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Weighted Average Pull Back with Low based Exit

By | Blogg, Daytrading, Futures, Stocks/ETF | No Comments

Here I used Weighted Average to pullback market edge and uses days ago lowest to exit at the market. This could be a fine approach to stocks and other indices as well.

Below are the test results for the edge and the equity graph. You may further test, analyze and improve the edge using different filters and exits.

 

Here is the strategy logic(Are you interested in code and workspace for Tradestation?)

Strategy Idea

  1. Today’s close should be lower than or equal to, 2 days ago weighted average of 15 days low,                                then buy a share at market IF there is no active trade.
  2. Exit: When today’s high is more than or equal to, 15 days ago lowest of 55 days,                                                      then exit at market

 

An effective way to use Range Distribution

By | Blogg, Futures, Stocks/ETF | No Comments

This Strategy idea is based on the Distribution of Range, and here is how it’s used. When (if) the today’s range is higher than the past 11 day’s range distribution, you buy the next bar at the market.

In order to have an idea about market direction, here I used the change of Close as well. If the market direction is to the short side, go for a short sell.

As seen in the results below, this is a very useful edge, producing desirable results. And if you want to improve these results, all you have to do is test this with different exits.

 

 

Here is the strategy logic(Are you interested in code and workspace for Tradestation?)

Strategy Idea                                    

  1. Today’s range should be more than its 11 days Average+(StdDev*2)
  2. If today’s close is more than its 8 days back value, then we buy next bar at the market.
  3. Reverse entry for sell short next bar at the market.
  4. Exit after 23 days.

 

Average True Range Pull Back

By | Blogg, Futures, Stocks/ETF | No Comments

Here, I used the Average True Range as a decision-making indicator to catch price relative movements to find a useful edge for both long and short sides. This is a very useful edge, especially for currencies. You can test this entry idea with different filters to further improve results.

 

 

 

Here is the strategy logic(Are you interested in code and workspace for Tradestation?)

Strategy Idea

1. When the Average true range of 85 days more than or equal to its 18 days,
buy next bar at the market.
2. If the above condition false then we sell short next bar at the market.
3. When today’s low is more than or equal to 10 days ago high,
then sell next bar at the market.
4. If today’s high lower than or equal to 10 days ago low,
then buy to cover next bar at the market.

An overnight trading idea for Silverminers

By | Blogg, Stocks/ETF | No Comments

A simple and yet effective idea for trading the overnight edge for the Silverminers ETF SIL. The last seven years of trading has resulted in a profit factor of över 8. You can test this entry idea with different filters to further improve results.

 

 

Here is the strategy logic(Are you interested in code and workspace for Tradestation?)

1. Todays close should be more than 2,5% higher than the opening price.
2. If today is Wednesday, then buy at the closing price.
3. Exit next bar at the opening price.

Close Reversion in the Bond markets

By | Blogg, Futures, Stocks/ETF | No Comments

This is simple, but an effective strategy idea in  the 30-year Bond futures market. It is based on a price reversion entry signal with a range-based target entry price. For this edge, you can use an 8-day exit with a stop loss. You can further test this entry idea with different filters to improve results.

 

 

Here is the strategy logic(Are you interested in code and workspace for Tradestation?)

  1. Today’s close should be lower than or equal to yesterday close, then we buy next bar at target price or higher                                              Target Price: Close + (Range * 0.1)
  1. If today’s close is more than or equal to yesterday close, then sell short next bar at the target price.                                                                Target Price: Close – (Range * 1.3)
  1. Exit after 8 days.
  2. Exit if open position loss is greater than $3,000

A quick and effective way to catch SP500 swings

By | Blogg | No Comments

Here is another way to catch a quick profit in the market. You simply use the IBS, RSI and a 200 day moving average to buy and sell the next day. Very impressive results using this simple technique. It works well on futures as well as on other indexes and sectors as well.

Here is the strategy logic(Are you interested in code and workspace for Tradestation?)

  1. A 4 day rsi should be more than 45.
  2. Todays IBS should be lower than 0.3
    Inter bar strength is defined as follows:
    (Close – lowest) / (high – lowest)
  3. If todays close is more than 200 day MA and
    lower than yesterday, then we buy at close.
  4. Exit next bar on open price.

