AK " Follow the Money " [FTM] Indicator and trading system
The following trading system uses the rate of change (ROC) between equities and bonds to determine which asset to hold, basically , following the money. The rules are simple :
1. Calculate the 85 day ROC for SPY and TLT
2. If ROC (SPY) > ROC(TLT) --> Buy SPY
3. if ROC(SPY) buy TLT
Backtest resutls
I coded this in python , and here are the results :
Period : 01/03/2003 to 12/31/2014
Slippage : 0.03 cents
Return:
2003 :17.8%
2004 : 2.5%
2005: 1.3%
2006: 8.6%
2007: 3.9%
2008: 23.6 %
2009:14.4%
2010:16.7%
2011:33.4%
2012: 1 %
2013: 24.9%
2014: 6 %
As you can see, the system tends to do very well in bear market, and mix but positive results during bull markets. I use the 85 days because that works for me . you may use a higher are lower number when calculating the ROC.
The code for the indicator is extremely simple, and will be posted a few moment. When the background is Green you buy and vice versa when red
DISCLAIMER :
I do trade an alternative version of this system , but this post is strictly for educational purposes only. . Past performance is no guarantee of future results.
DISCLAIMER :
if you have any question , leave a comment or PM me , and will try to get back to you as soon as possible.
Cheers
Algo
1. Calculate the 85 day ROC for SPY and TLT
2. If ROC (SPY) > ROC(TLT) --> Buy SPY
3. if ROC(SPY) buy TLT
Backtest resutls
I coded this in python , and here are the results :
Period : 01/03/2003 to 12/31/2014
Slippage : 0.03 cents
- Total return : 283.6 %
Benchmark (SPY): 169.4 %
Sharpe : 1.49
MAX DD : 17 %
Return:
2003 :17.8%
2004 : 2.5%
2005: 1.3%
2006: 8.6%
2007: 3.9%
2008: 23.6 %
2009:14.4%
2010:16.7%
2011:33.4%
2012: 1 %
2013: 24.9%
2014: 6 %
As you can see, the system tends to do very well in bear market, and mix but positive results during bull markets. I use the 85 days because that works for me . you may use a higher are lower number when calculating the ROC.
The code for the indicator is extremely simple, and will be posted a few moment. When the background is Green you buy and vice versa when red
DISCLAIMER :
I do trade an alternative version of this system , but this post is strictly for educational purposes only. . Past performance is no guarantee of future results.
DISCLAIMER :
if you have any question , leave a comment or PM me , and will try to get back to you as soon as possible.
Cheers
Algo
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.