LCH Orion (EMD)

Traded Instrument@EMD - E-mini S&P MidCap 400 Futures
Functionality in Other MarketsIndicies: @TF, @ES, @YM, @NQ
Shares: AAPL, MSFT, ...
Commodities: @NG, @C, @CL, @QM
ETFs: SPY, IWM
(* mentioned only tested markets)
Type of SystemIntraday
Max. Risk per Trade$ 1100
Max. Drawdown$ 13670
Max. Drawdown$ 5120
Worst Case Monte Carlo DD
(*Confidence level 99%)
$ 12140

The presented final equity as well as all presented results below:

  • come from walk-forward tests of the said system
  • contain no in-sample* data and are comprised solely of out-of-sample** intervals
  • incorporate SL, a transaction cost of $5 per side and slippage 2 ticks RT
  • simulate trading with one contract without the application of position sizing.

* in-sample interval – a sample of data, on which the optimisation of the system takes place
** out-of-sample interval – unseen data; data that was not used in the development and optimisation of the system

Interested ?

If our approach to development and our systems caught your attention, we will be pleased if you contact us. We are open to various forms of and possibilities for cooperation.

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