Systematic Trading Strategies and Next Level Trading Setups
Today’s report will dive into the market filter, which is used to define bull and bear markets. Market filters are an important part of trend-following and momentum strategies that trade stocks and stock-based ETFs. The Composite Breadth Model has not worked well over the last 15 months, but this is a relatively short timeframe in the grand scheme
This report is an update for the Trend Composite and StochClose Rank Strategy that trades ETFs in the All-Weather List during bull and bear markets. Examining recent performance and signals can
The report explains the All Weather ETF strategy using the Trend Composite to find uptrends and StochClose to rank performance. Using the Composite Breadth Model to time the stock market, this strategy focuses on stock-based ETFs during bull markets and non-stock ETFs during bear markets. These stock alternatives extend to commodity ETFs, currency ETFs and bond ETFs. This report includes plenty of chart examples and performance metrics.
ETF-Strategy: Trend & StochClose Strategy and Signal Table for All Weather ETFs Read More »
Today’s report will update the Trend-Momo Bull-Bear ETF Strategy that trades the All Weather ETFs. 2022 has been a rough year and there are still two weeks left. The Composite Breadth Model turned positive on November 30th and this means stock-based ETFs became eligible for the strategy.
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
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
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
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
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.
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.
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.
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
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
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.
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
Sometimes what seems logical and helpful, is not and needs to be reconsidered. This is my conclusion with the sector breadth models. They are logical, and perhaps helpful at times, but they do not add value when it comes to timing trends in the sector SPDRs. A simple StochClose strategy performed better overall. This article will quantify signals for three breadth models using the sector SPDRs.
Sector Breadth Models versus a Simple Trend Following Technique (Premium) Read More »
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.
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This article will explore and backtest different moving average combinations on the S&P 500 SPDR over the last twenty years. Most moving average strategies work great when SPY trends, regardless of the period settings. However, SPY (aka, the market) does not always trend and trends are not uniform. Some are short and fast, while others are long and steady. This means we need moving averages that can best adapt to different environments.
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.
RSI for Trend-Following and Momentum Strategies – Video and Chart Example Read More »
