Rajandran R Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, USDINR and High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in)

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

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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 Telecom Engineer turned Full-time Derivative Trader. Mostly Trading Nifty, Banknifty, USDINR and High Liquid Stock Derivatives. Trading the Markets Since 2006 onwards. Using Market Profile and Orderflow for more than a decade. Designed and published 100+ open source trading systems on various trading tools. Strongly believe that market understanding and robust trading frameworks are the key to the trading success. Writing about Markets, Trading System Design, Market Sentiment, Trading Softwares & Trading Nuances since 2007 onwards. Author of Marketcalls.in)

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

  2. Fantastic equity curve….will this work in amibroker…if so what is the coding.

  3. Sir, will it work in MT4. Is there template available for download…
    Thanks

    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.

  4. Rajandran!

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

    Ashwini

  5. 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

  6. 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?

  7. 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
    =====

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