Category Archives for Strategies

Yes, You Can Time the Market. How It Works, And Why

One of the most commonly cited maxims is that market timing is impossible. In fact, empirical evidence makes a compelling case that market timing is feasible and can yield substantial economic benefits. What’s more, we even understand why it works. For the typical portfolio investor, applying simple techniques to adjust their market exposure can prevent […]

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Trading Multiple Strategies With The Same Instrument – Part 3

In the last two articles (article 1, article 2), I discussed the need for trading multiple strategies with the same instrument in the same account. This type of capability is very important to a trader who wishes to trade a diversified portfolio, while at the same time efficiently managing margin. Unfortunately, with many platforms this […]

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Trading Multiple Strategies With The Same Instrument – Part 2

In the previous article, I discussed the need for trading multiple strategies with the same instrument in the same account. This type of capability is very important to a trader who wishes to trade a diversified portfolio, while at the same time efficiently managing margin. Unfortunately, one of the limitations of Tradestation, my trading platform […]

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Trading Multiple Strategies With The Same Instrument – Part 1

Tradestation is a pretty amazing testing and development platform. I’ve been using it for over 10 years, and I’ve been very happy overall with it. Sure, there are certain aspects of it I don’t like, and certain things that are hard to do, but I think that is true of almost any platform. My biggest […]

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Avoiding Stock Market Crashes with the Hi-Lo Index of the S&P500

This daily indicator is calculated as the ratio of the number of S&P500 stocks that have reached new 3-month-highs minus those that have reached new 3-month-lows, divided 500. Exiting and entering the stock market according the indicator’s signals would have avoided major drawdowns of the market during the backtest period from Jan-2000 to Aug-2015. Switching according to the signals […]

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The Simplest System You’ll Ever Find for the S&P E-mini

a-tree-on-the-horizon

Warren Buffet has been quoted many times as saying, “If I don’t understand it, I don’t invest in it, no matter how attractive it may appear.” I love that quote for a number of reasons, but I think it’s a great advice for system traders as well. We (myself included) have a tendency to get […]

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Improving The Simple Gap Strategy Part 5

In the last article of the series, Improving The Simple Gap Strategy Part 4, I continued my attempt to improve the Simple Gap strategy by testing dynamic stops and targets. As it turned out these did not seem to offer much benefit. In this article I’m going to take what we have learned over the past couple of […]

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Improving The Simple Gap Strategy Part 4

In the last article of this series, Improving The Simple Gap Strategy Part 3, I tested a price-based filter on the in-sample data. This filter was based upon the price action of the previous trading day. During this test we discovered that if the previous trading day was a down-day we could open a Simple Gap trade today. […]

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Improving The Simple Gap Strategy Part 3

In the last article in this series, Improving The Simple Gap Strategy Part 2, I tested two filters on the OOS sample data. The first filter was a day-of-week (DOW) filter which did not produce decent results.  The second filter, Gap Size, did show promising results. Reviewing my notes from years ago, I also discovered that the size […]

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A Different Kind of System…

So I’ve got this great new system I wanted to share: it wins 57% of the time with a great sample size of 915 trades, only risks a meager $100 a trade, has a max drawdown of $700, has made money 9 out of the past 10 years, has a nice steady equity curve, and […]

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