This strategy employs similar concepts as "sharp Sharpe ES," with the following modifications:
- Micro contracts are utilized, making it suitable for smaller accounts and providing better control over position size
- The tick size/price ratio for Nasdaq is lower, reducing the impact of slippage.
No modification since its inception in October 2022
On January 14, 2024, the strategy may hold positions overnight, with the exposure reduced by a factor of 2.
On March 26, 2024, the strategy is ranked #1 on Collective2
The following curve represents the backtest of the strategy *:
* Backtest based on 1/2 tick fees per trade to account for slippage and commissions
The associated statistics are summarized in the table below:
Drawdown analysis provides a comprehensive overview of the distribution of drawdowns within the backtest. The histograms are designed to illustrate both the magnitude and frequency of these drawdowns, whether in terms of their value or duration.