Using IBS together with an oscillator to catch swings at night

By | Blogg, Futures, Stocks/ETF | No Comments

A simple but yet effective way to trade the upward bias for the stockmarket during the night. We buy at the close and sell at the open using nothing else than RSI, IBS and a simple 200 day moving average. A very nice equity curve as you can see. Here we have tested it on the ETF SPY. However, it works well for other indexes as well as for futures.

Here is the strategy logic(Are you interested in code and workspace for Tradestation?)

  1. RSI of 10 days close should be lower than 40.
  2. Todays IBS should be lower than 0.5
    Inter bar strength is defined as follows:
    (Close – lowest) / (high – lowest)
  3. If todays close is more than 200 day MA,
    then we buy on close price.
  4. Exit at next bar on open price.

Usage of Directional Movement Strength to Successful Exits

By | Blogg, Futures, Stocks/ETF | No Comments

This strategy does have a simple entry condition which is based on a 20-day period High and Low. When it comes to the exit I use Directional Movement Strength (DMI plus & minus) to find out the end of a positive or negative trend and to make the right decision.

You can further test this, exit idea with different entries to get much better results than the below.

 

Here is the strategy logic(Are you interested in code and workspace for Tradestation?)

  1. When today’s low is more than or equal to 20 days ago high,
    we buy next bar at the market.
  2. If today’s high lower than or equal to 20 days ago low,
    then sell short next bar at the market.
  3. When upward movement strength of 90 days more than downward movement strength of 55 days,
    then exit at market.
  4. If the above condition false, then buy to cover at the market.

Using percentage change to catch Pullbacks in Index Futures

By | Blogg, Futures, Stocks/ETF | No Comments

Here is a powerful way to use percentage change in order to catch pullbacks. Here I am testing it for the SP500 futures market. A very healthy profit factor of over 4 and a winning percangate of 78%. I believe this could be a nice base of to a swingtrading strategy and also use a little bit of a different logic to what is normally used. The approach can also work with stocks and ETF’s.

Baseline Model Rules   (Are you interested in code and workspace for Tradestation?)

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Trading based on the TRIN, or Arms Index

By | Futures | No Comments

The TRIN or Arms index was developed by Richard Arms in the 1970’s. It is a short-term technical analysis indicator based on the advancing and declining stock issues and trading volume data. The name is short for Trading Index.

I tested many entries and Indicators using TRIN Index for the E Mini 500 futures and most were favorable. However, I saw the best results using RSI as shown below. The edge will work similarly good if you use ETF’s like SPY.

Here are the high-level test results for the edge and the equity graph. You may further test, analyze and improve the edge using different filters and exits.

Baseline Model Rules   (Are you interested in code and workspace for Tradestation?)

1.The average of TRIN Daily Midpoint (34 period) should be more than the upper band of its Bollinger band.

TRIN Daily Midpoint & Bollinger band defined below:
TRIN Daily Midpoint: [(high – low)/2]
Upper Bollinger Band: (TRIN Daily Midpoint, 2 days, 0.5 SD)

2.If the RSI indicator for a 2-day period is lower than 25, then buy at close.
3. Exit: If the RSI indicator for a 2-day period is more than 70, then exit at market.

What if you tweak the RSI indicator a bit?

By | Blogg, Stocks/ETF | No Comments

Here I am trying to use the very popular indicator RSI in a different manner. What if you use the difference between 2 different daily RSI? Here I am using the difference between the 6 day and the 2 day RSI, It works on many other daily parameters as well.

The trading vechicle in this is the popular ETF SPY. SPY is an ETF that tracks the popular SP500 index. This idea can be used on many different markets and stocks either on its own or together with more filters. A nice tool in the toolbox in other words.

Baseline Model Rules   (Are you interested in code and workspace for Tradestation?)

  1. When the difference between a 6 day RSI and a 2 day RSI is above 30 you long at close.
  2.  Exit: When the difference between the 6 day RSI and the 2 day RSI is equal or below zero then exit at close.

An approach to succesfully apply Vix in your swingtrading

By | Blogg | No Comments

The VIX, or Volatility Index, can be used to time your trades to the market. Here we combine it with a couple of classis tools in order to achieve some nice perfomance since 1997 in the SP500 index. The Volatility Index (VIX) measures future volatility. It provides us with a good indication of the level of fear and greed in the market. Volatility is mean reverting. This means that periods of high volatility will eventually revert to their mean and periods of low volatility will eventually rise to their mean. High readings usually occur after a market sell-offs. This edge works on both ETF´s and futures. You can also apply it to stocks as a filter.

