ES Day Trading Equity Curve

ES Day Trading Strategy


A flexible day trading strategy for the ES E-mini S&P 500 futures contracts that takes long and short trades. All trades are executed with stop-loss orders in place and all trades are exited by the end of the daily session.

This is a professional trading strategy, ready for real-world automation or manual trading.

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This ES E-mini S&P 500 futures contracts day trading strategy is a 100% rules-based algorithm designed to exploit repeatable intra-day patterns that have a proven statistical edge to generate profits that can be compounded rapidly.

This strategy adapts to market volatility through a dynamic position sizing function, providing consistent performance.

I wrote and tested this strategy in 2016 using sophisticated statistically techniques and tools and since its deployment it continues to perform in real-time.

How It Works

The strategy automatically recognizes patterns that have historically produced repeatable outcomes that can be exploited as long or short intra-day trading opportunities. These patterns are defined mathematically using large tolerances to minimize curve-fitting to past data.

Detectable exploitable patterns:
  • Opening gap up
  • Momentum thrust
  • Retracement at dynamic levels
  • Rally and breakdown reversals at specific intra-day points
ES Day Trading Strategy


  • Adaptive position sizing based on real-time volatility.
  • Ability to manually adjust contracts to trade.
  • Automated or manual trading ready out of the box
  • Fully annotated code for easy comprehension.
  • Transparency with no "black boxes."

What's Included

  • Quick start guide
  • EasyLanguage source code (.eld format)
  • TradeStation Workspace (.tsw format)
  • Full code (.txt format)
  • Life-time strategy updates
ES Day Trading Strategy

Strategy Specifications

Trading Platform

TradeStation or MultiCharts

Programming Language


Ticker Symbol

@ES (E-mini S&P 500 futures contracts)

Trade Types

Long and short

Trade Execution

Automated or manual

Stop-Loss Orders


Average Trade Duration

1.5 hours

Trades per Year


Percent Profitable


Profit Factor


Signals can also be used for:

@ME (Micro E-mini S&P 500 futures contracts) and options

Learning From My Code

I think you'll find the following functions of interest to start coding and testing your own strategies!

Implemented Sub-Functions In This Strategy:

  • Intra-day trend determination
  • Dynamically finding statistically patterns (gap up, momentum thrusts, retracements)
  • Automatic position size calculation based on volatility
  • Open trade management
  • Stop-loss orders based on volatility
  • Automatic detection of session start and end times
  • Optimal time-of-day to place long or short trades
  • Automatic closing of all trades by end-of-day function

Happy Trading!

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Do I need a brokerage account to execute the code?

Yes, you'll need an account with either TradeStation or MultiCharts.

Both platforms offer free tier accounts. Simply copy and paste the code into your account to begin.

Is there a quick start guide available?

Yes, I provide a quick start guide that details how to set up the strategy for either manual or automated trading, based on your preference.

Is it necessary to fund the account with real money?

No, real money is not required to utilize the strategy.

It operates in live or simulation mode (your choice), allowing you to analyze trades or use another broker to execute them.

Can I place trades in advance, before the market opens?

Yes, all strategies, except for day trading, generate trade signals at the close of the current trading day.

This feature allows you to set up trades the evening before the market opens, freeing you from having to be at your computer.

Do I need programming skills to use this strategy?

No programming skills are needed. The strategy is ready to use right out of the box.

If you have an interest in learning how to program or have previous coding experience, the open-source code may be of interest to you.

What if I prefer manual trading over auto-trading?

That's perfectly fine. All strategies can toggle between automated and manual trading modes, allowing you to switch anytime according to your preference.

Do trade alerts only occur at the close of a trading bar?

Yes, trade alerts are issued at the close of each trading bar, which triggers a buy or sell order for the next bar.

The length of a bar depends on your trading style: one day for swing trading and a specified number of minutes for day trading.

How are trade alerts provided during manual trading?

In manual trading mode, a notification window appears to inform you of potential trades, allowing you to accept or reject them with a simple click.