of a congestion;
- The confirmation of the break-up by closing above the levels enclosing the congestion.
The trading system exploits the use of fixed range bars set at 233 ticks: the value of the range bar does not change and therefore cannot be changed discretionally by the trader according to current volatility. The main disadvantage is that the changing volatility can make it difficult to work on bars that adapt poorly to the environment while the advantage is that parameters such as stop loss and take profit are less prone to suffer from any behavioural changes in the market.
A distinctive feature of this system is the total absence of technical indicators. This choice makes it possible to maintain a clean chart free of elements that could generate visual ambiguity or decision-making delays. Trading is based exclusively on price action, allowing a direct reading of the market structure and a more effective reactivity to its changes. The focus is therefore solely on price behaviour, eliminating anything that might hinder rapid and objective decision-making.
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 05092024
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