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…
Once again the simple 2-period RSI trading models popularized by the book, “Short Term Trading Strategies That Work“ makes it on this list. This article is an update on the performance of the trading models through 2014. Again, this series of trading models is due for an update as I’m sure many are wondering how they have been holding up through the year 2015.
This article has remained very popular over several years. The article takes a look at a simple moving average crossover system and attempts to use simple techniques to improve the system’s performance by reducing the number of whipsaws during those dreaded range bound markets. Whipsaws occur when a market moves from a trending mode to a consolidation mode. During this consolidation mode the system gets whipsawed from long to short creating a string of losing trades. Long trades suddenly reverse hitting your stop. Likewise for short trades. These ‘false signals’ can destroy your equity curve. In this article two simple methods are introduced. These ideas can easily be implemented into your trading systems and may provide a great starting point for a trend following system.
Back in 2011 I read a very interesting book called, “The Ivy Portfolio”. This book was written by two money managers, Mebane Faber and Eric Richardson, who work at Cambria Investment Management. The authors wanted to answer the question of why money managers who manage some of the world’s best Ivy League schools produce such consistent results. Routinely Harvard and Yale endowments produce double digit annual returns. Since 1985 Yale University has returned around 16% annual returns and Harvard over 15% annual returns. Not only did they produce outstanding returns, but they did it by also reducing volatility and drawdown. A very important aspect to money management!
Wouldn’t it be nice to mimic the investing strategy utilized by these endowments? Well, the authors do just that. Faber and Richardson set out to explore how these endowments produce such great returns and minimize both volatility and drawdown. They go a step further by providing several simplified, yet effective models to mimic the trading results of these professionals. The heart of one of their proposed models is a simple relative strength, asset allocation strategy using ETFs.
It seems systematic traders just can’t get enough of of Connor’s 2-period RSI. This update is from 2014 yet it still was highly read.
This is a popular article as it was written back in 2013 but still draws a ton of eyeballs. In short, this article discusses how to verify if a certain trading system is robust or not. This is a “must” topic for system traders. The information presented is for the retail investors with particular attention to: optimization and curve fitting, market selection, backtesting, walk-forward testing, portfolio creation, intraday algorithmic trading, and so forth.
Thanks for helping make System Trader Success a great website for system developers. In 2016 we will continue to bring you great content, trading models, trading tools, and market research that can help you create profitable trading systems. Here is one big item we have coming up for you!
System Development Master Class Goes Live
This has been a long time in the making! I’m currently putting the final touches on an extensive on-line video class where I will show you how to build profitable trading systems. In the videos I’m going to walk you through the very steps I use to build profitable trading systems. In the class I will be creating a trading system and you will get to follow along to see how I do it. I will be demonstrating how I test profit targets, stops, and filters along with the use of tools and techniques to avoid curve fitting. It will be a comprehensive class that will give you the skills and techniques to build your own trading systems. This should be available soon! If you want to get notified when this class goes live you can visit here.
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Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.