Fortress Rubicon
Fortress Rubicon is a fully automated day trading system. Any futures contract can be traded using the automated system by simply entering the futures contract symbol and making some minor adjustments to the time intervals for open and close for the respective contract. The system can trade an unlimited amount of contracts within Exchange set parameters by simply entering quantity of contracts to be traded.
Our focus here on this site is strictly in the ES futures contract. The system is designed to day trade the Front Month contract starting at the beginning of the Regular Trading Hours session at 9:30am Est. By adjusting the specific time of entry to the system and time of exit from the system a trader can also potentially trade the Globex Session in its 23hr cycle if so desired. The system can be easily managed for trading any futures market, including the Micro E-Mini S&P, and in any time zone. It is the mathematics behind the strategy of the system that is a constant and that can be applied to virtually all exchange-traded products.
The E-Mini S&P 500 is Mr. Kurzencwyg’s focus market to trade.
The system’s default settings will never trade more than 2 positions or 2 Lots in any given session. On some days there are no trades made and in most cases only one trade is made for the entire session. There are several variables that determine when the system will trade or go flat for the day and that is always determined by the market’s opening tick that begins at the RTH session.
When the RTH session ends the trading system will automatically disengage. The next morning the system is reset for a fresh new session to trade. With Ninjatrader the system can remain enabled so it will resume live trading when the RTH session begins the following morning. The code is configured to automatically refresh system parameters at the opening of Globex, so theoretically a user can leave the chart running on the platform without any manual requirements. As a rule the inventor highly recommends refreshing the chart manually before opening bell as a precautionary measure.
The percentage ROI for the current year and the last 5 years offered on our Home page is based on a trading account that was hypothetically initialized on the 1st day of each year with a $100,000 starting balance and traded at 3 times the System Default. The majority of orders for the system are Limit Orders. This fact offers greater congruency to live trading when evaluating simulated backtested data for the system.
With every trade there is a Stop-Loss already pre-programmed before the actual position is taken. Part of the success of the system is its management of risk, hence the word “Fortress” in the name of the system. The geometric used to take profit is the “Rubicon” represented in the name of the system and this refers to the linear set boundary price or prices pre-calculated in the code and determined once the system’s entry price has been filled.
2020 – The Most Volatile Year
The year 2020 was the most volatile year for the S&P 500 Stock Index futures contract when basing volatility on the seismic High/Low range in intraday trading. With the developing news on the COVID outbreak some sessions were posting over 200 points in range between intraday High and Low on the futures contract. We also saw several limit-down days occurring when the market reached a certain price level and Exchange Circuit Breakers had to kick-in to stabilize trading, like on March 12, 2020. The maximum drawdown for 2020 for the system, even under these conditions, bottomed-out in the fourth quarter at 32.31% and then remarkably Fortress Rubicon continued its rally producing nearly 8 times more profit for the year than it’s maximum drawdown closing the year with a Net Profit of 235.54%. This inconceivable result was in a year that saw the broadest vertical scale in intraday history for the Index dating as far back as May of 1982 when the S & P 500 futures contract started Open-Outcry trading in Chicago.
Should we not hit our pre-determined price to exit with a profit the system will automatically go market and offset the position at 4:10pm Est. Positions are never held overnight. Time is always maximized to reach our profit goal within the intraday session timeline.
Lowering risk to trade: The recommended setting to trade the system is 3 x default per $100,000 margin. With a click of a mouse one can easily lower the system default setting below the recommended setting to scale-down risk.
