I have been looking for ways to visualize what happens to a trading system when we shift it’s parameters. I bumped into this little free tool that might help us do that. Let’s start from the beginning: We will start with a hypothetical mean reversion system and check visually what happens as the parameters change.We …
Mon AMMI
No, it’s not french and it’s not the movie.It’s a fast-N-rough “Adaptive Multi strategy Multi Instrument” model. Let’s assume we want to trade mean-reversion: If price moves down we buy, if it moves up we sell. Possible Indicators from the blog-o-sphere:RSI(2),RSI(3),RSI(4)DV2 here and hereBSI here or hereBoilingerBandsCRSI hereTD9 here Question 1: Which Indicator to use? One …
Seasonals – SP500, Euro
Here’s the strategy: Each month we buy at the Open of the first day of the month and sell at the close of the last day of the month. Here’s the average profit loss for the S&P500 Etfs, SPY (yahoo:SPY). Data from 1993. This chart shows that for example if we bought every December @ …
Connors RSI – Part 1
One of the readers of this blog, Mark, alerted me to a new indicator/system published from Connors/Alvarez : The ConnorsRSI. What is the ConnorsRSI? It consists of three components:a. Short term Relative Strength, i.e., RSI(3).b. Counting consecutive up and down days (streaks) and “normalizing” the data using RSI(streak,2). The result is a bounded, 0-100 indicator.c. Magnitude of the move …
Quiz System
Here’s the Equity curve: And here’s the code: Buy=Sell=Short=Cover=0;if (StrFind(“WOODGDXEPUIDXPALLJJG”, Name()))Buy=Sell=1;qty=6;SetOption(“MaxOpenPositions”,qty);;PositionSize=-98/qty;SetTradeDelays(0,1,1,1);BuyPrice=C;SellPrice=O;ShortPrice=O;CoverPrice=C; What’s happening here? This is a variation of Jay Kaeppel’s post at optionetics but using some extra ETFs that have exhibited the same kind of behavior. Original article: http://www.optionetics.com/market/articles/2012/11/28/kaeppels-corner-the-greatest-gold-stock-system-youll-probably-never-use It buys equal amounts of each of these 6 etfs: WOOD,GDX,EPU,IDX,PALL,JJG.It buys on the close …