Part 4 will focus on using Bollinger Bands for exits.
Specifically, if the bar closes outside the upper (long entry) or lower (short entry) bands, the trade will be exited on the open of the next bar. This is a very basic exit, and could easily be tweaked. For example, an exit could triggered if the [...]
As I am running out of time to get this information out for Lazy Man to digest before the market opens, I am going to report on only one exit tonight: the RSI(2) exit.
I had to make some minor changes in the way the testing was performed. In prior tests, all trades were executed at [...]
Part 1 outlined the purpose of this series and established baseline results for the long entry when paired with a time-based exit, and again when paired with an EMA cross.
In Part 2 I show the results of using the short entry coupled with the same exits (time-based and an EMA cross).
At the end I include [...]
Lazy Man began leaving comments on a recent post, Short Term Mean Reversion Still Working.
He asked for some help improving exits on a system he uses to trade futures. The comments section of the post will show how the idea for the project developed.
Because I’ve never worked on an intra-day system for futures using tick [...]
The equity curve shows the results of buying the SPY first close beneath the 2 day moving average (dma) and then closing the long position on the first close above the 2dma. It also sells short the first close above the 2dma and covers the short on the first close beneath the 2dma. In short, [...]
Cuervo has posted over in the Peanut Gallery a simple trading system he calls the 357SPY.
Nothing can quite explain how the system trades like an equity curve, so I am including one below, of the 357SPY.
For these tests, I assume 10K per trade, without compounding gains, .01/share commissions, and no stops.
The results aren’t too bad. [...]
I’ve been somewhat fascinated with a paper I found on the MarketSci blog. The paper is Returns in Trading vs. Non-Trading Hours: The Difference in Night and Day.
The paper is fascinating as it presents research showing a profitable trading strategy can be developed simply from buying the close of the QQQQ and selling the next [...]
