S&P 500 Benchmark Strategy
This strategy is a Benchmark Trend trading strategy. I used it primarily to measure my private algorithms against. It works on a variety of instruments at intervals between 1m and 1d (you'll have to play with some of the ranged variables in these cases). It was primarily designed to trade the 15 minute interval on SPX derived products. S&P E-Mini contract featured above.
It hits what I consider to be key targets when developing an algo:
1. Avg Trade is above $50
2. Profit Factor is above 1.2 (preferably above 1.5)
3. Has a relatively small draw-down
4. Is able to be traded both long and short
Notes/Options:
Can trade within market hours (default), outside market hours (with open inside), or anytime
Can adjust lengths for trend calculations
Algo tries its best to avoid fake-outs by using a volume component, this means that it misses 'slow rises' sometimes
By default it tries to only enter trades between 0930 and 1600. If the trade has left the station, it will wait for the next setup.
Stop loss level has a big impact on performance per instrument - default is 20 ticks but this has to be changed per instrument (I plan on updating this with code to auto-magically generate appropriate stop levels
As a Trend Following algorithm, it is vulnerable to chop zones but has been particularly resilient over the past few months when traded at 15m or 1h intervals. It is designed to trade against the 'current' market that has more frequent whipsaws. When used over generic bull market periods, it fails due to the high number of failed short trades and trimmed long trades. It works in a medium/high volatility environment.
חפש סקריפטים עבור "spx"
PPSignal System Algorithm Introduction
System Algorithm based on historical price probabilities and volumes. We recommend use financial stock, bond, crypts, indices, futures and Forex market (GBPUSD, EURUSD, USDJPY, USDCAD, AUDUSD, USOIL, XAUUSD, SOYUSD, DXY, SPY, SP1!, bitcoin) with defined trends above 50 or 100 and 200 simple moving averages idem if you want trade downtrend financial assets.
Use projections and retracements Fibonacci, MACD and RSI or Stoch oscillator and figures charters Head and shoulder, triangles and double bottom, double top, etc.
This system will notify you of the probability of success. The profit will be defined for yourself and according to your investor profile.
There are stocks and other assets with high returns but the system does not know exactly. Check in the Strategy tester section and then net profit.
We have other tools that support to PPsignal system, we will publish them shortly.
Define system parameters
As it is a system that is based on past data we recommend using the most historical data weekly (W) but you an use day historical data or 3 o 2 hs.
Candle color: you can choose if you want a trend color for candles or not, in the chart propieties menu detach the border option.
PPsignal it's a very simple system with which you will have a great support when it is a good time for enter in the marker and out.
we await your comments.
Eng. Oscar Alejandro Peruchena
Quants Mathematical and Market Analyst
Wave Momentum IndicatorThe Wave Momentum Indicator combines elements of Weiss Wave, Hilbert Sine Wave, and a trend analysis calculation to present trending and high probability entries.
Green and red horizontal lines indicate directional volume
Background color indicates whether trading trend is bullish , bearish , or choppy (related to price expansion in a given direction)
Green / Red vertical lines indicate potential entries during a session when trend has been established for a period (building volume and entering a bullish/bearish zone) and are only their for example and not trading advice.
At a glance, when you see green verticals it's a confirmation of a bullish trend while red verticals are a confirmation of a bearish trend.
Simple usage:
Enter bullish on green vertical/background, exit on chop zone (yellow) or when bullish volume ends.
There are built in alerts for the bullish and bearish entry conditions to make alerting easier.
This indicator was designed for trading choppy sessions of the SPX via ES1! (E-Mini Futures ). Works best on the 15m and 1hr time-frames.
Momentum Trader Strategy 3.0Momentum Trader 3.0 is a momentum trading strategy which uses volume to confirm market momentum driven moves.