Here are the high level test results for the edge and the equity graph. You may further test, analyze and improve the edge using different filters and exits.

Click on ‘read more’ to get the details and logic of the strategy

Baseline Model Rules

Click on ‘read more’ to get the details and logic of the strategy. (Are you interested in code and workspace for Tradestation?)

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Buying the Dip with Bollinger Bands

By | Blogg, Futures, Stocks/ETF | No Comments

A set of rules where we combine some classic indicators where we are using the ETF SPY as a trading vehicle. SPY is an ETF that tracks the popular SP500 index. These ideas would be suitable for the Emini futures market as well.

John Bollinger created a popular indicator in the 80´s whcih he simply called Bollinger Bands. Here we use this indicator together with an indicator created by Wilder back in the 70’s. Classic indicators as you can see. The combinations is giving us a nice equity curve as well as some nice stats. As you can see below it has done a very good job of identifying the times the stockmarket index SP500 have been pulled back and are due to rally.

Here are the high level test results for the edge and the equity graph. You may further test, analyze and improve the edge using different exits.

Click on ‘read more’ to get the details and logic of the strategy

Baseline Model Rules

Click on ‘read more’ to get the details and logic of the strategy. (Are you interested in code and workspace for Tradestation?)

Read More

Daytrading in Nasdaq

By | Blogg, Daytrading, Futures | No Comments

Here is a nice egde that can be called a finished strategy as well. It can work as is or be used as a template to continue your research in the index daytrading universe. It is using 2 very simple tools to get the stats that is shown below. The simplicity of this edge is probably also the reason why this edge will continue to work in the future. Robustness is a key word here at The Robust Trader

Click on ‘read more’ to get the details and logic of the strategy

Here are the high level test results for the edge and the equity graph. You may further test, analyze and improve the edge by using different other filters and exits for example. It is a nice template to continue your resarech in the index daytrading markets.

Baseline Model Rules

Click on ‘read more’ to get the details and logic of the strategy. (Are you interested in code and workspace for Tradestation?)

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Pullback coupled with volume increase – Bond Futures

By | Blogg, Futures | No Comments

This is an edge that works for the bond market (Futures, 30yr T-Bond). You can identify pullbacks using highs and lows of daily bars and measure the volume impact using moving average of the volume in relations to current volume.

Click on ‘read more’ to get the details and logic of the strategy

Here are the high level test results for the edge and the equity graph. You may further test, analyze and improve the edge by using different exits for example. It is a good template to continue your resarech into the Bond markets.

Baseline Model Rules

Click on ‘read more’ to get the details and logic of the strategy. (Are you interested in code and workspace for Tradestation?)

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Profit By Combining ADX And IBS

By | Blogg, Futures, Stocks/ETF | No Comments

Every industry has a set of rules which need to be followed before making a decision. The stock market rules can include a series of indicators which highlight the turning point in the trade.

For this particular test, we intend to use the ETF SPY as a vehicle. SPY is the symbol for an SPDR S&P 500 exchange-traded fund which trades on several exchanges. The abbreviation SPDR stands for the Standard & Poor’s Depositary Receipts, which was the former name of the ETF. The logic here can be used for both the ETF market and the Emini futures market.

We will also use the popular indicator ADX, which was created by Welles Wilder in the 70’s along with a 10 day low and an IBS. An IBS is an oscillating indicator which measures the relative position of the close price with respect to the low to high range. The acronym IBS stands for “Internal Bar Strength” and can be calculated as follows: (close – low) / (high – low).

These rules have been utilized to correctly predict the direction of the market 89% of the time since 1998. In fact, they have done a very good job of identifying the times SPY have been pulled back and are due to rally. The high level test results for the edge and the equity graph are displayed below. The edge can be further tested, analyzed and improved using different exits.

Here are the high level test results for the edge and the equity graph. You may further test, analyze and improve the edge using different exits.

Click on ‘read more’ to get the details and logic of the strategy

Baseline Model Rules

Click on ‘read more’ to get the details and logic of the strategy. (Are you interested in code and workspace for Tradestation?)

Read More