Tuesday, July 29, 2008

Systems update

Is there an advantage is what you trade? Or the timeframe you use?
Here's a test comparing DIA, IWM, QQQQ, SPY and XLE using some of the systems I've explored over the past few weeks:
RSI and short component
Stochastics (STO) and short side
STORSI and short side
816 cross and short side
All tests cover 500 back bars and the precise settings are defined in the system name. No stops are applied.
I've used Elder's 1:6 fractal timing model and tested the data in 10 & 60 minute and daily bars.

One variable to consider is the price of the underlying, since this will affect the true risk/reward. With SPY at 127, DIA at 113, IWM at 71 and the Qs at 45, the results for the Qs look a bit more attractive. I could normalize all these values for a better comparison. . .and will do so in future tests. I also favor the win/loss ratio offered by the Qs, as I like the odds in my favor when I plunk my money down.
The XLE test below also offers an attractive risk reward, and as suggested in previous posts, a likely jumping off point from this initial research is trading the best ETF or ETFs with the greatest technical alignment to a multiple strategy test such as those listed here. This is a different approach to trading than applying a single strategy to a basket of stocks. Here we are trading a single ETF using a basket of strategies.
In future posts I'll look at potential screens for ETF trading candidates using volatility, daily ATR and volume, as well as a few non-traditional technical alignment criteria.

1 comment:

TraderRob said...

Not sure if I'm reading the columns correctly, but appears all trades are profitable. Great.