In this trading strategy example we have built a very simple trading system based on the crossover of two indicators. The MESA8 package includes the BandPass and BandPass Trigger indicators that show trading signals as line crossovers.  We know from our prediction example that the MESA8 BandPass indicator accurately predicts prices a short while into the future.  Instead of using the MESA8 BandPass Trigger, we selected two MESA8 BandPass Filter indicators and let the NeuroShell Trader adjust the tuning factor and filter bandwidth parameters to produce the optimum crossover points.  Two independent pairs of MESA8 BandPass Filter indicators were used for long entries and short entries.  The trading system alternates between long and short positions when trading the e-MINI S&P Futures contract.

We chose the e-MINI S&P Futures contract because of its popularity with Futures traders. We inserted a trading strategy that used a MESA8 BandPass crossover above indicator for a long buy condition (rule), and a crossover below indicator for a short entry condition. We could have used the crossover below as a long exit condition if we did not want to go short, but the NeuroShell Trader automatically exits a long when a short entry condition is signaled, and vice versa, when there are no exit conditions specified. Traders call this a "reversal" strategy.

The results of the backtest of this trading strategy are shown on the chart. The buy signals are blue upward triangles, and the sell signals are the red downward triangles. If you zoom in on one of these signals, you will see an X on the open of the next trading day. This is the date and price of the simulated fill. The NeuroShell Trader assumes you are looking at your chart at the end of the day after downloading another day of data. Any orders you place will be filled near tomorrow's open price.

To enter the Trading Strategy Wizard and examine the rules, right-click on the label at the top named "Trading Strategy". When the pop up menu appears, select "Modify Selected Trading Strategy." You will be placed into the end of Trading Strategy Wizard.

When you first enter the Wizard you will see that the backtesting produced an amazing 23 winning trades on the total 28 trades during the optimization period. If you press the button labeled "Detailed Analysis" you will see a number of statistics. Among them is the Ratio Gross Profit/Loss of 20.45 and the Percentage of Profitable Trades as 82.1%.  These two performance results mean that the trading strategy is statistically robust (John Ehlers, “Cybernetic Analysis for Stocks and Futures”, Chapter 15, John Wiley & Sons, New York).  The out-of-sample net profit was $12,790 per contract with no allowance for slippage, margin, and commission.