RHYTHM – A Futures Positional Algorithm
In this Trading System, we first decode the Technical Structure of the stock (as in the image above) in the Daily time frame and then delve further into our preferred lower time frame (125 Min / 75 Min) for Execution.
The idea is to look for Low Risk / High Probability set-ups.
The accuracy rate of > 75%, a controlled Maximum Drawdown of 15-20% vs the Annual Net Profits in the range of 40-60% are some of the key performance metrics of this consolidated System.
The focus is deeply on Risk Management with Reward : Risk being at 1.5 – 2, having the initial maximum fixed stops at around 3-4% from Entry Price, whereas the Maximum Profit Targets being at 6-8%. The other Exit Strategy components active in real-time are Pattern Invalidations and Trailing Stop Methodology on the adverse side and Early Exits depending upon Volumes based Accumulation/Distribution, Standard Deviation Bands on the favorable side.
The screenshots of the Back-Test Performance Reports from Ninja Trader are attached here, as generated by the software. The Universe is those stocks from NIFTY 200 Index that are in Futures segment and it further omits any stock that’s priced under 50. Stops are placed at 3-4% from Entry price, but in backtests it doesn’t show execution of such Stops if that happens in the middle of the bar. Hence, in some cases, it shows greater percentage of largest loss, which will not be the case.
Backtest Period: April 2017 – January 2021
MAE = Maximum Adverse Excursion: On an average, how much a Trade runs-down or goes in the adverse direction after Entry. Negative Mark-To-Market.
MFE = Maximum Favorable Excursion: On an average, how much does a Trade move in the favorable direction after Entry and before Exit. Positive Mark-To-Market.
ETD = End Trade Drawdown: Shows how much does the Strategy give back from the best price before the Trade is Exited.
Similar Stats for the Regression Trend Channel Strategy, which has now been subsumed under RHYTHM.
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