Here is a very simple system that I've just backtested for 100 trades on the ES. Wayne (Fisher) showed me the basic concept a while back. The idea of only using swings of a certain size I got from Bill Dunnigan, who wrote his book 'New Blueprints for Gains in Grains' back in the late 30s/early40s. The largest drawdown of the system is about 10 points. The longest winning streak is 7 trades, if the system were random (50% winners/Losers) the probability of such a streak occurring in any set of 100 trades is about 1 every 10 sets. The short set-ups and exits are just the opposite of the longs. Slippage was factored into the simulator, the simulator ran at 5 times market speed, so no doubt there would be less slippage in reality. As you can see the results for 100 trades (over 6 months) are: 88 points profit (before commission). Number of winning trades: 58, Number of losing trades:42. You can see the equity curve in the image below.