By default it only trades between 0900 and 1530 (designed for futures trading and can be toggled to 24/7)
No repaint issues, what you see is real
Toggles allow you to enable Long or Short independently which may work better or worse for your market
Designed primarily for Day Trading (1-15m interval)
Presently only the Short side is optimized, the Long works but overtrades a bit. I will be adding an option to remove the less useful signals and improve performance.
Momentum Trader is a real and successful momentum strategy (which I use myself). It isn't a miracle 'always win' strategy but it is a steady workhorse. By combining high probability momentum trades and auto stop-losses, it takes a good slice of most rallies, a big slice of the grand drops, and avoids heavy sudden losses.
Momentum Trader can be used in any timeframe. Your success depends on the volatility of the individual market. I recommend trading at 10m and below for high volatility instruments like ES/SPX while low volatility instruments can be traded at the 1h and beyond. At the level of 1D+ it also works as well but naturally as a momentum strategy it may take a while to pivot.
Momentum Trader provides you with 3 long and 2 short entries which represent different levels of risk/reward. Like any real strategy, there can be periods of chop where the strategy will lose (small based on stop-loss) if the market is chopping very quickly back and forth or pivoting suddenly. As a rule, Momentum Trader attempts to avoid most of that by typically flagging trends which are established and confirmed. Different signals give you different degrees of confirmation and thus different risk/reward.
Bollinger + RSI, Double Strategy Long-Only (by ChartArt) v1.2This strategy uses the RSI indicator together with the Bollinger Bands to go long when the price is below the lower Bollinger Band (and to close the long trade when this value is above the upper Bollinger band).
This simple strategy only places a long, when both the RSI and the Bollinger Bands indicators are at the same time in a oversold condition.
In this new version 1.2 the strategy was simplified even more than before by going long-only, which made the strategy more successful in backtesting than the previous version (that older version also opened short trades).
This strategy does not repaint and was updated to PineScript version 3.
All trading involves high risk; past performance is not necessarily indicative of future results. Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
P.S. For advanced users: If you want also be able to short with the same strategy approach, then please use my older version 1.1:
Modulate 40 SymbolsModulates (multiplies) 40 securities
Useful for assessing breadth
Defaults with the Top 40 holdings in SPX
Change symbols to measure breadth in an ETF
PeBAS FX ScalperMy Forex Scalping Script
Use in 5 Min Chart, TP = 20 PIP'S. (Maximum 15 Min Chart with 30PIPS - not higher, not lower!)
Close @20 PIP'S!
USE STOP LOSS 150 PIP Maximum!!!!!!!
Turn Position when it's @ -50 PIP or close it.
USE STOP LOSS 150 PIP Maximum!!!!!!!
Trade only at the Main-Times (EurUSD 9 -18.00 European Time and so on!)
Take a look, and have fun!
This Script is not repainting, but it's really only for Scalping! Dont use for long-time-Trades, dont use for DAX, DJI, SPX and so on!
Play with the magic Parameters, may be you'll find better ones!
Hope you like it, would be glad to hear from you.
S&P VIX & SKEW IndicatorUse this indicator to compare VIX, SKEW and yearly HIGH and LOW of the S&P 500. If three of those indicators are on a down trend, then the indicator changes to red color.
Bars Since VIX MedianBARS SINCE VIX17 Median by dime (v1.0 release) 04/02/2017
(Inspired by "Bars Since the last RSI Extreme" from DRodriguezFX)
This indicator is useful in tracking how many daily bars since the VIX was last at a historically 'normal' range.
Currently the VIX has been in a period of low volatility for a period of 98 daily bars since the VIX was last at the 17 historical median.
Convert Yuan value symbols to USDIGNORE PREVIOUS SCRIPT/POST (titled: "yuan normiz")
If you like to look add symbols that are valued in China's Yuan and want to convert them to USD accurately then this is the perfect script for you.
"I'm not sure if this script is for me. Does my setup apply here?"
If either of these resemble your chart setup then this is for you:
Example 1: You have COINBASE:BTCUSD on your main chart often add to compare Bitstamp:btcusd and Okcoin:btccny.
