Understanding Bear Markets and Setting Expectations (Premium)
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Strategies
Composite Breadth Model Signals, Comparing to Buy-Hold and 5/200 Cross and Adding Beta for Performance (Premium)
This report will update the Composite Breadth Model signals and compare signals to the 5/200 cross for the S&P 500. The CBM outperforms this cross and does so with few positions (whipsaws). The CBM also performs in
Trend-Momo Bull-Bear ETF Strategy (part 10) – Performance Update, Perspective on June Drawdown, First/Last Day of Week Entries
The previous article explained the methodology behind the Trend-Momo Bull-Bear ETF Strategy with signal and ranking table examples. This article will update performance by showing the equity curve relative to buy-and-hold, putting the June drawdown
Trend-Momo Bull-Bear ETF Strategy (part 9) Update – Impulse vs In-State Signals, Understanding Entries, Leaders at the Start of a Bull Market
This is an update to the Trend-Momentum strategy that trades the All Weather ETF List. First introduced in February 2022, this strategy benefits from bull markets by focusing on stock-based ETFs when the Composite Breadth Model turns
Trend Composite Strategy (Part 8) – Increasing Trade Frequency and Total Return with Percent Profit Targets
Today’s article is the eighth installment of the Trend Composite strategy. Last week we looked at ATR Trailing Stops and time-based exits, but these did not add much value. Today we will add various profit targets based on percentage gains. The strategy will still sell when/if the Trend
Trend Composite Strategy (part 7) – Trend-Momo AllW50 BB ETF Strategy, the Nature of Trend-Following, Live Example with Signal/Ranking Table
The Composite Breadth Model turned bullish on Friday and this means the Market Regime is bullish. This also means the Trend Composite strategy outlined in part five can now choose trend-momentum signals in stock-related ETFs. Please review part five for details on this strategy.
Trend Composite Strategy (Part 6) – Applying an ATR Trailing Stop and Testing Different Time Exits
Today’s article is the sixth installment of the Trend Composite strategy. We will take the strategy a step further by adding an ATR Trailing Stop and a time exit based on the number of bars in the trade. Time exits are similar to, but not exactly the same as, rebalancing.
Trend Composite Strategy (Part 5) – All Weather List, Cross versus In-State Signals, Bear Market Alternatives
Today’s article is the fifth installment of the Trend Composite strategy. The series was put on hold because of recent events and market volatility, but continues today and will complete before the end of the month. Today’s installment uses the highly curated All Weather ETF List, which covers most assets and has minimal overlap.
Trend Composite Strategy (Part 4) – Volatility-Adjusted Performance, Portfolios based on Trend and Price Performance, Bear Market ETFs
Today’s article is the fourth installment in the Trend Composite series. We started with an introduction to the Trend Composite, tested uptrend/downtrend signals and then moved to portfolio level testing using StochClose as the tiebreak. Today we focus more on StochClose rank by using
Trend Composite Strategy (Part 3) – Portfolio Level Testing, StochClose Ranking, Market Regime Filter, Optimizing Number of Positions
Today’s article is the third installment of the Trend Composite series, which is working towards a trend-momentum strategy for trading ETFs. Today we will move from “All Signals” testing to portfolio level testing. We will first use uptrend/downtrend signals
Trend Composite Strategy (Part 2) – All Signals Testing for Five Trend-following Indicators and the Trend Composite – 97 ETFs from 2007
Today we put the individual trend-following indicators in the Trend Composite to the test and compare performance against the Trend Composite itself. These are “All Signals” tests that give us an idea of trade frequency (number of trades), Win Rate, Average Gain and Average Loss. We will also look at three other performance
Trend Composite Strategy (Part 1) – Understanding the Individual Indicators, Aggregating Signals, Reducing Whipsaws, Catching Trends
This is the first article in a new strategy series that will extend over the next several weeks. We will start by defining the Trend Composite indicator and then work our way towards a systematic trading strategy. The strategy is based on signals from the Trend Composite.
Separating the Consistent from the Inconsistent (Premium)
In an ideal world, trends would be consistent and persist for months. An ideal uptrend would march higher by consistently recording higher highs and higher lows. Once reversed, a downtrend would take over and work its way lower with lower lows and lower highs. There are plenty of chart examples for these consistence and persistent trends.
A Dozen Books that Influenced my Analysis Process, Understanding of Markets and Trading Mindset (Free)
While there are too many influences to list in one post, this commentary features a dozen books that helped me over the years. These books cover technical analysis, trend-momentum strategies, insights from great traders and the mindset required to stay in the game.
Introduction to Trend-Following (revised) – Assumptions, Expectations, Indicators, Backtests and Conclusions – with video (Premium)
This article will dive into trend following. We will start by going over some key assumptions and expectations to consider when implementing a trend-following strategy. What are realistic Win Rates and Profit/Loss ratios? Attention then turns to selecting a timeframe suitable to trend-following. I will then explain 10 trend-following indicators
Seasonal Trends for the S&P 500 – Best and Worst Six Months, Monthly Breakdowns, Equity Curves (Premium)
Seasonality takes a back seat to price action when it comes to analysis and signals, but seasonal patterns can provide a tailwind to existing trends or fresh signals. This report will look at the best and worst six months, break down the monthly numbers and analyze trends in the equity curves. May is here and June-July are around the corner so we will focus on these three months.
Turn of the Month Strategy – Strong Long-term Performance, Beats Buy-Hold, Some Weak Months
The turn of the month shows a strong bullish bias with an extremely stable equity curve that really took off the last few years. This strategy, which is only invested 38% of the time, outperformed buy and hold with a higher Compound Annual Return. Overall, the eight day percentage change at the turn of the month is positive 68% of the time for SPY. Despite strong numbers overall, February is weakest month when testing over the last twenty years, and we just happen to be in February.
Finding Next Generation Growth Stocks (QQQJ) and Understanding the Momentum Effect
There is a new ETF in town that promises big potential. The Invesco Next Generation Nasdaq 100 ETF (QQQJ) is based on an index with the same name. As the Invesco web site explains, 90% of its total assets will come from the underlying index and this index is based on the 101st to 200th largest stocks in the Nasdaq. This makes it a small and mid cap version of the Nasdaq 100. The ETF is
Identifying Trend Changes and Tradable Pullbacks within Uptrends (w/ Video)
2021 is just around the corner and chartists without a strategy should think long and hard about getting one. Trading in the direction of the trend is pretty much my bread and butter strategy. I do not fish for bottoms or attempt to pick tops. Tempting as it often is, I try to refrain from such endeavors as much as possible. More often than not, we are better off using trend-following indicators to identify bullish and bearish trend reversals
Video: SPX Trend/Swings, Testing Market Filters, Testing 5 Trend-Following Indicators, Developing and Testing a Strategy around 65-day RSI
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RSI for Trend-Following and Momentum Strategies – Video and Chart Example
RSI is widely used as a momentum oscillator to identify overbought and oversold levels. A dive into the formula, however, reveals that RSI is quite well equipped for trend-following strategies. It can even be used to rank ETFs and stocks to find those with the strongest momentum.