Discontinuing Index Swing Portfolios

Posted October 26th, 2018 by Trendfinder and filed in Articles / Announcements

The stock market character has changed over the past few years (especially this year), and mean-reversion type of swing systems are not performing well. They are now best used when combined with daytrading systems. Because of this, I am discontinuing the Index Swing portfolios.

Updated Portfolios

Posted August 16th, 2018 by Trendfinder and filed in Articles / Announcements

With the new addition of two daytrading strategies, I took the opportunity to completely reorganize the composition of the portfolios. I used a quantified combination of performance and correlation to determine the best combinations. You can see the performance of these portfolios on the website here. Going forward these are the compositions that will be used:

Index Trader I: MeanSwing II EMD, Spring ES

Index Trader II: MeanSwing II EMD, SentSwing II RTY, Leopard Vol, Spring ES

Index Trader III: MeanSwing II EMD, SentSwing II RTY, SimpleSwing ES, Cheetah Vol, Leopard Vol, Spring ES

Index Trader IV: MeanSwing II EMD, SentSwing II RTY, SentSwing II YM, SimpleSwing ES, Cheetah Vol, Leopard Vol, Spring ES, Tiger Vol

Index Trader V: MeanSwing II EMD, MeanSwing II ES, SentSwing II RTY, SentSwing II YM, SimpleSwing ES, Cheetah Vol, Leopard Vol, Lion II Vol, Spring ES, Tiger Vol

Index Swing 2: MeanSwing II EMD, SentSwing II RTY

Index Swing 3: MeanSwing II EMD, SentSwing II RTY, SimpleSwing ES

Index Swing 4: MeanSwing II EMD, SentSwing II RTY, SentSwing II YM, SimpleSwing ES

Index Swing 5: MeanSwing II EMD, MeanSwing II ES, SentSwing II RTY, SentSwing II YM, SimpleSwing ES

Index Swing 6: MeanSwing II EMD, MeanSwing II ES, SentSwing II RTY, SentSwing II YM, SimpleSwing ES, SimpleSwing NQ

Along with updating the portfolios, I also retired SentSwing II NQ, Jaguar Vol and Lion III Vol. I have several new daytrading systems in incubation. When those pass final testing, I will release them, update existing portfolios, and create portfolios of only daytrading systems.

New Intraday System – Cheetah Vol

Posted August 16th, 2018 by Trendfinder and filed in Articles / Announcements

I am releasing Cheetah Vol today. It is an intraday system that has some similarities to the other Vol systems. The biggest difference is that it starts taking trades 45 minutes after the open, whereas the other Vol systems start around 2 hours after the open. Performance summary below, and full report is here.

 

Spring ES – a new day trading system

Posted July 18th, 2018 by Trendfinder and filed in Articles / Announcements

I am always testing ideas for new trading systems. After the sharp drop in February this year, I put my focus on day trading systems. Although not guaranteed, it appears that the extremely low volatility we’ve had in recent years is unlikely to repeat anytime soon. The markets will probably have more typical volatility, and therefore will be more accommodating to intraday systems. I will be releasing more intraday systems over the next few months and revising the portfolios.

Spring ES is a day trading system for the emini S&P 500 futures. The strategy identifies when the market is likely to spring out. It enters with a market order and uses an initial stop, a trailing stop or end of day to exit. It was developed with walk forward analysis which reduces the chances of over fitting and allows the system to adapt to future market conditions.

It performs well in volatile markets, including February and March this year. Hypothetical performance is shown below and at the webpage: http://trendfindertrading.com/springES.html Past performance is not necessarily indicative of future results.

Hello SimpleSwing and SentSwing II, Goodbye FedSwing and SentimentSwing

Posted January 26th, 2018 by Trendfinder and filed in Articles / Announcements

Out with the old and in with the new! I am happy to announce that two new swing systems are being released  – SentSwing II and SimpleSwing. FedSwing, FedSwing II and SentimentSwing are being retired.

