While Scott has turned prolific I have not been exactly useless either. Inspired by his insights on swing trading FX pairs I have devoted my long weekend to collect some stats on Geronimo, which as you may remember is a scalper for the spoos (i.e. the small S&P index futures contract). The recent release of NinjaTrader 7 and a change to a new data feed (Kinetick) now allows me more in depth (and crash free) optimizations of various settings. And it turns out that Geronimo was doing just fine all year.
To be clear, this is the old version of Geronimo I quietly had running all year – I didn’t touch a setting here. As you can see there was a little hick up early in the year after which it soldered on bravely. We all remember the mid-summer retracement and Geronimo does not do too well when the VIX pushes over 30. But nevertheless it did brilliantly again starting July.
Now, the only change I implemented this weekend was a VIX30 filter (meaning Geronimo stays out above 30) and I reduced the stop loss from 28 ticks to – wait for it – 12! To my very surprise this actually increases the Sharpe Ratio from around 1.0 to over 1.4 – who would have imagined! Anyway, here are is the updated graph. I really don’t think that I’m engaging in curve fitting here – nothing else has changed after all and it shows how resilient and versatile this strategy is.
I am really happy about the progress here. The one thing that I always hated about the original Geronimo was the 28 tick stop – that’s seven ES handles after all. This now has been reduced to three handles, which is what I use when trading discretionary. As you can see the VIX30 filter cuts out some of the mid-year sideways action – no sense in burning commissions if there is no edge to be had. BTW, what’s interesting is that evil.rat (which is currently silent) has an inverse VIX30 filter – it only does well when the VIX pushes into highly volatile territory. So, what I’m considering is to simply switch Geronimo subscribers over to evil.rat when equities finally get a chance for a meaningful retracement.
Now, to be clear – those numbers refer to only one contract per trade. Also, Geronimo does not stack or pyramid positions. If you subscribe you are free to take on more contracts per trade – it’s a simple scalper that takes an entry, sets a 12 tick stop and waits for its 10 tick target. You are free to ride it out longer – it often works but this is something I only recommend if you have traded the spoos for more than three years.
Here are the stats – I have highlighted the most important results. Obviously a Sharpe Ratio of 1.44 is rather good. And yes, Geronimo only takes long trades as it exploits manipulation attempts by institutional players. And it’s quite apparent that Bernanke’s POMO auctions have greatly benefited Geronimo as it allowed primary dealers to push equities higher and higher. We often see those dip buying spikes on the Zero Lite during the NYSE session – it’s that invisible hand we know all too well now and that continues to paint a ubiquitous floor underneath equities.
Finally, here’s a distribution chart – quite obviously the real action seems to happen after 1:00pm EST (I’m in CA – thus I’m referring to 10:00am on the graph). So, if you cherish your beauty sleep or you’re back East and can sneak away during your lunch break this is the strategy for you! 🙂
The other change you will be happy to learn about is that I have lowered the monthly subscription from $199 to $99. This will give some of you who are curious an opportunity to take the plunge and hopefully stick with for more than a month or so. Obviously Geronimo has been rather consistent but that also means that you have to take every trade, whether you agree, disagree, are seeing something else, or whatever. No excuses – take the signal.
If you want to give Geronimo a spin I recommend you first take look at the tutorial page – if you still have questions after that feel free to send me an email at admin [at] evilspeculator [dotcom] and I’ll sort you out. If you like what you see – don’t hesitate and sign up here. Evil Mart is open for business 😉