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April 2013 Stocks and Commodities Traders Tips


Low-Frequency Trading

AIQ Version:

Original article by Ron McEwan
AIQ Code by Richard Denning

The cumulative indicators on the advances and declines for the NYSE are provided in the first section of code. I have never liked cumulative indicators because results can vary depending on where the accumulation is started. I do not recommend using the first code that duplicates the author’s indicator because it runs so slowly that you will think that your computer is frozen. Due to this speed problem, I coded an alternate that uses the built-in AD line and then takes a moving average of the built-in AD line. This version runs quickly and probably gives similar results. I did not test the first coded version. The alternate version was tested as a timing system on the SP 500 EFT (SPY) from 1981 to 2/12/13. As with most timing systems, the risk was reduced based on a lower sigma than that of the markets and the return was also less than just buying and holding the SPY for the test period.

Captions:
Figure 1 – Equity curve for the alternate system trading the SPY from 1/5/1981 to 2/12/2013 compared to the SP 500 Index (SPX).

EDS Code:
Low_Freq.EDS
(right click and choose Save As)


 

Traders Studio Version :

Original article by Ron McEwan
Traders Studio Code by Richard Denning

  • Indicator plot: “LF_TRD_IND” indicator code that plots the Advance Decline indicator and its moving average
  • System: “LF_TRD” the system described by the author

I set up a test session using the SP & MD futures contract (Pinnacle data). After optimizing the single parameter in the system, I chose 70 as the length to use. In Figure 1, I show the Equity curve and underwater equity curve trading one contract from 1984 to 2013.

Captions:
Figure 1 – Equity and underwater equity for the LF_TRD system trading one contract of the SP and one contract of the MD from 1984 through 2013.

Traders Studio Code:
Low Frequency Trading Apr 2013.zip
(right click and choose Save As)

 

 

 

 

 

 

 

 

 

 

 

 

 

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