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February 2011 Stocks and Commodities Traders Tips


The Spearman Indicator For Technical Analysis :

AIQ Version:

Original article by Dan Valcu
AIQ Code by Richard Denning

The AIQ code for the Qstick and the Psychological Indicators as mentioned in Dan Valcu’s article, “The Spearman Indicator for Technical Analysis”, is shown below. AIQ code for the Spearman Indicator is not provided.

In Figure 1, I show both the Qstick and the Psychological Indicators on a chart of the SP500 ETF, symbol SPY.

Captions:

Figure 1 – Qstick and Psychological Indicators on a chart of the SP500 ETF (SPY).

EDS Code for Combining Psychological Indicators:
Psycho Ind.EDS
(right click and choose Save As)



Traders Studio Version :

Original article by Dan Valcu
Traders Studio Code by Richard Denning

The TradersStudio code for Dan Valcu’s article, “The Spearman Indicator for Technical Analysis”, is shown below. I devised a trading system for the SP500 futures contract that was based on the author’s suggestions, however the author did not provide a system for the Spearman Indicator. The trading rules for the system are as follows:

Enter a long position when:
1) The long-term Spearman Indicator is greater than zero indicating an uptrend and
2) The short-term Spearman Indicator has been greater than the over-sold level within the number of bars used to compute the short-term Spearman Indicator and
3) The short-term Spearman Indicator crosses over a 3 bar moving average of itself
Exit a long position when:
1) The long-term Spearman Indicator drops below zero or
2) Both the long and short-term Spearman Indicators are below their 3 bar moving average of themselves.
Short positions entry and exits use the reverse logic of the long positions.

In Figure 1, I show the resulting equity curve and in Figure 2, I show the resulting underwater equity curve. In Table 1, I show the year by year returns for the system. The return percentages are based on trading one contract of the SP500 future with a deposit equal to five times the minimum margin requirement. The total net profit for the period was $296,550 with a maximum drawdown of $68,200.

Captions:
Figure 1: Equity curve for the period 1/1/1996 to 12/10/2010 trading one SP500 future contract.

Figure 2: Underwater equity curve for the period 1/1/1996 to 12/10/2010 trading one SP500 future contract.

Table 1: Yearly returns trading one SP500 contract with a deposit of 5 times the minimum margin.

Traders Studio Code for Spearman Indicator:
SPEARMAN_TASC_Feb2011_TSZ.zip
(right click and choose Save As)

 

 

 

 

 

 

 

 

 

 

 

 

 

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