Post Tagged with: "S&P Emini"

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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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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Better To Buy Strength or Weakness?

October 3, 2016 5:00 am4 comments

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 the sky is the limit! However, with so many other aspects of trading what feels natural or easy is often the opposite of what you should be doing. Trading psychology can make or break not only your mental state-of-mind but your trading account. In this post I’m going to compare these two different trading strategies on the S&P E-mini futures market and see which one produces better […]

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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 […]

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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 […]

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When To Go Long: S&P Intraday Price Study

February 8, 2016 5:00 am6 comments

In this article I would like to perform an intraday price study to explore the intraday action of the market to determine if we can find an edge. I’m going to be using the S&P E-mini futures market, but the principles here could be applied to any market. In particular, I’m interested how different times of the day affect different trading strategies. The trading day, as defined by the U.S. open and close, for the S&P is six and a half hours. That translates to 390 minutes. We can then break the day up into three 130-minute periods. Let’s also explore the times before and after the regular day session. To do this we can add a 130-minute period before the market open (Pre-Market) and a 130-minute […]

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Top Five Most Popular Articles From 2015

January 4, 2016 5:00 am0 comments

Happy New Year system traders! With the new year it’s time to take a look back at 2015 and highlight the top five most popular articles. These articles all provide great material to help you in your systematic trading. Did you miss any of these articles? If so, now is your chance to review this popular material and see where it might fit into your system development process. I determined the top five articles based upon the number of views the article received. So let’s get going by starting with the 5th most popular article for 2015… Number 5 Connors 2-Period RSI Update For 2014 Once again the simple 2-period RSI trading models popularized by the book, “Short Term Trading Strategies […]

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A Complementary Approach To Trading Technical Indicators

October 26, 2015 5:00 am5 comments

In the October issue of Futures magazine author Jean Folger discusses an important aspect when selecting two or more indicators when developing a trading system. While I don’t recommend simply combining indicators to create a trading system, and I don’t think that’s what Folger is suggesting either, when there comes a time to introduce two or more technical indicators to a trading system, this is when Folger’s advice is relevant. The author highlights a common mistake when selecting two or more indicators that could really hinder the performance of your system. By following Folder’s advice you can multiply the effectiveness of your system by selecting two or more indicators when done properly. Types of Indicators When it comes to technical indicators we are talking about mathematical formulas that are applied to price or volume. These technical indicators include MACD, Moving Averages, […]

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Trend Testing S&P Emini Futures Market

July 20, 2015 5:00 am5 comments

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 apply it to the same market. From there we can see which trading strategy performs better. This simple trend following strategy consists of a single 50-period simple moving average (SMA) on a daily chart. To keep things simple, the system only takes long signals. It opens a new trade when price crosses above the moving average and closes that position when a daily bar closes […]

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