Market Phase – Going Beyond The Death Cross

About the Author Jeff Swanson

Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.

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  • Rob says:

    When compiling code TS write: _CE_Normalize_Units_vs_Volatility is unknown identifier. Where is problem?


    • Did you download the strategy ELD? The “_CE_Normalize_Units_vs_Volatility” is a function that should be contained within the ELD.

  • rob says:

    Trying to run this on some other symbols and shorter time frames.Symbol UPRO and futures @ESu14.I get a Macro Error..

    • rob says:

      I got it.Trying to optimize the parameters for shorter timeframes.Any thoughts?

      • I would not be so quick to use the Market Phase as a possible system on lower timeframes. Lower timeframes contain more noise and are difficult to trade just using moving averages. However, using the Market Phase or the Golden Cross as a regime filter (daily chart) to filter for trades on lower timeframes would probably be more beneficial.

    • This should work on any symbol but I’ve not tested it on smaller timeframes. It is designed for the daily timeframe.

  • G. says:

    I have a double criticism about all of your systems:
    1) they don’t include any commission/slippage fee
    2) they are generally based on daily bars, which produces very few trades (very often less than 100).
    I understand that your goal is not to provide fully working systems, but both these issues are a strong “minus” against statistical reliability.

    • Thanks for writing. 1) Slippage and commissions are included as stated in the article. 2) I disagree. I think there is a lot of validity in both the golden cross and the market phase indicators. 50+ samples since 1973 is good-enough for me to draw some general conclusions on the market. That is, price above a 200-day SMA tend to show strength into the future. Prices below a 200-day SMA tend to show weakness or choppiness. Furthermore as you pointed out, the Market Phase strategy code provided is not a trading system, but could be used to help define various regimes and thus, act as a filter. As such, these filters have worked well for me in real world application and have helps other system traders in real world application.

      • rob says:

        I agree with G on one aspect.I think some of us would like to see some of these run on smaller time frames.Not necessarily a one minute chart but something besides a dialy chart.Your work is greatly appreciated

  • wq says:

    Hi Jeff,

    How can subscribe to your posts? I can’t find the entry.

    • Hello and thanks for writing. I just added a simple sign-up form at the bottom of every article. Put in your name and email and you’ll get notified when a new article is published.

      • wq says:

        Hi Jeff,

        I can’t see the sign-up form except the reply form. Can you check?

    • Here is a snap shot of my screen with the sign-up form circled in red. Does this help?

      • wq says:

        Hi Jeff,

        Thanks for the screenshot. I still can’t see the form, most likely our network blocked some JavaScript code (I’m in China)…
        No problem. Can you do me a favor to sign up for me?
        Name: wqking
        email: wqking (you may know where to add AT).


  • rick says:

    Jeff, whenever I load the strategy on the daily chart tradestation crashes. Any ideas?

    • Jeff Swanson says:

      Hey Rick. Sorry about that. I’ll need more information to provide any help. I just made a minor change to the code which might be causing a problem. Download the ELD file again and give it a try.

  • Ian says:

    Hi Jeff,
    What timeframe are you using for backtest. Trying to repo results but Tradestation only goes back 26 years and my results are less. Net at 177K. I used the TXT file.

    • Jeff Swanson says:

      I was using daily data of the S&P cash index.

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