Quantified Strategies

Reversal Day Strategy – Backtest and Overview (Bullish Reversal-Market Turnaround) In this post, we will discuss the idea of a reversal day strategy, its potential causes, and the significance of identifying these signals in the stock market. We backtest the following trading rules: * Today's low is lower than yesterday's low * Today's close is higher than yesterday's close * The five-day RSI must be lower than 35 The last trading rule (RSI) indicates that the trend has been negative over the last few days. The trading rules above are just one example of how you can define a reversal day. There are, of course, unlimited ways you can define such a turnaround. The equity curve if we exit after one day looks like the image shown below. Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies #ReversalTrading #MarketTurnaround #TradingStrategy #StockMarketTips #TechnicalAnalysis #RSI

Larry Connors’ 3 Day High/Low Method Trading Strategy (Is It Still Effective?) In this article, we backtest Larry Connors‘ 3 day high/low Method/Strategy. How has the strategy performed since it was revealed in his book in 2009? The 3 day high/low method/strategy performed well in Connors’ book, and it still works pretty well today 12 years later. The basic principle of the strategy is to but when an ETF has made lower highs and lower lows for three consecutive days. In plain English, the strategy is like this: - Today’s close must be higher than the 200-day moving average. - Today’s close must be lower than the 5-day moving average. - Two days ago both the high and low were lower than the day before. - Yesterday the high and low were lower than the day before. - Today the high and low are lower than yesterday. - If conditions 1-5 are true, then buy today at the close. - Exit at the close when the close is above the 5-day moving average. The most-traded ETF, the S&P 500 (SPY), has the equity curve shown below. Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies #TradingStrategy #StockMarketTips #ETFs #TechnicalAnalysis #QuantitativeTrading #LarryConnors

Larry Connors’ R3 Strategy (It Still Works) - Trading Strategies Explained Today we test Larry Connors‘ R3 strategy and we continue backtesting the trading strategies Larry Connors and his team published in 2009 in a book called High Probability ETF Trading. All the strategies were tested on a basket of 20 liquid ETFs. We backtest the following trading rules: * The close must be above the 200-day moving average. * The 2-day RSI drops three days in a row and the first day's drop is from a reading below 60. * The 2-day RSI is today below 10. * If number 1 to 3 is true, then enter at today's close. * Exit on today's close if the 2-day RSI is above 70. The equity curve for the S&P 500 looks like this (SPY, compounded) Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #TradingStrategies #LarryConnors #StockMarket #ETFTrading #RSI #TechnicalAnalysis

Larry Connors’ %b Strategy (Bollinger Band) - Trading Strategies Explained The higher the %b reading, the more likely that the market has moved higher. The lower the %b reading, the more likely the market’s trend has been lower. Traders ideally want o buy a low %b reading and sell higher %b readings. We backtest the following trading rules: * The close must be above the 200-day moving average. * The %b must be below 0.2 for the last three (consecutive) days. * If 1 and 2 are true, buy on the close. * Exit when the %b closes above 0.8. The results are very good in QQQ and SPY, but very few fills. The equity curve for QQQ is shwn below. Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies #TradingStrategy #BollingerBands #StockMarketAnalysis #LarryConnors #TechnicalAnalysis #SwingTrading

Larry Connors’ Multiple Days Up And Multiple Days Down - Trading Strategies Analysis Chapter 6 of Larry Connors‘ High Probability Trading contains a trading strategy called Multiple Days Up (MDU) And Multiple Days Down (MDD). The book was published in 2009, the trading tests were done until 31st of December 2008, and it’s time to test and check how the strategy has performed since then. In this strategy, we look to buy when an ETF has dropped 4 out of the last 5 trading days. The trading rules are like this: * The close is above the 200-day moving average. * The close must be below the 5-day moving average. * The ETF must have dropped at least 4 days out of the last 5 trading days. * If 1-3 above is true, then enter at the close. * Sell on the close when the ETF closes above its 5-day moving average. * No stop-loss. The equity curve looks like the image shown below. Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies #TradingStrategy #StockMarket #TechnicalAnalysis #MomentumTrading #InvestingTips

