Rajandran R Founder of Marketcalls and Co-Founder Algomojo. Full-Time Derivative Trader. Expert in Designing Trading Systems (Amibroker, Ninjatrader, Metatrader, Python, Pinescript). Trading the markets since 2006. Mentoring Traders on Trading System Designing, Market Profile, Orderflow and Trade Automation.

Simple Volatility based Intraday Scalping Strategy

1 min read

Here is a Easy Language based simple Volatility based intraday scalping strategy testing in 1-min bars of ES mini futures(US Markets) with 76% winning ratio. Easy Language supports both Tradestation and Multicharts Software.

Easylanguage code for ES scalping strategy

 
About the Creator of the Indicator

Dr Jonathan Kinlay is the Head of Quantitative Trading at Systematic Strategies, LLC, a systematic hedge fund that deploys high frequency trading strategies using news-based algorithms.

The creator splits the volatility into upside volatility and downside volatility using True Range.

Long Volatility: Profit Target = 8 ticks, Stop Loss = 2 ticks
Short Volatility: Profit Target = 2 ticks, Stop Loss = 30 ticks

Buy/Sell Rules

LONG VOLATILITY
If upsideVolatilityForecast > upperVolThrehold, buy at the market with wide PT and tight ST (long market, long volatility)
If downsideVolatilityForecast > upperVolThrehold, sell at the market with wide PT and tight ST (short market, long volatility)

SHORT VOLATILITY
If upsideVolatilityForecast < lowerVolThrehold, sell at the Ask on a limit with tight PT and wide ST (short market, short volatility) If downsideVolatilityForecast < lowerVolThrehold, buy at the Bid on a limit with tight PT and wide ST (long market, short volatility) PT Represents Profit Taget and SL Represent Stop Target. Iam not gonna say more about this strategy as his site explains How to create a Scalping Strategy based on Volatility a lot more than what i could brief here.

Backtesting on ES-Mini 1-min bar from 2000-2014

The strategy includes fees and commissions of $3 per contract, or $6 for two legs.
Scalping-Strategy-Perf-Report

Equity Curve

As you can see, the strategy produces a smooth, upward sloping equity curve, the slope of which increases markedly during the period of high market volatility in 2008. Net profits after commissions for a single ES contract amount to $243,000 ($3.42 per contract) with a win rate of 76% and Profit Factor of 1.24.

Scalping-Strategy-EC

Rajandran R Founder of Marketcalls and Co-Founder Algomojo. Full-Time Derivative Trader. Expert in Designing Trading Systems (Amibroker, Ninjatrader, Metatrader, Python, Pinescript). Trading the markets since 2006. Mentoring Traders on Trading System Designing, Market Profile, Orderflow and Trade Automation.

Simple Volatility based Intraday Scalping Strategy

Here is a Easy Language based simple Volatility based intraday scalping strategy testing in 1-min bars of ES mini futures(US Markets) with 76% winning...
Rajandran R
1 min read

12 Replies to “Simple Volatility based Intraday Scalping Strategy”

  1. Appreciate It.
    Though i understand very little of it, with explanation & backtesting, It seems a strategy that worked out well.
    Would be useful for fellow traders & retailers.

    Thank you
    Regards.
    Thiagu

    1. Hi,

      In MT4 you have to create a custom coding in mql4 or mql5 launaguage. The above code works only with Multicharts or Tradestation software or any other platform which supports easy language.

  2. Rajandran!

    Can you do us all a favour again.. please write this logic in AFL! 🙂

    Ashwini

  3. SIR
    I request you to kindly convert it into Mt4 trading system as most ppl are unaware of the coding techniques and conversion.

    Pls Sir, a very humble request.

    Thx

  4. Sorry, this is not actually real. Kinlay’s code is buggy, and the results are not capable of being reproduced. Did you actually try this yourself?

  5. Is that correct? Risk30ticks to get 2??
    How long anything can survive that Ratio?
    Am I missing something, please?

    =====
    Long Volatility: Profit Target = 8 ticks, Stop Loss = 2 ticks
    Short Volatility: Profit Target = 2 ticks, Stop Loss = 30 ticks
    =====

Leave a Reply

Get Notifications, Alerts on Market Updates, Trading Tools, Automation & More