ETF Prophet

After months of researching and coding and much help from Jeff Pietsch, I have finally completed the basic Walk Forward Test!

I’ve been working on bigger projects till about a week ago then I got real curious about a trading idea: what happens to S&P 500 next week when commodity currencies are aligned up or down the same day? What happens if I want to reduce the drawdown periods and increase the run-up periods? what happens [...]

I’ve been starting to use Excel to back test my system/indicator ideas. Tested a few ideas and realized I need to start using PSAR filter to systems and equity curve “surfing”, as Dave Evans would call it, to improve performance. I had my doubts about PSAR though… So I checked some stats about how it [...]

“Today’s big U.S. Dollar move versus the Euro on the threat of French bank downgrades and riots in the streets of Greece has me thinking about the currencies’ respective Exchange Traded Fund proxies, UUP and FXE. Of course, all currency trades inherently involve the concept of long|short pairs, but using the ETF basket proxies does [...]

“Currencies, Bonds and Commodities are known for having particularly consistent trend components to their daily price behaviour. Trend components in the New Zealand Dollar (NZ) have been particularly strong during the last several years, and consistently so. The trick for savvy swing traders, is to identify when the trend may have become too much of [...]

The Market Rewind Pairs Analysis is still one of the most robust and reliable parts of my trader’s toolbox.  Here’s a look at the UUP/FXE pair (currently no open position) but a quick look at Section C shows UUP poised to make a move up.  The equity curve has maintained a smooth slope from inception [...]

Throughout my strategy building I’ve noticed these big eye sores: It hurts to see a trade going good and hitting the skids without stopping the bleeding early.

I’ve been tackling swing strategies, or strategies that have an exit that isn’t the next day(s) like my usual ones. It’s not as easy. So far I’ve developed a few indicators along the way. Currently I’m looking into building a strategy that fades Standard Error Bands pierces, as opposed to the more popular Bollinger Bands.

One correlated outcome of the rising Euro (we’ll talk about that later) is the decline in the dollar (shaded chart), which looks poised to hit its November sub-22 low.  The Prognosticator is near neutral when attempting to forecast dollar direction.  Depending on the time frame reviewed there is little fractal alignment of the signals.  Meanwhile, FXE [...]

This is a little different spin on the previously posted VIXometer.  However, instead of using VIX as the underlying baseline the template uses SPY (shaded area). This new template makes the differential in volatility across the various sectors considerably more apparent and reveals the attractiveness of trading the EVZ (Euro currency) component, which is FXE.  FXE [...]

I’ve been diving into the quant arena since my last trade last year. Figured that I need a MUCH better platform, better broker, better tools of the trade to handle this market. TOS’ datafeed is so inconsistent that it became an additional significant risk to my style of trading. Consequently I decided NOT to trade with them [...]

Today we highlight a new feature of the PDQ Dashboard . . the % gain for each side of each pair trade contributing to the equity curve (Net % R).  In the case of the VXX above it’s clear that the VXX side of each pair trade is the real money maker so when the PDQ [...]

Departing from our TLT investigation on today’s market surge , this seemed like a good time to take a quick look at the VXX PDQ Dashboard. I actually use 3 different sector based PDQs to evaluate VXX . . the one shown above is based on the currencies and as evident, Friday’s outlook was uniformly [...]

The EUR/USD continues to display lower highs and lower lows, closing each session below the PP pivot.  We saw marginal weakness following yesterday’s US session open but the bottom line continues to be bearish.   A retest of 130.00 still looks like the path of least resistance although in this low volume environment anything can [...]

Today’s chart continues from where yesterday’s post left off. Hindsight is always a great teacher and the overnight action following the close of our straddle at 1:00 shows that closing that position was a good decision. We have witnessed  two more tight consolidations to successively lower levels following last night’s straddle exit . . in each case the session [...]

Regular readers know my EUR/USD straddle setup is one of my favorite low risk trades. Today’s straddle opportunity that devloped over the course of almost 8 hours with the EUR/USD trading in an 18 pip range was particularly unique and illustrates the value of patience.