Example 2: You have SPY or SPX (or DJIA etc) as your main chart but like to add other composites to compare like SSE(Shanghai Stock Exchange index) to your main chart.
This takes the symbol of your choice (default is BTCCHINA:BTCCNY) that is expressed in Yuan and divides it by the corresponding value of IDC's USDCNH ticker. Not the last value of USDCNH, but the respective tick mark----BTCCNY's close 3 months ago is divided by USDCNH's close 3 months ago.
S&P 500 Long Only Investment Strategy, Achernar (by ChartArt)Here is my strategy with the working title "Achernar", which works best with the published default setting on the 'CBOE' 'S&P 500' daily chart. The strategy is intended for investments in long-term time-frames (the current average of the trades is a holding period of over 1000 days). The setting allows to use the 'CBOE' as price source (default) or the Tradingview TVC index, which uses a 'CFD' of the 'S&P 500' as price source. Please beware that there is a typo: This strategy does not go short, it closes the long trades and goes into cash instead, therefore this is a long only strategy.
If you don't want to lose all your money due to some random strategy you found on the Internet, here is a warning:
All trading involves high risk; past performance is not necessarily indicative of future results. Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
P.S. The published script does not show the other trade entries on the screenshot above. Here is how the strategy looks like on the chart:
Golden Cross, SMA 200 Moving Average Strategy (by ChartArt)This famous moving average strategy is very easy to follow to decide when to buy (go long) and when to take profit.
The strategy goes long when the faster SMA 50 (the simple moving average of the last 50 bars) crosses above the slower SMA 200. Orders are closed when the SMA 50 crosses below the SMA 200. This simple strategy does not have any other stop loss or take profit money management logic. The strategy does not short and goes long only!
Here is an article explaining the "golden cross" strategy in more detail:
www.stockopedia.com
On the S&P 500 index (symbol "SPX") this strategy worked on the daily chart 81% since price data is available since 1982. And on the DOW Jones Industrial Average (symbol "DOWI") this strategy worked on the daily chart 55% since price data is available since 1916. The low number of trades is in both cases not statistically significant though.
All trading involves high risk; past performance is not necessarily indicative of future results. Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
SPY Master v1.0This is a simple swing trading algorithm that uses a fast RSI-EMA to trigger buy/cover signals and a slow RSI-EMA to trigger sell/short signals for SPY, an xchange-traded fund for the S&P 500.
The idea behind this strategy follows the premise that most profitable momentum trades usually occur during periods when price is trending up or down. Periods of flat price actions are usually where most unprofitable trades occur. Because we cannot predict exactly when trending periods will occur, the algorithm basically bets money on all trade opportunities during all market conditions. Despite an accuracy rate of only 40%, the algorithm's asymmetric risk/reward profile allows the average winner to be 2x the average loser. The end result is a positive (profitable) net payout.
TRADING RULES:
Buy/Cover = EMA3(RSI2) cross> 50
Sell/Short = EMA5(RSI2) cross< 50
BACKTEST SETTINGS:
- Period = March 2011 - Present
- Initial capital = $10,000
- Dividends excluded
- Trading costs excluded
PERFORMANCE COMPARISON:
There are 657 trades, which means 1,314 orders. Assuming each order costs $2 (what I pay for at Interactive Brokers), total trading costs should be $2,628.
-SPY (buy & hold) = 132.73 ---> 193.22 = +45.57% (dividends excluded)
-SPY Master v1.0 = $12,649 - $2,628 = $10,021 = +100.21%
DISCLAIMER: None of my ideas and posts are investment advice. Past performance is not an indication of future results. This strategy was constructed with the benefit of hindsight and its future performance cannot be guaranteed.
ISM Indicator As a Strategy Here's a very easy code, plotting the ISM against the SPX. In this exercise, i wanted to see if one could use the ISM indicator only to generate buy/sell signal, and what would be the performance.
