Category Archives for System Development

Two Swing Trade Systems – Part 2

Yesterday I discussed two swing-trade systems that work pretty well in out-of-sample data. While each works differently, they overlap enough that you don’t get any benefit from running them both at the same time. One great thing about these two systems is that they’re dead simple to manage. Trade at the open or the close, […]

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Discover Best Trading Rules with Perceptron Search

Every system developer has a list of rules and indicators that they want to test out. The problem every developer faces is narrowing down that list of rules and indicators to the select few that are best worth focusing on. A quite similar and related problem that every developer has to deal with is having […]

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Is The Christmas Season Bullish For U.S. Markets?

With the Christmas season upon us, I thought it would be interesting to review how the S&P behaves in the days just before Christmas. Do the days just before this holiday tend to be bullish, bearish, or neutral?  To test the market behavior just before the Christmas holiday I will use the S&P Cash index back […]

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Seasonality S&P Market Session

In a recent article, Seasonality Study, I took a look at the classic seasonality effect as seen in the U.S. markets. Briefly recapping that article, it shows that the trading days between November through May appear to hold significant gains in the market while the trading days between June and October hold far less profit. In this article I […]

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Testing Market Regime Indicators

Often when designing a system it’s important to keep the big picture in mind. What is the overall market doing? The most simple way to accomplish this is to break the market into two regimes: bullish and bearish. We are all aware that price action is a mirror of human psychology of market participants, therefore […]

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Finding Out What Works, And What Doesn’t Work – Part II

In Part 1 of this series, found here, I ran a simple study of a trading system, in order to look at some of the common components (such as end of day closes, short versus long bar periods) that many system developers add to their trading system. Could some of these strategy building blocks be […]

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System Performance and Confidence Interval

When you review the performance of a trading model, how do you know it’s worth trading for? How do you know it’s the right system for you? How confident are you that it will continue to profit in the future? When it comes to evaluating your trading model there are many factors to take into […]

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Finding Out What Works, And What Doesn’t Work

Many traders who try system trading have previously had difficulty at discretionary or manual trading. Most of these folks eventually recognize the benefit of trading a system with well defined rules – a system that has performed well in the past. It is nice to know a trading approach has historically worked, but as with […]

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The Bullish Outside Month

I came across an article over at the blog, Jay On The Markets, that talked about applying a bullish outside indicator on a monthly chart. The article I was reading is entitled, “One Sign That the Bull May Still Have Legs​”. In this article Jay talks about the incredible run the U.S. broad market has experienced […]

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Best Times To Day Trade

TimingMoney

If you are developing a trading system to trade intraday charts you might want to know when are the best times to day trade. This article is aimed at those who enjoy opening and closing a trade within a day. That is, those of you who are day traders that end the day with your […]

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