Intermarket Trading Strategies

Chart Formations

Systems

Custom Indicators

RELATIVE STRENGTH

SYSTEM PERFORMANCE
This is an earlier test  on a portfolio of 2500 US stocks during the 10 year period from 5/25/ 2002 to 5/25/12. To produce the test results I used Tradesim (metastock plug-in) with the following input parameters:
Initial trading capital = $300,000
Capital per trade= $20,000 (Equal dollar units) and no margin.
Max. Open positions: 20
Commissions: $5 per trade
Volume filter: Limit position to 8% of trading volume
Minimum Trade size:$2000
Test date: 5/25/2012
Data loaded : 2720 records
Time Stop: 14 days (not counting entry day).
Entry at the close & Exit next day at the open.

The relative strength (RS) technique is a popular and useful tool for comparing one investment against the overall market. But few individuals ever manage to use the technique effectively, because they fail to incorporate RS into a comprehensive trading strategy.
I used the relative strength concept to developed two strategies: RS for stocks and RS for Exchange traded funds (ETF).
To develop the RS systems I used a proprietary custom relative strength indicator to select the strongest stocks or ETF relative to the overall market. Testing the RS stock system on the Russell 3000 stocks during the past 3 years an annual return of 38%, a profit factor of 2.17 and a maximum trade drawdown of -$8700. By comparison the IWM ETF produced over the same time period an annual return of 14% and a devastating drawdown of -$38000.
A detailed performance report and the portfolio equity are depicted below.

BUY THE DIPS (BTD)

This system is similar to the Relative Strength (RS) for stocks. The difference between the two systems is that the RS system looks for stocks that outperform the market whereas the BTD looks for strong stocks in an uptrend and triggers a buy signal during a temporary correction or dip.
The basic premise of this system is that a strong growth stock which experiences a small correction will continue an established uptrend.

All systems are available for the Metastock, Amibroker, Multichart and Tradestation platforms.
To purchase the appropriate version for your software just click on the tabs at the left.

This is how the system performed 3 weeks  after the entry signals on the Russell 3000 stocks during the 3 year period from 3/1/12012  to 3/1/2015 (US date format). To test the systems I used Amibroker Pro  with the following  parameters:
Initial trading capital = $200,000
Capital per trade= $20,000 (Equal dollar units) and no margin.
Max. Open positions: 15
Commissions: $0.01 per share
Volume filter: Limit position to 10% of trading volume
Test date: March 1st,2015
Entry & Exit next day at the open.
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