Cobra CT III E-mini S&P
The Cobra CT III E-mini S&P is a day trade strategy for the E-mini and Micro S&P that takes advantage of “buy the dip” in a low volatility market environment. The strategy is a counter trend strategy and is long only.
This strategy trades on 1 minute charts and uses muiltiple data series within the algorithm. The CBOE VIX as well as the NYSE TICK are used in the trading rules.
The subscription is a closed code annual subscription and is available in the Tradestation and Multicharts platforms.
Cobra CT III E-mini S&P is typically included in one of our portfolios.
Cobra CT III E-mini S&P 2023
Hypothetical Tradestation Performance Summary
E-mini S&P, One Contract
$25 Round Turn Slippage and Commission
01/01/2007 – 11/21/2022
Cobra CT III E-mini S&P 2021
Hypothetical Tradestation Performance Summary
E-mini S&P, One Contract
$25 Round Turn Slippage and Commission
01/01/2007 – 11/21/2022
Cobra CT III 2023 Update
We have updated Cobra CT III E-mini S&P for volatility. The 2021 version still has an upward equity curve. Some of the parameters limit the number of trades for the current market environment. There is a Gap Down Limit set to 12 points. We adjust that number to 20 points. We also double the stop loss and double the monthly loss limit.
We discuss all of the adjustments as well as the performance differences and show how the updates increase the number of trades and the profitability in the current market environment.
cntrcts – number of shares/contracts to trade
DontTradeIfHoliday – set to True to not trade on holidays
MonthlyLossLimit – set to False by default.
MonthlyLoss – the amount of Daily Loss if MonthlyLossLimit is True.
GapDnLimit – if True the size in pts based on GapDnLimit that the strategy will still trade if it gaps down by GapPts or more.
GapPtsLmt – the largest gap down in point size that the strategy will still trade if GapDnLimit is set to True.
StartTime – the time of day that long trades can start signaling.
FinishTime – the time of day that long trades stop signaling.
EntryL1 – the number of lookback bars to determine the entry.
StpLs – set to True to turn on the Stop Loss.
StpLsAmt – the size of the stop loss if StpLs is True.
DlrTrail – set to True to turn on the Dollar Trailing Stop Loss.
DlrTrlAmt – the size of the trailing stop loss if DlrTrlAmt is True.
SurgeExit – exits on a surge based on L1, BS, and PT
L1 – proprietary input for the SurgeExit.
BS -proprietary input for the SurgeExit.
PT – proprietary input for the SurgeExit.
ExTime – time of day to exit.
LastBarTime – time of the last bar of the day.
The time based inputs are based on EST. These inputs will need to be adjusted for the timezone of your computer based on its difference from EST. For example, if your computer is on CST, then LongStartTime should be 845 instead of 945 since CST is one hour earlier than EST.
The stop loss and profit targets are based on a per contract basis. If the cntrcts increases, the dollar amounts for stop loss or profit target do not need to also increase since the stop loss is calculated on a per contract basis.
