working on a new system ! working on a new system with ranko would love to have your idea ! it 's day trading system ! The basic are above the 89 ma ( red line on the chart ! ) looking for a long below the red line looking for short , need 2 more criteria before entering , Will need two red brick to enter short and 2 green to enter long , I will need to macd in my direction or at least loosing momentum . rules of exit are as follow will need a brick in the other direction to exit the position , 2 brick if I more than 8 bricks in the money , I would to for you to tell me what you think :)
as always don't hesitate to come by our group and drop a hello : www.facebook.com
Tradingsystem
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
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