Post Tagged with: "Trend Following"

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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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 […]

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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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Seasonality S&P Market Session

November 16, 2015 5:00 am1 comment

In a recent article, Seasonality Study, I took a look at the classic seasonality effect as seen in the U.S. markets. Briefly recapping that article, it shows that the trading days between November through May appear to hold significant gains in the market while the trading days between June and October hold far less profit. In this article I would like to test the market’s intra-day behavior based upon seasonality. This idea came upon me as a reader privately emailed me. We are all aware that different sessions exist for any market. For example, when dealing with the emini S&P we have a pre-market session, the morning session, lunch time session, and an afternoon session. Often you can see distinct characteristics within each session. To test for […]

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Dual Momentum – The Famous 5 Portfolio

November 2, 2015 5:00 am28 comments

This article describes a Dual Momentum study over a multi-asset ETFs basket with a new attempt to improve this well-known investing style. Dual Momentum strategies rely on two different very simple filters: absolute momentum and relative momentum. Absolute momentum (rule 1) is a trend following filter used to switch any selected assets that have a negative excess return over the risk-free rate to cash while relative momentum (rule 2) criteria compares returns of a basket different assets through a ranking list to highlight those assets with the highest return. I considered a time window of three months in my backtest, as it has shown the strongest results. Rule 1: If the asset shows that the last three months return is […]

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What is the difference between Relative Strength and Trend Following ?

September 28, 2015 5:00 am1 comment

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 trend following. Hopefully, in doing so, we can also shed some light on expected performance differences between the strategies as well as against a benchmark. So what is a multi-asset, relative strength strategy?  Traditionally, a relative strength strategy works by sorting securities based on some trailing return metric and tilting the portfolio towards those that have recently out-performed. For example, a “Best 3” strategy might […]

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The Death Cross – What You Need To Know

September 7, 2015 5:00 am0 comments

How well does the Death Cross or the Golden Cross predict future market behavior? One way to see is to create a simple trading system based upon the the Death Cross and Golden Cross signals. Using EasyLanguage it’s simple to create a trading system that is always in the market switching between a long position and short position based upon a moving average crossover. Check out the performance summary. You might be surprised!

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Backtesting the MAC-System – How Long is Long Enough?

October 6, 2014 5:00 am5 comments

Most of us entrust our savings to financial organizations in the belief that this will provide us with better investment results than we could have achieved ourselves. These companies advocate a buy-and-hold strategy of bond- and stock funds, charge fees, and usually perform poorly. A convenient way to improve on buy-and-hold and to do better than financial organizations is to periodically switch one’s investment from stocks to bonds and vice versa as indicated by the Moving Average Crossover MAC-system. The MAC-system (described in Beyond the Ultimate Death Cross) uses cross-overs of moving averages of the S&P 500 to determine investment periods for the stock- and bond market. The key to this model was finding moving averages whose cross-overs have the […]

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Market Phase – Going Beyond The Death Cross

July 21, 2014 5:00 am16 comments

There are many ways to use indicators to help determine when the market is within a bull or bear mode. A common method that works well on trending markets over the long-term has been the so-called death cross and golden cross (Death/Golden Cross) indicator. This topic was discussed in a former article called, The Death Cross – What You Need To Know. I encourage you to read the article which is based on backtesting the indicator on the S&P 500.  Below are the rules used by the Death/Golden Cross to divide a market into a bullish or bearish mode. Bull Market = 50-Period SMA > 200-Period SMA Bear Market = 50-Period SMA < 200-Period SMA In short, the Golden Cross has been a great signal […]

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Comprehensive Guide to the Turtle Trading Strategy

April 14, 2014 5:00 am13 comments

Turtle trading is the name given to a family of trend-following strategies. It’s based on simple mechanical rules to enter trades when prices break out of short-term channels. The goal is to ride long-term trends from the beginning. Turtle trading was born from an experiment in the 1980s by two pioneering futures traders who were debating whether good traders were born with innate talent, or whether anyone could be trained to trade successfully. The turtles developed a simple, winning mechanical trading system that could be used by any disciplined trader, regardless of previous experience. The “turtle trading” name has been attributed to several possible origins. For me, it epitomizes the “slow but sure” results from this system. In contrast to […]

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