System Trader – Strategies & Updates
Stock Strategies, ETF Strategies and Market Timing
Stock Strategies
Stock-Strategy: Mean-Reversion Strategy and Signal Table for Russell 1000 Stocks (Premium)
This article introduces a mean-reversion strategy to trade Russell 1000 stocks. I will cover some of the key concepts behind the strategy and provide a sneak-peak at the equity curve. In contrast to the rotation strategy trading
Stock-Strategy: Mean-Reversion Strategy for Russell 1000 – UPDATES (Premium)
This article will update the mean-reversion strategy that trades stocks in the Russell 1000. Mean-reversion setups and trades come in clusters, such as now. This means we often get periods with
Stock-Strategy: Rotation Strategy and Signal Table for Nasdaq 100 and S&P 500 Stocks (Premium)
Today’s article introduces a rotational strategy that trades stocks. As the name implies, rotational strategies buy top ranked stocks and then sell when they drop below a certain rank. For example, buy the top ten and sell when they drop out of the top twenty. This
Stock-Strategy: Rotation Strategy for NDX/SPX Stocks – UPDATES (Premium)
Today’s report will update performance for the Rotation Strategies that trade stocks in the S&P 500 and the Nasdaq 100. Performance from 2007 until 2021 was stellar, but performance since 2022 has been subpar. 2022 was a down year and the strategies recouped
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
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,
ETF Strategies
ETF-Strategy: Mean-Reversion Strategy and Signal Table for MasterList ETFs (Premium)
This report will introduce the criteria, indicators and signals for a mean-reversion strategy that trades ETFs. The strategy buys after excessive declines and sells after the first bounce. Buy the dip and sell the rip. This is a very picky
ETF-Strategy: Mean-Reversion Strategy for MasterList ETFs – UPDATES (Premium)
Stocks advanced from late December to early February with the S&P 500 SPDR (SPY) gaining over 10% from low to high. SPY then pulled back last week with a 2.5% decline from the
ETF-Strategy: Trend & StochClose Strategy and Signal Table for All Weather ETFs (Premium)
This article covers the indicators and signals for a trend-rank strategy to trade the 50 ETFs in the All Weather List. The Composite Breadth Model defines market conditions, the Trend Composite identifies the trend and StockClose provides the rank. We show performance metrics for this strategy and provide a signal table.
ETF-Strategy: Trend & StochClose Strategy for All Weather ETFs – UPDATES (Premium)
This report updates the strategy that trades the 50 All-Weather ETFs using the Trend Composite for trend status and StochClose for price rank. I am updating this strategy because the Composite Breadth Model turned
ETF-Strategy: Trend Momentum Profit Target Strategy and Signal Table for Stock-Based ETFs (Premium)
This articles covers the indicators and signals for a trend-momentum strategy to trade stock-based ETFs. The Composite Breadth Model defines market conditions. The Trend Composite and eSlope120 are used for trend identification, and Normalized ROC delivers the momentum rank. We show performance metrics for this strategy and provide a signal table.
ETF-Strategy: Trend Momentum Profit Target Strategy for Stock-Based ETFs – UPDATES (Premium)
This report updates the Trend and Momentum Strategy that trades 74 stock-based ETFs. This strategy went through a rough patch from January 2022 to May 2023, but rebounded the last two months
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).
Market Timing
Composite Breadth Model Signals, Comparing to Buy-Hold and 5/200 Cross and Adding Beta (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
The Methodology behind the Composite Breadth Model – Indicators, Settings, Signals and Historical Performance (Premium)
The Composite Breadth Model combines short-term thrust indicators, long-term trend indicators and S&P 500 trend signals to define the broad market environment: bull market or bear market. The idea is to take risks during bull markets and seek safety during bear markets
Why Use Market Filters?, Indicator Settings Are Double-Edged Swords, the Best Performing Market Filter (Premium)
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