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December 2013 Stocks and Commodities Traders Tips


Swing Trading With Three Indicators

AIQ Version:

Original article by Donald Pendergast
AIQ Code by Richard Denning

In addition to coding the author’s original system which uses the rules (“Buy” to enter long and “Sell” to exit the longs, “Short” to enter shorts and “Cover” to exit shorts), I created a second system that uses average true range to get the breakout amount and also added some additional trend filters that use the NASDAQ 100 index. All trading was simulated using the close to determine if a entry/exit had occurred and then the trades are entered/exited the next day at the open. The modified system uses rules (“BuyATR”, ”SellATR”, ”ShortATR”, and “CoverATR”). A comparison of equity curves is shown in Figure 1. In testing the short side, neither the author’s original system nor my modified system were able to produce profitable results, although my modified system has a smaller total loss than the author’s original system.

Captions:
Figure 1 – Comparison of equity curves for the author’s original system and the modified system trading the NASDAQ 100 list of stocks for the period 1/5/2000 to 10/9/2013.

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


 

Traders Studio Version :

Original article by Donald Pendergast
Traders Studio Code by Richard Denning

I set up a trading simulation using the S&P 500 futures contract (SP) using Pinacle data. I optimized the emaLen parameter which is used for the ema trend filter and the smaLen which is used for the average length of the high and lows. The breakout amount was set and held at zero. A three dimensional parameter graph of these two parameters is shown in Figure 1. The short side pulled the results down and we see that most of the parameter sets have a negative profit. In the code file, I have commented out the short side rules for this reason. The best parameter set for trading long is emaLen=250, smaLen=20, breakAmt=0.

Captions:
Figure 1 – Three-dimensional optimization graph for the period 1982 through 2013 trading the SP contract.

Traders Studio Code:
Swing Sys1 2013-12.zip
(right click and choose Save As)

 

 

 

 

 

 

 

 

 

 

 

 

 

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