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CJ

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.

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

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.

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.