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The Bullish Outside Month
I came across an article over at the blog, Jay On The Markets, that talked about applying a bullish outside indicator on a monthly chart. The article I was reading is entitled, "One Sign That the Bull...
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Finding Out What Works, And What Doesn’t Work
Many traders who try system trading have previously had difficulty at discretionary or manual trading. Most of these folks eventually recognize the benefit of trading a system with well defined rules –...
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System Performance and Confidence Interval
When you review the performance of a trading model, how do you know it’s worth trading for? How do you know it’s the right system for you? How confident are you that it will continue to profit in the...
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Finding Out What Works, And What Doesn’t Work – Part II
In Part 1 of this series, found here, I ran a simple study of a trading system, in order to look at some of the common components (such as end of day closes, short versus long bar periods) that many...
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Testing Market Regime Indicators
Often when designing a system it’s important to keep the big picture in mind. What is the overall market doing? The most simple way to accomplish this is to break the market into two regimes: bullish...
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Going Live With Automation
Going live with an automated strategy is one of the coolest, but also scariest things you can do in trading. Here you are letting a computer trade with your hard earned money. Theoretically, the...
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ARIMA/GARCH – Straight Out of the Lab to the Trading Scene
Arima/Garch hybrid model is one of the hottest area of research for both time series forecasting as well as modeling markets. I have spent over a year working with this methodology. Large Institutional...
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Market Seasonality Study
With October over I thought it would be a good idea to review our Market Seasonality Study. Back on May of this year, we closed a seasonality trade in anticipation for a traditional weak period of the...
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Seasonality S&P Market Session
In a recent article, Seasonality Study, I took a look at the classic seasonality effect as seen in the U.S. markets. Briefly recapping that article, it shows that the trading days between November...
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Is The Christmas Season Bullish For U.S. Markets?
With the Christmas season upon us, I thought it would be interesting to review how the S&P behaves in the days just before Christmas. Do the days just before this holiday tend to be bullish,...
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Using Metals to Trade Bonds
Sometimes things in the financial markets are pretty obvious if one is willing to see them. Despite all of the angst that has been exhausted since July of 2016 – when the S&P 500 Index broke out...
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Seasonal Strategies Built The Right Way
Many commodities, and even some individual stocks or stock groups, have recurring fundamental factors that affect their prices. These forcescan be seen by analyzing a market by day of week, day of...
View ArticleDiscover Best Trading Rules with Perceptron Search
Every system developer has a list of rules and indicators that they want to test out. The problem every developer faces is narrowing down that list of rules and indicators to the select few that are...
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Two Swing Trade Systems (Part 1)
In my recent posts I’ve made reference to various swing-trade systems I’ve developed, which I’ve used as data to discuss things like correlation, diversification, and the value of leveraged ETFs. I’ve...
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Two Swing Trade Systems – Part 2
Yesterday I discussed two swing-trade systems that work pretty well in out-of-sample data. While each works differently, they overlap enough that you don’t get any benefit from running them both at the...
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Finding The Optimal Period
Today’s topic is on finding the optimal periodicity for the RSI indicator and the techniques should apply to other sorts of indicators as well. The good news is that it won’t require any rocket...
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Capture The Big Moves!
Wouldn’t it be great to have an indicator to help tell you when we are in a major bull or bear market? Imagine if you had a clear signal to exit the market on January 19, 2008 before the major market...
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Inverting The RSI and VIX Strategy
Today we look at a reader’s question and reverse our RSI and VIX strategy to take short positions. Let’s do this and see if any edge awaits us.As pointed out in a previous article, “Profit By Combing...
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The Overnight Edge
In this article I’m going to highlight a trading edge that appears in many different instruments and markets including both the futures and equity markets. It’s an edge that has persisted for well over...
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Testing A Simple Gap Strategy
I was recently reading a book (more like a pamphlet, it’s only 93 pages), “Seven Trading Systems for the S&P Futures” by David Bean. I’m always interested in “older” books that have defined rules...
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