E-Mini Russell 2000 Trading Strategy (Backtest And Futures Example)
An E-mini Russell 2000 Index futures strategy is the methodology or technique you can use to profitably trade Russell 2000 Index futures, and this often includes technical and fundamental analyses for market timing and risk management. E-mini Russell 2000 Index futures are financial derivative products that represent a contract to buy or sell a specified amount of the Russell 2000 Index on a future date, at a pre-agreed price. The contract trades on the CME Globex platform, and it allows you to take positions on the performance of the Russell 2000 Index, either for speculation or hedging purposes.
We backtest the following trading rules:
Buy on the close on the first trading day after the 23rd of June.
Sell on the close on the first trading day of July.
If we backtest the RTY futures contract, which is the e-mini Russell 2000 contract, we get the following equity curve (Image shown below)
You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/e-mini-russell-2000-trading-strategy/
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