SentSwing II is version 2.0 of SentimentSwing. The code is actually simpler now. It holds long trades longer and uses a much improved (and simpler) short entry filter. In a previous blog post, I said that 2 data streams were being added (they were to be used as a short filter). I have decided against doing this. It increased the chances of over fitting, and I found a better filter with data already being used. SentSwing II will replace SentimentSwing in the Portfolios.

SimpleSwing is a new swing system composed of two simple long strategies and one simple short strategy. It uses price, VIX and 52 week highs/lows for determining trades. I would like to say more about it, but really that’s it! The idea is to use very simple robust strategies that match the character of stock market indexes. SimpleSwing will replace FedSwing in the Portfolios.

FedSwing, FedSwing II and SentimentSwing have had very poor results for the past 12 months and are being retired. The short answer to why is that they were entering short trades during one of the most, if not the most, bullish periods ever. FedSwing was a wonderful system for many years, especially when the FOMC was active in the open market with Quantitative Easing and Operation Twist. Their current actions have not had the typical impact on the stock market, and therefore FedSwing has been out of sync. SentimentSwing was too aggressive with short trades, and it was exiting long trades too quickly. This is not a good fit for the stock market since it has an underlying bullish bias.

After I send the new strategy code to brokers, I will update the website. In the meantime, here is a sneak peek at hypothetical performance for SentSwing II ES, SimpleSwing ES, Index Swing 6 and Index Trader V. Past performance is not necessarily indicative of future results. Summary and equity graphs below, full reports in this zip file: Sneak Peek

SentSwing II ES

 

SimpleSwing ES

 

Index Swing 6

 

Index Trader V

Russell 2000 switch from TF to RTY

Posted September 22nd, 2017 by Trendfinder and filed in Articles / Announcements

Since the emini futures rollover from September to December a couple of weeks ago, the majority of volume for Russell 2000 futures has moved to the RTY (CME/Globex) from the TF (ICE/NYBOT). I have updated the strategy code to allow trading on the RTY, and all brokers should now be trading RTY for Trendfinder’s Russell 2000 systems.

Updated short exit for FedSwing

Posted June 20th, 2017 by Trendfinder and filed in Articles / Announcements

Due to the tendency of the stock market to move up slowly and down quickly, I’ve been testing an additional stop to use for short trades. The stop gets smaller as the trade progresses. This stops us out much quicker when the market slowly moves upward. I am now ready to incorporate this in FedSwing as a walk-forward update. Starting tomorrow, FedSwing will utilize this new stop.

For comparison, below are performance summaries for FedSwing ES without and with the new stop. Full performance reports can be found in this zip file: FedSwing new stop

FedSwing ES – old stop:

FedSwing ES – with new stop:

Better System Trader Podcast Interview

Posted April 4th, 2017 by Trendfinder and filed in Articles / Announcements

Andrew Swanscott was kind enough to include me in his Better System Trader podcasts (they are excellent!). Have a listen: http://bettersystemtrader.com/085-intraday-trading-strategies-gary-hart/

A note about low trading activity

Posted February 13th, 2017 by Trendfinder and filed in Articles / Announcements

Trendfinder’s trading systems have not been very active over the past few months. This is probably one of the quietest periods ever for them. The reason for this is that these systems are designed with risk control in mind (think low relative drawdowns), and therefore only enter trades when the odds are highly in their favor. For the intraday systems, this means not trading when markets have low volatility (we are at historic lows in volatility). For MeanSwing II, the market needs to have pullbacks to give high probability entries – we have not had any of those for several months. The newly released SentimentSwing is more consistent with trading activity, and FedSwing is more active than FedSwing II, so going forward there will be a little bit more trading activity in the Trendfinder Portfolios even if volatility stays low.

