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%.