What is the ISM
The ISM Manufacturing Index monitors employment, production inventories, new orders and supplier deliveries.By monitoring the ISM Manufacturing Index, investors are able to better understand national economic conditions. When this index is increasing, investors can assume that the stock markets should increase because of higher corporate profits. The opposite can be thought of the bond markets, which may decrease as the ISM Manufacturing Index increases because of sensitivity to potential inflation.
Buy/Sell Signal
ISM above 50 usually good economic condition and vice versa when below 50 . For this code I used 48.50 as my buy/sell signal line.
Results
To test this on a longer time period, I use the SPX index instead of SPY. The results are surprisingly good. 76.92% profitability with 3.03 profit factor.
Conclusion
Investors could use the ISM with other indicators to determine better entry and exit point. I will see if combining the ISM with other custom indicators , could generate better result. Feel free to share your results here.
Cheers
Algo.
RSI-EMA IndicatorThis indicator calculates and plots 2 separate EMAs of the RSI. The default settings below work great on SPX/SPY daily chart. General rule is if an EMA is above 50, the stock's near term outlook is bullish. If an EMA is below 50, the near term outlook is bearish. Personally, I like to use a fast EMA as a buy signal and a slow EMA as a sell signal.
Default settings:
RSI = 50
EMA1 = 100
EMA2 = 200
AK_ TREND ID AS A STRATEGY : FOR EDUCATIONAL PURPOSES ONLYJust converted the AK_ TREND ID into a strategy , to show the efficiency of this simple indicator. I used SPX in this example, to display that the indicator has been accurate for a long time.
Confluence script This is modified version of Dale Legan's "Confluence" indicator written by Gary Fritz.
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Here is Gary`s commentary:
* I moved the core Confluence computations into a Confluence function.
Since the Confluence indicator returned several "states" (bull, bear, grey, and zero),
he modified the return value a bit:
-9 to -1 = Bearish
-0.9 to 0.9 = "grey" (and zero)
1 to 9 = Bullish
The "grey" range corresponds to the "grey" values plotted by Dale's indicator, but
they're divided by 10.
So -0.4 is equivalent to "grey -4" in Dale's indicator.
* I got rid of a bit of extra computation in the function. I didn't try to do a hard-core
Pierre-style optimization :-), but I noticed several significant chunks of calculation were
being done several times each bar, and I commented them out and replaced them with an intermediate
variable. It still calls sine/cosine a dozen times on each bar, which accounts for the bulk of the
processing time, but I think it's a bit easier to understand what the code is doing this way. (It also
seems to work better -- see below.) For the most part I didn't try to use mnemonic names for these
intermediate variables, because I don't understand exactly what the values represent!!
* I'm appending a simplified Confluence indicator using the function.
* I've also appended a simple Confluence system. This system sets an entry stop above/below the current
bar if Confluence goes into bull/bear mode, and similarly sets an exit stop below/above the bar where it
exits bull/bear mode. There's also an optional "aggressive" stop mode that tightens the stops if the market
moves in your direction; for example, if the high is 1000 and your "Trigger" offset is 2, the initial stop
is set at 1002. If the next bar has a high of 997, the stop is tightened to 997+2=999.
Interestingly, when I first wrote this system, I ran into a strange MaxBarsBack problem. The Confluence
indicator worked just fine with a MaxBarsBack setting of "Auto-Detect." But systems don't have a setting
like that -- you have to specify a fixed value. But NO fixed value (up to the maximum of 999) worked for
either the system OR the indicator! And I couldn't see anywhere that it was looking back that many bars.
Then, when I did the optimization on the Confluence code, the MaxBarsBack problem mysteriously disappeared.
Sometimes TradeStation is just spooky... Any ideas what happened?
I've appended a sample system report for the system on SPX, using the default parameters. The system actually
does pretty well. It probably won't make anyone rich, but I thought some folks might enjoy playing with it.
There are some other things you could do with it -- e.g. it might be interesting to change it to look for
long opportunities when Confluence hits -9, and short when it hits 9.
