Post Tagged with: "automated trading"

Market Seasonality Study

November 28, 2016 5:00 am8 comments

November is almost over and it’s often stated that November is the start of a historically strong period for the U.S. markets. This is a well known seasonality period which runs from November to May. Look back, it sure seems true this time around. In this article I would like to take a closer look at the seasonality bias which so many investors and traders talk about.  Seasonality Bias First, I would like to test the popular trading idea of buying the S&P in November and selling in May. I will test this on the cash market going back to 1983. The number of shares to buy will be adjusted based upon a fixed amount of risk. In this case, $5,000 is risked per […]

Read more ›

The Perils of Buying Trading Systems

November 21, 2016 5:00 am4 comments

Ugh. I’ve done it again. I bought a “can’t miss” trading system I saw on the Internet. What looked so good in the advertisement turned out to look just as bad when I traded it with real money. This seems to happen to me EVERY time I buy a system. Why? Sounds familiar? It certainly should, if you are in the habit of buying trading systems. That is not to say there are not good ones out there – there certainly are. But by and large, purchasing trading systems is an exercise fraught with peril. Here are some reasons why it is so dangerous, and how to protect yourself. Inherent Dangers in Buying a Trading System When you buy a […]

Read more ›

Simple Shorting Strategy

October 17, 2016 5:00 am9 comments

Over the years I’ve looked at several very simple long strategies that were published in the book, “Short Term Trading Strategies That Work” by Larry Connors and Cesar Alvarez. Those articles include the following long strategies: Double Seven Strategy RSI(2) Strategy VIX Stretch Strategy RSI And VIX Strategy Buried within Connors and Alvarez’s book you will find one simple shorting strategy which can be used on the major market indices. In this article I will review this strategy and also combine it with the Double Shorting strategy we explored last week. Simple Shorting Strategy The rules of this system are very simple. The instrument must be below its 200 day moving average. If the instrument closes up for four or more days in […]

Read more ›

The Double Seven Strategy

October 10, 2016 5:00 am4 comments

It’s time to look at another simple trading system which can be found in the book, ”Short Term Trading Strategies That Work” by Larry Connors and Cesar Alvarez. In this article we are going to look at the Double 7 strategy. This is a simple strategy that can be applied to the major market indices such as DIA, DOW and QQQ. It can also be applied to the futures markets. The rules of this system are very simple. The instrument must be above its 200 day moving average. If the instrument closes at a 7-day low – buy. If a long position is open and the instrument closes at a 7-day high – sell. The trading system follows two basic concepts we have talked a lot about on this […]

Read more ›

Step One In Building An Intraday Trading System

September 26, 2016 5:00 am7 comments

If you have been reading System Trader Success for a while you’re probably familiar with how I develop trading systems. The very first step is to come up with a simple idea to act as the seed or core of your trading system. I call this your key concept. This key concept is a simple observation of market behavior. This observation does not need to be complex at all. In fact, they are often very simple. For example, here is a key concept: most opening gaps on the S&P market close if the gaps are less than 4 points. This key concept is very simple, and testable. It is from such observation that I’ll often start to build a trading […]

Read more ›

Two Dimensional Market Environment Filter

September 5, 2016 5:00 am13 comments

In this article I’m going to demonstrate a technique to help adapt your trading systems to the changing market conditions. In a previous article entitled, “Trend Testing Indicators“, I tested several indicators that could be used to divide the market into two modes: bullish and bearish. These two modes were then used to dictate how the trading system should execute its trades. For example, during a bull mode only open long trades. During a bear mode only open short trades. In essence, we made our system adapt to the given market conditions. However, we can take this concept further by looking at a different market characteristic: trend strength. A market may be in a bull regime, but how strong is […]

Read more ›

Trade Recorder Function And Strategy

August 8, 2016 5:00 am0 comments

When developing, testing, or simply tracking an existing trading system it can be helpful to have each individual trade exported to an Excel file. Such data can be useful in analyzing the system performance. For example, the data can be used to calculate the trading system’s Expectancy and Expectancy Score. Or, the data could be used within a Monte Carlo simulation to give you a better idea of how the system may behave when different position sizing models are applied. In this article I’m going to demonstrate two EasyLanguage programs that can be used to export your trade history to an Excel file. The first program is a TradeStation function called Trade Recorder Function. This was originally released in the fall of […]

Read more ›

Capture The Big Moves!

July 25, 2016 5:00 am19 comments

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 on August 15, 2009. Such an indicator would have also gotten you out of the market during the dot-com crash on November 11, 2000. Well, this indicator I’m going to talk about does just that. Below you will also find the EasyLanguage code for this indicator. This major trend indicator was inspired by an article entitled “Combining RSI With RSI” by Peter Konner, and it appears in […]

Read more ›

Intermarket Divergence – A Robust Method for Signal Generation

May 2, 2016 5:00 am21 comments

Many markets are interrelated. These interrelationships can offer predictive capabilities for many markets. The study of these interrelationships is called intermarket analysis. In this article I will briefly explain a robust method for generating robust signals for a wide range of markets. I will also offer a free TradeStation tool to help you explore intermarket relationships. Standard correlations between markets are not useful if our goal is to either predict future prices or generate profitable signals because current correlation does not tell us anything about future prices. A methodology we originally developed in the mid 1990s called intermarket divergence allows us to gauge the predictive power of an intermarket relationship and produce 100% objective signals. During the past 17 years […]

Read more ›

When To Go Short: S&P Intraday Price Study

March 14, 2016 5:00 am0 comments

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 to read this because we are going to jump right in and explore the same concept on the short side. As a reminder here are the five different market sessions we will be looking at. Six Market Sessions Pre-Market, 06:20 – 08:30 The Open, 08:30 to 10:40 Midday, 10:40 to 13:50 The Close, 13:50 to 15:00 Post-Market, 15:00 to 17:10 We will be using the […]

Read more ›