The case for Fuzzy Logic in Trading The more I backtest strategies the more I feel the need for robustness in a system. There is no point to optimize return. One should optimize certainty of positive return. Most strategies that do really well in the past are over complicated and over-fitted and tend to loose money. One …

# strategy development

## The Yield Curve as a predictor for the SP500

*This post was drafted on September 2011 and not posted. I am posting it now with an updated chart at the end. The question is: Does Treasury Yield data contain usable information on trading the SP500? The answer seems to be yes. I am using 3 month, 5 year, 10 year and 30 year Treasury …

## 7 Winning Trading Systems Reviewed – Pt. 3: RSI 25 75

Read pt.1 REad pt.2 Back in 2009 Larry Connors and Cesar Alvarez published several short term trading systems in their book “High Probability ETF Trading”. They described 7 mean reverting strategies. What happens, then once a strategy becomes public domain? Do they loose their edge? All tests are performed on a set of 20 ETFs: DIA,EEM,EFA,EWH,EWJ,EWT,EWZ,FXI,GLD,ILF,IWM,IYR,QQQQ,SPY,XHB,XLB,XLE,XLF,XLI,XLV …

Read more7 Winning Trading Systems Reviewed – Pt. 3: RSI 25 75

## 7 Winning Trading Systems Reviewed – Pt. 2: MDD / MDU

Back in 2009 Larry Connors and Cesar Alvarez published several short term trading systems in their book “High Probability ETF Trading”. They described 7 mean reverting strategies. What happens, then once a strategy becomes public domain? Do they loose their edge?All tests are performed on a set of 20 ETFs:DIA,EEM,EFA,EWH,EWJ,EWT,EWZ,FXI,GLD,ILF,IWM,IYR,QQQQ,SPY,XHB,XLB,XLE,XLF,XLI,XLVTthe strategy can hold up to 10 ETFs …

Read more7 Winning Trading Systems Reviewed – Pt. 2: MDD / MDU

## 7 Winning Trading Systems Reviewed – 3 Day High/Low

Back in 2009 Larry Connors and Cesar Alvarez published several short term trading systems in their book “High Probability ETF Trading”. They described 7 mean reverting strategies. What happens, then once a strategy becomes public domain? Do they loose their edge?All tests are performed on a set of 20 ETFs:DIA,EEM,EFA,EWH,EWJ,EWT,EWZ,FXI,GLD,ILF,IWM,IYR,QQQQ,SPY,XHB,XLB,XLE,XLF,XLI,XLVTthe strategy can hold up to 10 ETFs …

Read more7 Winning Trading Systems Reviewed – 3 Day High/Low