A Futures Trading Strategy

I recently discovered a pretty reliable study for playing Futures. Because of the margin requirements, I've only been able to play and backtest this study on the Nasdaq 100 Futures (/NQ). It seems to work best on the 5 minute time frame, so I went ahead and backtested it for the last 20 days. There was not a single losing trading day.

For the /NQ, 1 point = $20 P/L. I tested this strategy for the past 20 days in the 5 minute time frame, playing only 1 contract each trade. This strategy requires between 10-24 trades a day which means commissions do add up, and I will factor them in.

Below are some figures after back testing for the past 20 trading days.

Total $ Gain: $21,187
Average Daily Profit: $1,059
Biggest Winning Trade: $780
Biggest Losing Trade: $83

Those statistics are with perfect entry's so I don't expect to get results as good as those above, even with limit orders. The amazing thing about this study though is the ability to let the winners run, and not let the losers get away. The biggest single trade loss out of the last 20 days with this study was a 4.25 contract loss, which is $83. I like those odds.

So realistically with commissions added into it, it's $7 round trip commissions (thinkorswim). The most trades in a day out of the past 20 days were 24 trades. 24 trades at $7 round trip = $168, and that is worst case senario. For those 20 days, you'd pay $3360 in commissions.

Total $21,187 - $3360 in commissions = $17,827.

Let's say you don't get great fills all of the time. Let's say you are late. I can't really guess how much I could lose based on a slow entry, but at an average of $1,059 a day with perfect entries, how much could you lose based on slow entries? a couple hundred a day? $400 a day?

Let's do that, lets say you miss out on $400 a day because of slow entries. I'm just pulling that number out of my ass, trying to weigh on the realistic side. $400 x 20 days = $8000.

So, the total after commissions with perfect entries is $17,827 - $8000 of realistic missed profits and you have $9,827 for 20 trading days.

And that doesn't factor for after hours trading when a lot of big moves happen!... I know how crazy I sound right now, because it just sounds too good to be true. I will put it to the test with my real account on monday to see what happens.