Trading with Tick Index: Blind Short Day Trading Model
I am going to present the first example trading model in this series that exploits the characteristics of the NYSE Tick Index. Most people focus on the intraday behaviour of the Tick Index and forget that it is a great summary statistics tell us what is more likely going to happen the very next trading day. The example trading model Blind Short is a short only day trade model demonstrating this fact.
Over the past 10 years, the model has generated more than $3,000 dollar profit annually on single lot, averaging less than 30 trades each year. Commission of $2.5 per trade per contract is taken into account. Special limited worst case analysis is used with 1 tick disadvantage so that we know the backtest result is a good baseline to measure from.
Following chart shows the emini S&P continuous contract at the top pane, the NYSE Tick Index in the middle pane and the net dollar gain per contract with the Blind Short model in the bottom pane.
The performance has been very consistent even with the raw model presented in the chart. It is interesting how such a simple trading model works so well all these years.
Basic Model Rules