Yes I know I am really a “macro” analyst who seeks out “risk-arb” type trades but… I also have done my share of work on the S&P 500 contract. The system was finished a long time ago so I’ve had the benefit of watching it trade “out of sample” for over a year.
It’s a trend following system with a typical holding period of 5 days. Here’s the current chart:
Enjoy the chaos.
