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June 2014 Stocks and Commodities Traders Tips


Slope Divergence: Capitalizing on Uncertainty

AIQ Version:

Original article by Perry Kaufman
AIQ Code by Richard Denning

I provide code for the author’s system, which is modified somewhat from the author’s descriptions. I did not find that the system was exiting in an average of 6 days but was holding for a longer period. My exits might be the issue and so I added a time exit that can be used to force an exit after the “maxBars” input number of bars. I liked the results when my time exit is set to hold a maximum of 3 bars.

Figure 1 shows the AIQ EDS Summary long only back-test report using the NASDAQ 100 list of stocks over the prior four years ending 4/10/2014. Neither commission nor slippage have been subtracted from these results. I did not test the short side of the system. Note that my parameter settings differ from those suggested by the author.

Captions:
Figure 1 – AIQ EDS Summary long only back-test report using the NASDAQ 100 list of stocks over the prior four years ending 4/10/2014.

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


 

Traders Studio Version :

Original article by Perry Kaufman
Traders Studio Code by Richard Denning

The following code files are contained in the download below:

  • System SDIVERG_SYS – a trading system that employs most of the rules outlined in the article
  • Function LinearRegSRV – returns the linear regression (LR) slope and other related LR variables
I provide code for the author’s system, which is modified somewhat from the author’s descriptions. I did not find that the system was exiting in an average of 6 days but was holding for a longer period. My exits might be the issue and so I added a time exit that can be used to force an exit after the “maxBars” input number of bars. I liked the results when my time exit is set to hold a maximum of 9 bars. In Figure 1, I show the equity and underwater equity curves trading the NASDAQ 100 list of stocks, long only, for the period 2008 through February 2014. On each signal, 100 shares were traded. Neither commission nor slippage have been subtracted from these results. I did not code or test the short side of the system.

Captions:
Figure 1 – Equity and underwater equity curves trading the NADSAQ 100 list of stocks, long only, for the period 2008 through February 2014.

Traders Studio Code:
SlopeDiverg June 2014_TSZ.zip
(right click and choose Save As)

 

 

 

 

 

 

 

 

 

 

 

 

 

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