ETF Prophet

Trading the DVB indicator has been a very effective way to trade markets like the S&P 500 (or the SPY ETF) in the last few years. The basic method is to buy on a low reading (<0.5) and sell on…

I’ve been taking a look at gaps recently, specifically putting some numbers on David Varadi’s Normalised Gap/ Lap Indicator. First, it’s good to set some benchmarks with regard to the performance of gap fades on SPY (S&P 500 ETF). I’ve…

I added 3 more rules for the trailing stop to kick in once 3  different ranking conditions have been met and walla, a 42% gain from the previous version and double the win/loss ratio by quantity.   The ranking and generalizations will keep this strategy working for other currencies as well but different variations / [...]

In Part 1 we discussed some of the elements required for a testable framework for wave theories such as Elliott Wave. In this post we will discuss a very simple framework for testing and research. One of the most important aspects of a good classification system is the ability to categorize into broad general principles [...]

For a while I’ve puzzling over forex markets and how they differ from other markets such as US equities. After much research, I can certainly say (surprise, surprise) that FX is a very different market and compared to the SPY,…

Following on from my last couple of posts on the Parabolic Time Oscilator (PTO), I’ve been playing around with another variation on this theme. David Varadi introduced the PTO which looks at the length of time a market has been…

As a follow up to my last post on the PTO oscilator, I thought I’d do a quick follow up on how it relates to Mean Reversion indicators like the DVB. In theory, the PTO could act as a reasonable…

David Varadi recently posted an idea for a Parabolic Stop and Reverse (PSAR) oscilator. Full details here: Here’s a summary: 1) Record the days in a Parabolic SAR long or short position until the trade reversed 2) Take the 100-trade…

In my first post on this topic I looked at whether intraday range could be used as an environment filter to help predict the favourability of Mean Reversion type strategies. Specifically I looked at the ratio of the low compared to the close as a % of the day’s range. Let’s call this the Low-Close [...]

In December I took at look at using seasonality filters to improve on systems such as the DVI/ DVB Combo method. With financial markets starting to get a little more interesting, it's time for an update.  You can find the original post here First let's take a look at the performance of the DVI/ DVB [...]

With markets finally erm reverting this week, it's a good time to update on the success of the most basic of mean reversion strategies – namely buying after a down day and selling after an up day.  'Mean Reversion' is a nebulous theme, but the core idea is to sell when the market is too [...]

I'm not sure how to use this, or the implications of it, but I though the following was worth sharing.  I've been looking at the day's trading range as a predictable variable for trade management purposes and was struck by often daily range size appeared to be mean reverting, just like markets can be (or [...]

I've been looking at the trending potential of currencies recently, noting that they are more prone to trend following than mean reversion type pull backs.  In my test I performed a simple analysis looking at the performance of the DVB indicator.  In both mean reversion and trend following mode. As a brief recap, the DVB is [...]

The Down Jones is close to hitting the headlines with a close above the 12,000 level as the the seemingly inexorable upwards grind continued.  I happened to glance at a weekly chart of the Dow and was quite amazed what I saw. I hadn't realised the recent rally had been so consistent on a weekly [...]

I'm still without full internet, but I shall spare you the details. In short; Virgin Media have excelled themselves in indeptitude. However I thought I'd share something i've been playing with. Well, more adapting really. Market Sci has been putting out some great work on seasonality effects and I have to say that I'm coming [...]

Things are getting a little more settled here, so it’s high time I put myself back in the saddle. It's amazing how many excuses I can find to not get back into meaningful work routines. I can point to intermittent internet connections, living out of a suitcase and daily battles with estate agents, but ultimately [...]

Just a quick note to share something I've been looking at. I'm sure this has been noted elsewhere but I thought it was interesting in reference to the research on selling extreme indicators such as the Williams Vix Fix. The research I've made on this so far is based on holding for one day only [...]

Recently Michael at Market Sci has had a great serious of posts on David Varadi's DVI indicator which is the medium term cousin of the shorter term DVB indicator. DVI was proprietary until David kindly made the calculation publicly available via MarketSci. Here's some useful links: DV Indicators Market Sci on the DV2 (DVB) Market [...]