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All posts by Jeff Swanson

Using System Parameter Randomization To Estimate Future Returns

You just spent a ton of time creating a trading system and being very careful not to over-optimize. You then tested it on the out-of-sample data segment and the performance looks good. What’s next? Jump right into the live market? Maybe. But instead, you would like to perform one more test called System Parameter Randomization. The article, System Parameter […]

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Capture The Big Moves!

Wouldn’t it be great to have an indicator to help tell you when we are in a major bull or bear market? Imagine if you had a clear signal to exit the market on January 19, 2008 before the major market crash. Then the same indicator told you when to get back into the market […]

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Gap Size Strategy Tool

A couple of weeks ago I sent my subscribers an email to a free eBook called “Understanding Gaps” by Scott Andrews. I’m going to assume that you know what a gap trade is. If not, please take a look at this article. I’ve never had much success with trading gaps but the topic interests me. After reviewing […]

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Higher Time Frame Stops Strategy Tool

This article deals with a tool to help you test various stops when building trading systems in TradeStation’s EasyLanguage. This topic is really a part 2 of the article, “Advanced Stops and Targets Strategy Tool“. In the original article the created tool called _Stops&TargetsAdvanced is a simple strategy based on an existing TradeStation strategy called  […]

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Disabling Trading At Profit Target or Max Stoploss

When building trading systems, particularly intraday trading systems, you often run into the special conditions where you might want to stop trading. Those two conditions are: 1) When a particular daily profit target is reached. In this case you have determined that when a particular dollar amount is reached in profit then no more trading should be done for […]

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Ivy-10 Portfolio 2015 Update

It’s that time of year to update the performance of the Ivy-10 Portfolio. What is the Ivy-10 Portfolio? Back in 2012 I finished reading a very interesting book called “The Ivy Portfolio”. This book was written by two money managers, Mebane Faber and Eric Richardson, who work at Cambria Investment Management. The authors wanted to answer […]

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This Simple Indicator Makes Money Again and Again

Here we are four months into 2016 and I’ve not updated some of the more interesting articles. One of those is Connors’ 2-period RSI strategy. This is a very popular trading method by Larry Connors and Cesar Alvarez. We all know there are no magic indicators but there is an indicator that certainly acted like magic over several […]

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Improving The Summing Strategy

In a recent series of articles by Kevin Davey, a method of combining multiple trading strategies into one single strategy was presented. Kevin’s concept is a great way to tackle the issues of trading multiple systems on the same instrument. Kevin’s technique is to create a “summing” strategy where there is one single buy or sell signal and the […]

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When To Go Short: S&P Intraday Price Study

When To Go Short: S&P Intraday Price Study

This article is going to be an extension of a previous article where we performed an intraday price study. We do this by exploring different market sessions to determine if we can find an edge for a possible intraday trading system. If you have not read the previous article, When To Go Long, I urge you […]

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When To Go Long: S&P Intraday Price Study

In this article I would like to perform an intraday price study to explore the intraday action of the market to determine if we can find an edge. I’m going to be using the S&P E-mini futures market, but the principles here could be applied to any market. In particular, I’m interested how different times of the day affect different […]

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