Although periods like this don’t give these systems a lot of opportunity to profit, these periods do typically occur during bull markets. Therefore, Trendfinder’s systems could be a very good allocation for your overall portfolio. With a portion of your equity invested in the stock market you benefit during bull markets, and with an allocation to Trendfinder’s systems you also benefit during choppy and bearish market conditions.

Updating the Portfolios – February 1 start date

Posted January 26th, 2017 by Trendfinder and filed in Articles / Announcements

For a couple of reasons, I have explored updating the systems used in the Portfolios. The first reason is that FedSwing II hasn’t had many trades because of current FOMC monetary policy (specifically with their open market account). Their actions have become more neutral to the market and have not provided much edge for FedSwing II to exploit. The second reason is that we now have another swing system (SentimentSwing) that can be used. SentimentSwing uses edges that are very different from the other systems and should be a great fit in the Portfolios.

The number crunching confirmed what I was hoping to see – the updated combinations of systems shows more consistency over time and even more profit (especially for the last two years). For the updated Portfolios, SentimentSwing has been added, the original FedSwing has been put back in, and FedSwing II has been removed. With the new combinations, no system trades more that 2 markets in any Portfolio – this helps risk management and diversification.

The following Portfolios are suggested combinations, and the ones that will be traded for clients that are subscribed to one of these Portfolios starting February 1. If there is any other combination you would like to trade and/or see performance results for (or you don’t want these updates), please let your broker know or email me (gary at trendfindertrading.com). The updated composition for each Portfolio is below (there will continue to be A and B versions as well):

 

Index Swing 2

MeanSwing II EMD, SentimentSwing ES

Index Swing 3

FedSwing ES, MeanSwing II EMD, SentimentSwing ES

Index Swing 4

FedSwing ES, MeanSwing II EMD, SentimentSwing ES, SentimentSwing NQ

Index Swing 5

FedSwing ES, MeanSwing II EMD, MeanSwing II ES, SentimentSwing ES, SentimentSwing NQ

Index Swing 6

FedSwing ES, FedSwing TF, MeanSwing II EMD, MeanSwing II ES, SentimentSwing ES, SentimentSwing NQ

 

Index Trader I

SentimentSwing ES

Lion II Vol

Index Trader II

MeanSwing II EMD, SentimentSwing ES

Leopard Vol, Lion II Vol

Index Trader III

FedSwing ES, MeanSwing II EMD, SentimentSwing ES

Leopard Vol, Lion II Vol, Tiger Vol

Index Trader IV

FedSwing ES, MeanSwing II EMD, SentimentSwing ES, SentimentSwing NQ

Leopard Vol, Lion II Vol, Lion III Vol, Tiger Vol

Index Trader V

FedSwing ES, MeanSwing II EMD, MeanSwing II ES, SentimentSwing ES, SentimentSwing NQ

Jaguar Vol, Leopard Vol, Lion II Vol, Lion III Vol, Tiger Vol

 

I am in the process of updating the website and will have it completed at the beginning of February. The earliest date for all symbols used is 4/8/2008. This symbol is used for SentimentSwing, and since SentimentSwing needs just over 6 months of data in TradeStation to run, the starting date for all Portfolio backtest results is 10/16/2008. For an apples-to-apples hypothetical backtest comparison of the existing and new Index Swing Portfolios, click Index Swing Portfolio comparisons. For the Index Trader Portfolios, click Index Trader Portfolio comparisons. As an example, comparisons for Index Trader V are below. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Current Index Trader V

FedSwing II EMD, FedSwing II ES, FedSwing II TF, MeanSwing II EMD, MeanSwing II ES

Jaguar Vol, Leopard Vol, Lion II Vol, Lion III Vol, Tiger Vol

New Index Trader V

FedSwing ES, MeanSwing II EMD, MeanSwing II ES, SentimentSwing ES, SentimentSwing NQ

Jaguar Vol, Leopard Vol, Lion II Vol, Lion III Vol, Tiger Vol