Category Archives for Strategies

Two Swing Trade Systems (Part 1)

In my recent posts I’ve made reference to various swing-trade systems I’ve developed, which I’ve used as data to discuss things like correlation, diversification, and the value of leveraged ETFs. I’ve had a number of people say, “Hey, what are these systems you’re referencing?”. The short answer is: they’re not something I’m discussing publicly. “But that’s […]

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Using Metals to Trade Bonds

Sometimes things in the financial markets are pretty obvious if one is willing to see them.  Despite all of the angst that has been exhausted since July of 2016 – when the S&P 500 Index broke out to a new all-time high – regarding the 2016 election, the economy, interest rates and the “ultimate” effect […]

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Dual Momentum – The Famous 5 Portfolio

This article describes a Dual Momentum study over a multi-asset ETFs basket with a new attempt to improve this well-known investing style. Dual Momentum **strategies rely on two different very simple filters: absolute momentum and relative momentum**. Absolute momentum **(rule 1) is a trend following filter used to switch any selected assets that have a negative excess return over the risk-free rate to […]

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Improving The Double Seven Strategy

In this article I want to take a look at a reader’s recommendation on improving the Double Sevenstrategy. If you recall, the Double Seven strategy is a long-only strategy for the the broad U.S. indexes. It was created by Larry Connors and was covered in a previous article, “Double Seven Strategy”. Recently a reader pointed out a […]

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The Journey

“The journey, Not the destination matters…” ― T.S. EliotYou might be wondering what the Nobel Prize winning poet, T.S. Eliot has to do with trading. No, he did not leave a secret trading manual in his attic for his grandchildren to stumble upon. And I’m guessing he did not even trade – he was too busy […]

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World’s Simplest Trading System

a-tree-on-the-horizon

Here’s the system: At the end of every month, * if the index is above its 10-month simple moving average: the portfolio is 100% in the market * if the index is below its 10-month simple moving average: the portfolio is 100% in cash  And that’s it. So, if we take the FTSE 100 Index […]

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Sharpe Ratio – the right answer to the wrong question?

TradingEdgeVisualiser

Sharpe was the right answer First, let’s start with what Sharpe does well. There are two things it does well: Cross-asset unified measure: we all know that the most important component in alpha generation is asset allocation. Now, the difficulty is to have a single measure of risk-adjusted measure of alpha. This is where Sharpe […]

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MCVI Indicator and Strategy on Daily Charts

A while back we posted an article called, “Modified Chartmill Value Indicator“, the author presented an indicator that might prove helpful in your trading. The indicator is an oscillator which highlights overbought and oversold conditions. The author created a simple test strategy to test the effectiveness of the strategy. The results looked promising and you […]

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Open Up!

This is kind of a weird one. I was mulling over the question of what happens when the market opens up, i.e. above its previous close. Is the day likely to be an up day? A down day? I got out of my data and started poking around. I looked at all “open-up” days with […]

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Connors 2-Period RSI Update for 2016

With the year 2016 well behind us, it’s time to look at the very popular 2-period RSI 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 decades. What indicator is it? Our reliable RSI indicator. The modified 2-period RSI […]

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