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Tag Archives for " mean reversion "

MCVI Indicator and Strategy on Daily Charts

A while back we posted an article called, “Modified Chartmill Value Indicator“, the author presented an indicator that might prove helpful in your trading. The indicator is an oscillator which highlights overbought and oversold conditions. The author created a simple test strategy to test the effectiveness of the strategy. The results looked promising and you […]

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Simple Shorting Strategy

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 […]

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The Double Seven Strategy

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. […]

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Better To Buy Strength or Weakness?

Emotionally it’s a lot easier to buy on strength than to buy on weakness. Buying into a falling market feels unnatural. Your instincts warn that price may continue to fall resulting in lost capital. On the other hand buying when the market makes new highs feels more natural. Price is moving in your direction and […]

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Using System Parameter Randomization To Estimate Future Returns

You just spent a ton of time creating a trading system and being very careful not to over-optimize. You then tested it on the out-of-sample data segment and the performance looks good. What’s next? Jump right into the live market? Maybe. But instead, you would like to perform one more test called System Parameter Randomization. The article, System Parameter […]

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This Simple Indicator Makes Money Again and Again

Here we are four months into 2016 and I’ve not updated some of the more interesting articles. One of those is Connors’ 2-period RSI strategy. This is a very popular trading method by Larry Connors and Cesar Alvarez. We all know there are no magic indicators but there is an indicator that certainly acted like magic over several […]

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When To Go Short: S&P Intraday Price Study

When To Go Short: S&P Intraday Price Study

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 […]

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What is the difference between Relative Strength and Trend Following ?

The Different

After publishing our Two Centuries of Momentum article last week, we received a number of requests for our thoughts on the recent underperformance of multi-asset, relative strength portfolios Now, we tend to fall more on the trend following side of momentum.  So we wanted to spend some time talking about the difference between relative strength and […]

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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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Trend Testing S&P Emini Futures Market

Some markets exhibit trending behavior while others do not. I was wondering what would be a good way to determine if a given market exhibits trending behavior. One simple method to accomplish this is to build a simple trend following strategy and test how well it performs.  Then build a simple mean reversion strategy and […]

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