S&P Futures MFE Algo and Performance Stats: 11/18 – 11/22/2019

The Algo

  • Long-short and reverses when criteria are met in two aggregates.
  • Entry signals present when the trend reversal has printed at least two price bars and the current bar’s close has printed below a trailing “stop”.
  • Entries and exits are supervised and monitored against order flow.

Note:  MFE = Maximal Favorable Excursion