Day Trading Scalping System
I use Crawler, my mechanical day trading scalping system as an example of a profitable day trading scalping system. The purpose of this example is to help build day trading equanimity. This only comes from an internalized belief that the day trading scalping system will be profitable over time.
Generally, I have been so unsuccessful in testing trading ideas from numerous trading system books that I became very suspicious about day trading vendors in general. Their claims never seem to match the reality.
So developing Crawler came as a surprise. Not only was Crawler profitable on the EMINI S&P data every year since 1997, it continues to be profitable after I stopped working on it in September 2003. [This contrasts with a more profitable system I developed, codenamed Siesta, which has been unsuccessful in real time].
On further investigation, Crawler works fairly well on the EMINI NASDAQ, the DAX, the Dow Jones Euro Stoxx 50 and the 6E. It also seems to work in a variety of time frames up to 5 minutes. Crawler uses only one system parameter. All this suggests a robust and profitable trading system going forward.
How does Crawler work?
Have you heard or read the trading adage, the trend is your friend? Crawler uses this market assertion. It detects an emerging trend, and continues to buy a retracement in an up trend and sell rallies in a down trend. That’s all it does.
It is a day trading scalping system because most trades take 3 to 5 minutes.
Approximately 5 trades are made in the day trading session of the ES contract. The day trading system merely scalps and does not try to maximize profits by holding onto winners. Instead once the system enters the market, it continually re-calculates the profit targets and stop loss targets.
, to study Crawler Performance Statistics on the S&P EMINI contract from 1997 to 2003.
Isolate any given week on the above equity charts and it may look distinctly unspectacular, if not disappointing. In fact if I did not know better, I would have thought that this system was a waste of time and relegated it to the bin. However something surprising happens when you look at the equity curve over a full year … it invariably grows.
More importantly, to internalize belief in Crawler, I sit with TradeStation; run the Crawler strategy and let the trades work themselves out in real time, day after day after day. Bolstered by the historical information and real time observation/experience real confidence is built up. We begin to understand that winning trades and losing trades by themselves mean nothing. They become empty; freeing one to concentrate on executing trades as close as possible to the actual system signals.
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