System Trader – Articles
Internet Boom, Apple’s Run, AI and Nvidia
I am mostly a technical analyst and trading system developer, but I also like to understand the companies behind the big business trends. AI is
SystemTrader – Planning for Good Times and Bad – Risk vs Reward – Positions vs Cutoff (Premium)
Everyone has a trading plan until they go into drawdown. The Dual Momentum Rotation Strategies are off to a great start here in 2024. This is the easy part. Don’t forget that RISK is always lurking in the equity markets and this is something we must always take into account. There is no reward without risk.
Overbought Conditions Reflect Strength and Said Strength Drives Momentum Rotation Strategies
Momentum and trend strategies are off to a roaring start here in 2024. More often than not, these strategies buy leading stocks that appear overbought. Buying stocks that appear overbought often goes against our “gut feel”, but overbought conditions reflect strong buying pressure and this is clearly
An Indicator to Define the Trend and Quantify Momentum
The 200-day SMA is perhaps the most widely used long-term moving average. As its name implies, it is a simple indicator that chartists can use for trend-following and momentum strategies. For trend-following, we just need to know
Capturing the Momentum Phenomenon
The momentum phenomenon has been a fixture in the US equity markets for decades. There are two types of momentum to consider: absolute momentum and relative momentum. Absolute momentum refers to the underlying trend, up or down
SystemTrader – Testing the Zweig Breadth Thrust using other Indexes – Adding Beta and Diversification to the Strategy (Premium)
Today’s report will put the Zweig Breadth Thrust indicators for the various indexes to the test. My default breadth index is the S&P 1500 because it covers all bases and represents a broad swath of the US stock market. We can also generate ZBT signals using
SystemTrader – Zweig Breadth Thrust is Missing Something – Adding Nasdaq Stocks, Testing with an Exit Strategy (Parts 1&2 – Premium)
Today’s report features the Zweig Breadth Thrust, which was developed by the late, and great, Marty Zweig. We will show how it works and look at some recent signals. Despite a long history, the indicator is missing something and we will propose a modern day alternative.
SystemTrader – Skip the Noise, Focus on the Signal, Effectively Use the 200-day SMA with $SPX & $NDX (Parts 1&2 – Premium)
The S&P 500 is battling the 200-day SMA with four crosses over the last eleven days. We are also seeing a rise in volatility as this market benchmark plunged 5.86% in nine days (18-27 October) and then surged 5.85% the last five days. With such conditions, it is a good time to step back and look for ways to filter the noise.
System Trader – CBM Turns Negative, Stock Strategies Affected, Market Timing Mechanisms Improve Long-term Performance (Premium)
The Composite Breadth Model (CBM) turned negative on Monday (-1) and the weight of the evidence is now bearish for stocks. This development means risk in stocks is above average. Strategies that trade stocks and stock-based ETFs perform poorly when risk is above average
Stock-Strategy: Trend Momentum Profit Target Strategy for Nasdaq 100 Stocks (Premium)
Today’s report will test the Trend Composite & Normalized ROC Strategy on stocks. We will first review the testing parameters and signals for the strategy. I will then test on stocks in the S&P 500 and three other indexes. The overall returns are positive, but the
ETF-Strategy: Trend Rotation with eSlope and Normalized ROC (Premium)
Today’s article will show how Normalized ROC performs in a rotational trading strategy. This rotational strategy builds on the prior strategy by using the same indicators (Trend Composite, eSlope, Normalized ROC).
Stock-Strategy: Trend Momentum Profit Target Strategy for Russell 1000 Stocks (Premium)
We are making progress. After a big hiccup on Thursday, I reworked the strategy and will cover the basics in this article. Here are some of the changes. First, the strategy trades stocks in the Russell 1000 to capture more beta. Second, I tightened the volatility filter by requiring the standard deviation to be below 50%. Third, I added price,
Trend Composite Impulse Signals versus In-State Signals with Momentum (Premium)
Impulse signals offer the chance to catch a trend as soon as it starts, but in-state signals give traders the opportunity to add momentum to their strategy. Today’s article compares a strategy using impulse signals for the Trend Composite against one that uses in-state signals. The latter
Trend Composite – Understanding the 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.
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