DC Rocks US ES5

As of Dec 2016, DC Rocks US ES5 has a theoretical average return of +130% per year over the last 10 years.

It was put into Live trading in Nov 2015.

The internals of our strategies are proprietary and we cannot divulge them, except in general terms as follows:

  • DC Rocks US ES5 is a Custom program we wrote in EasyLanguage on the TradeStation platform
  • this strategy trades S&P 500 E-mini futures contracts
  • it is a trend-following, day-trading program
  • optimized for 5-minute bars
  • during the early part of the US day session, it will seek a favorable trend to enter into positions
  • will take long or short positions
  • once it is in a trade, it will seek a favorable profit or cut its losses during the day session
  • protected against big losses from reversals by using Stop-losses and Trailing-stops
  • all positions will be liquidated before the end of the day session, by 4 pm ET, thus no overnight positions will be held
  • trades just 1 – 3 times per week on average
  • pyramiding option is NOT used.


Monthly Returns (Last 3+ Years)

Annual Returns since 1998

The following are the TradeStation Performance and Optimization Reports produced from back-testing 2 contracts on 10 years of data:

Performance Summary

Performance Graphs

Trade Analysis

Trades Lists:

Trade Graphs

Annual Trading Analysis

Monthly Trading Analysis

Weekly Trading Analysis

Daily Trading Analysis


The following are the TradeStation Walk Forward Optimization and Analysis Reports produced by 2 contracts on 20 years of data (10 years In-Sample and 10 years Out-of-Sample):

WFO Test Results

WFO Cluster Analysis

WFO Performance Summary

WFO Summary (In-Sample)

WFO Summary (Out-of-Sample)

WFO Profit-Loss History

WFO Graph

WFO Equity Preview

WFO Distribution Analysis

WFO Monte Carlo


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