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TICK Pulse E-mini S&P V12
Version 1
The Tick Pulse E-mini S&P trading system trades the E-mini S&P, on a one minute chart using additional data series, data2, NYSE TICK ($TICK), and data3, CBOE $VIX, to participate in intra-day trends in the stock index futures. In the latest version of this strategy, the timeframe has been changed from 15 seconds to one minute. With an increase in volatility since 2018, decreasing trade frequency, by increasing the bar interval, has become a more favorable risk management approach and part of the philosophy of Capstone Trading Systems strategy development. This strategy is based on patterns that begin to develop in the market with the goal of capturing trends early, and before they end, without the high degree of sensitivity that would create many false trading signals. The strategy settings allow the user to modify the inputs so that the inputs can be adjusted over time. The data in Tradestation allows us to backtest this strategy going back to 2003. To backtest and automate this str...
The Tick Pulse E-mini S&P trading system trades the E-mini S&P, on a one minute chart using additional data series, data2, NYSE TICK ($TICK), and data3, CBOE $VIX, to participate in intra-day trends in the stock index futures. In the latest version of this strategy, the timeframe has been changed from 15 seconds to one minute. With an increase in volatility since 2018, decreasing trade frequency, by increasing the bar interval, has become a more favorable risk management approach and part of the philosophy of Capstone Trading Systems strategy development.

This strategy is based on patterns that begin to develop in the market with the goal of capturing trends early, and before they end, without the high degree of sensitivity that would create many false trading signals. The strategy settings allow the user to modify the inputs so that the inputs can be adjusted over time. The data in Tradestation allows us to backtest this strategy going back to 2003.

To backtest and automate this strategy, you will need to make sure you have real time quotes for the E-mini S&P futures on the CME, real time quotes from the NYSE for the NYSE TICK and real time quotes from the CBOE for the $VIX.X. If you do not have real time quotes for these you may receive the error, “You may not mix symbols of different delays.”

With the latest version we are able to run backtests back to 2003 to verify this strategy meets the minimum requirements of Capstone Trading Systems. The basic and default setup uses the basic parameters for the strategy. Additional inputs allow the strategy to be customized and there are additional filters including the VWAP and VIX filters that can be applied to this strategy.
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Developer
Requirements
Tradestation 9.5 (Update 22)
Support Documents
Asset Type
Future
Style
Intraday
Methodology
Trend
Analysis Techniques
Applications
Categories