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.

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.

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)

2. 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)

3. Exit after 8 days.
4. Exit if open position loss is greater than $3,000

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.

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.

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

Read More

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

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