Post Tagged with: "EasyLanguage"

The Laguerre RSI vs Classic RSI

January 9, 2017 5:00 am1 comment

John Ehlers is a name you’ll run across when you start your journey into testing various indicators and filters to be used in your trading models. I remember reading about the Laguerre Filter and Laguerre RSI many years ago when they first appeared on the scene. At the time I was not nearly into quantitative trading as I am today. So let’s take a closer look at the Laguerre RSI and answer a simple question: Can the Laguerre RSI perform better than our standard 2-period RSI? Laguerre RSI (LRSI) was authored by John Ehlers. You can read about the Laguerre filter in his article, “Time Warp – Without Space Travel“. At the heart of the LRSI indicator is the Laguerre […]

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Down Days Trading Model

December 19, 2016 5:00 am8 comments

I’ve written a lot about the 2-period RSI indicator popularized by Larry Connors and Cesar Alvarez. This indicator highlights significant pullbacks which can often be buying opportunities within major market indexes like the S&P.  Pullbacks in the market are a result of the market closing down. That means, today’s close is lower than the open. So, can this simple price action be used to locate buying opportunities. In this article I’m going to take a look at this price pattern and compare it to our the 2-period RSI setup. Free EasyLanguage code will be provided at the conclusion of this article. Mean Reversion As a reminder, the traditional two-period RSI indicator (RSI(2)) is an indicator we have used many times on this […]

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The Christmas Strategy Remains Bullish

December 5, 2016 5:00 am1 comment

With Christmas just a few weeks away, I thought it would be interesting to see 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 in 1960. I will create an EasyLanguage strategy that will enter a trade X days before Christmas and close that trade on the opening of the first trading day after Christmas.  Each trade will dedicate $50,000 to purchase shares. Stops, and both commissions and slippage are not utilized in this study. Ten Days Before Christmas First let’s look at the ten days before Christmas. What happens […]

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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 […]

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Testing A Euro Currency Futures Scalping Strategy, Part 5

November 7, 2016 5:00 am0 comments

It’s been a couple of years since I reviewed this potential trading idea of a Euro currency futures scalping strategy. Over the series of articles, which are listed below, I’ve been combing filter to demonstrate how I add different filters to a system based on market conditions. Testing A Euro Currency Futures Scalping Strategy Testing A Euro Currency Futures Scalping Strategy, Part 2 Testing A Euro Currency Futures Scalping Strategy, Part 3 Testing A Euro Currency Futures Scalping Strategy, Part 4 With regards to testing different filters, you’ll notice that I always go back to the baseline system when testing a new filter to help reduce over-fitting the system to the historical data. It is on the baseline system where it will determine if […]

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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 […]

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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 […]

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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 […]

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Using EasyLanguage To Limit Trades

September 19, 2016 5:00 am6 comments

In this article I’m going to demonstrate an EasyLanguage technique to limit the number of trades your trading system will take within a given period. Most often this is done to limit the number of trades a strategy will open in a single day. For example, you may want your day trading strategy to only take a maximum of 20 trades per day. Once it reaches that number, you wish the strategy to not open any more trades until the next trading day. The code I’m going to write will be a more flexible method than the built-in TradeStation reserved word, EnteriesToday. This works fine in many cases, but what if you wish to limit the number of trades in the […]

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Finding Out What Works, And What Doesn’t Work

August 22, 2016 5:00 am12 comments

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 all things related to trading, past performance is no guarantee of future results. Unfortunately, many people who try systematic/algorithmic/mechanical/rule-based trading for the first time bring along a lot of the baggage that they have acquired from their previous method. Depending on the pre-conceived notions they bring into mechanical trading, these new systematic traders may run into a lot of frustration and trouble. Many times, for […]

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