Larry Connors’ Double Seven Trading Strategy - Backtest & Explained In this post, we look at the performance of the Double Seven trading strategy over the last twenty-one years in a wide range of liquid ETFs. Does the Double 7 still work? Yes, the trading strategy still works, but Larry Connors has other strategies that work better. We backtest the following trading rules: * The close must be above the 200-day moving average. * The close must be at a seven-day low. * If 1 and 2 are true, then go long at the close. * Sell when the close is at a seven-day high (sell at the close). This is all there is to it. No stop loss. A pretty simple strategy that can be tested in two minutes. We look at the ETF with the longest history: the S&P 500 represented by the ETF SPY. SPY’s equity chart looks like the image shown below. Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies #DoubleSevenStrategy #LarryConnors #TradingRules #ETFTrading #TechnicalAnalysis

Turtle Trading Strategies: Rules, Statistics, and Backtests — Does It Still Work? Yes, the turtle trading strategy still works today. It is a trend-following strategy, so it works in markets with clear trends. While the original strategy, which is based on identifying breakouts, still works reasonably well, traders have modified the turtle trading rules by using technical indicators for trend identification. The technique may not be as profitable as in the 1980s, but traders can still use it to earn good returns, as indicated by the Barclay CTA index and successful hedge funds, like Swedish Lynx, for example. Turtle Trading strategy backtest 1: Close higher than 6 months ago (momentum) * If the close is higher than 6 months ago, buy and hold the position for one month. * If the close is lower than the close 6 months ago, sell and stay out for the coming month. * Rinse and repeat monthly. The equity curve looks like the image shown below. Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies #SupertrendStrategy #TrendFollowing #TechnicalIndicators #TradingSignals #MarketAnalysis #Backtesting

Donchian Channels Trading Strategy – Trading Guide and Effectiveness (Backtest Commodities And S&P 500) The Donchian Channels (or bands) are formed by two bands: an upper band based on the high of the last N bars, and one lower band based on the low of the last N bars. Donchian Channels work well as a trend following indicator for commodities and currencies, but not for stocks. However, we turned the Donchian Channels upside down and made the Donchian Channels work as a mean reversion indicator for stocks. Let’s test a simple Donchian Channel strategy on the S&P 500. We backtest the following strategy: * We buy when the close breaks above the 20-day high. * We sell/exit when the close ends below the 20-day low. This strategy has produced this equity curve (shown below) from 1960 to October 2021 (only the long side and not including reinvested dividends). Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies #SupertrendStrategy #TrendFollowing #TechnicalIndicators #TradingSignals #MarketAnalysis

Supertrend Indicator Strategy (11.07% profit/trade!) – Backtested The SuperTrend indicator is a type of trend following indicator that was created by trader Oliver Seban. It signals the direction of a trend, its continuation, or changes in direction. Our backtest reveals that the indicator can catch most of the returns while avoiding the worst drawdowns, thus giving acceptable risk-adjusted returns. We backtest the following trading rules: * Buy when the close of a bar crosses above the previous value of the Supertrend indicator; * Sell when the close of a bar crosses below the previous value of the Supertrend indicator; In the image below you can see a trade example following the rules stated above. Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies #SupertrendStrategy #TrendFollowing #TechnicalIndicators #TradingSignals #MarketAnalysis

Golden Cross Trading Strategy (Backtest Analysis) A Golden Cross happens when the short moving average crosses above the long moving average. As a trading signal, it works reasonably well. It keeps you invested in bullish markets and keeps you out of trouble when we get a bear market. It involves two moving averages – one short and one long. When the short-term moving average crosses above the long-term moving average, we have a Golden Cross. We backtest the following trading rules: In this post, we use daily bars. But you can, of course, use any time frame you want. There is no right or wrong in trading as long as it works. - The trading rules are simple. When the 50-day moving average crosses above the 200-day moving average, it signals a bullish breakout, and you buy. - Conversely, when the 50-day moving average crosses below the 200-day moving average, it signals a bearish breakout, and you sell your position. Below is shown the equity curve. Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies #GoldenCross #TechnicalAnalysis #MovingAverages #TradingStrategy #StockMarketTrends #BacktestingResults