New swing systems and updated portfolios

Posted February 8th, 2019 by Trendfinder and filed in Articles / Announcements

The website has been updated for the new swing systems and portfolio combinations. FedSwing is resurrected with a walk-forward update, MeanSwing and SimpleSwing became dynamic/adaptive, and SentSwing is retired. I will be sending the code and charts to brokers this weekend.

For FedSwingWF, I changed one parameter and used a walk-forward method for when the FOMC changed methods to fulfill their intentions. For example, until 2014 they utilized open market operations (POMO), then they stopped POMO and started utilizing a balance sheet reduction (SOMA). Going forward I will adjust the measures used by the strategy when the FOMC changes their methods.

MeanSwing3 adjusts parameters based on volatility. The overall profit is lower now but the drawdown is much lower. Also, the performance is much more consistent over time. With dynamic parameters, the entry timing was improved so much that I was able to reduce the maximum stop loss from $5000 to $3000. With the reduced number of trades, better timing, and reduced stop loss, the probability of a very large drawdown in the future is reduced.

SimpleSwing2 also adjusts parameters based on volatility. I also added a trailing stop and adjusted the filter for shorts. Similar to MeanSwing3, performance is much more consistent over time.

Take a look at the new systems at http://trendfindertrading.com/systems.html and the portfolios at http://trendfindertrading.com/portfolios.html. FYI, you may have to hit shift+F5 or ctrl+F5 to refresh the pages.

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.