Gold etf basket trading

time period is 22.12.2005 - 22.12.2010

gold etf basket AU CEF DGL GDX GFI GLD HMY IAU KGC

Money management:

Number of shares to buy is determined by the follown formula. 20% of initial position divided by (Close-2 time 13 period ATR). Start allocate capital from those ETFs which have highest Close/200daySMA ratio.

Long:

• Take only long trades
• 2 period RSI is less than 30
• today is spy’s close is 1% above its 200 day SMA
• today is lowest low of the past 7 days

Exit Long

• method 1 : if 13 period adx is less than 30 and dmplus is higher than dminus and today is highest high of last 7 days
• method 2 : 13 period adx is greater than 30 and close > (13day ema + 2*atr13) and dmplus is higher than dminus

xau gld system

date range 2004- 2010 daily

XAU Philadelphia Gold and Silver Sector Index

GLD SPDR Gold Shares

Strategy name kg-xau_gold system. This system buys gold etf.

send me and email to get the strategy of this system.

email : k...@g...l.com

gld – tlt system

 

date range 2004- 2010 daily

TLT is iShares Barclays 20+ Year Treas. Bond ETF

GLD SPDR Gold Shares

Strategy name kg-tlt_gold system. This system buys gold etf.

send me and email to get the strategy of this system.

email: k...@g...l.com

Wide Range bars in the direction of the trend

Portfolio is MSCI International Country ETFs

01.01.2004– 05.10.2010 - daily data

Wide range bar is defined as “Today’s range is at least 50% greater than each of the previous five days.” StdDev of % wins is high. Because the system do not generate too much trades for each stock.

Win rate is high. Profit factor is good.

if wide range pattern occurs go long 

if Close > 200 day SMA and 10 day sma > 10 day sma yesterday buy stop at the high of today.

laps in the direction of the trend

 

Strategy is tested on top 20 liquid ETFs.

01.01.2004– 05.10.2010 - daily data

Lap occurs if open today is between close and high of yesterday. Laps has positive bias. Winrate and profit factor is good. no money management is used. strategy exists after 10 days.

if lap pattern occurs go long 

if Close > 200 day SMA and 10 day sma > 10 day sma yesterday buy stop at the high of today.

GAPS in the direction of the trade

S&P500 (^GSPC )  - 01.01.2004– 05.10.2010 - daily data

Gaps in the direction of the trend has positive bias. Win% and Profit factor is high. Netprofit is not spectacular but do not forger that we did not use any money management or stoploss system. System is exiting after 10 days without any initial stop.

when stocks gaps up in the direction of trend demand is high buyers are willing to pay more.

Gaps is defined as Open today > High of yesterday

Long

if Close > 200 day SMA and 10 day sma > 10 day sma yesterday buy stop at the high of today.

Triple Momentum system

 

S&P500 (^GSPC )

Date range: 01.04.1950 – 05.10.2010 , Weekly data

Buy if 5, 15, 25 Week % Momentum sum goes above 0 sell when it goes below 0.

this system has nice profit factor but low winning %. no stoploss is used.

20 Week 40 Week Crossover system

S&P 500 (^GSPC  )

Data Range : 01.04.1950 – 05.10.2010

This system is robust have high win rate and profit factor. This system can be used as a filter or a long term model. No stoploss is used.

This model can also be used to identify different stages (Rising, Topping, Declining, Basing) of market cycle.

200 WMA and 50 WMA simple Cross OVER SYstem

Date Range : 05.10.2000 – 05.10.2010

System : Long only buy when 50 day WMA crossover 200 day WMA next day at market. Sell if 50 WMA crosses under 200 day WMA. no stoploss is used.

This system has a little edge. It is a long term system. It can be used as a filter.

Different MA periods can be tested as well. For example

Very Long Term	30 Months
Long Term	200 days	40 weeks
Intermediate Term	50 days	10 weeks
Short Term	10 days	2 weeks

NASDAQ / NYSE Index

Stock market produces good gains when nasdaq (^IXIC) leads NY stock Exchange (^NYA)

Buy NASDAQ when nasdaq crosses over 10 day SMA of NasdaqCompositeClose/NYComposite Close

Sell is the opposite.

Date range 01.01.1999 – 05.10.2010

Profit factor is ok but win rate is below less then 50%.

M3 Money Supply and DAX

Datasource: http://www.economagic.com/em-cgi/data.exe/ecb/BSI-M-U2-Y-V-M30-X-1-U2-2300-Z01-E-m#Data

Seasonality of DAX

The image below shows the seasonality of the DAX index. The cycles below are constructed by using 19740102 - 20100409 range. Accordingly we can expect DAX to go down in september and go up at the end of october.

Learn from the history

There is similarity between 2003 market buttom and 2009 market buttom. It is possible to learn from history. Market broke down in March 2004. this pattern is repeated with 2 months delay in 2009 mai. Begining 2004 markets followed a consolidation phase until october 2004. Considering this delay I would expect the market to break upward betwen october and december of 2010.

Currency Conversion for Trading Products in a Non-Base Currency

How to convert a currency if you wish to trade products in a currency other than the currency your account was initially funded in

http://www.viddler.com/explore/ibhelp/videos/104/

FCX - Divergence

FCX - Weekly Elder Impulse System: "

via StockCharts.com

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data quality is very important in technical analysis