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Relative strength elements in your trading? Topic Rating:
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Hayniet4
Posted : Sunday, May 01, 2016 11:26:14 PM
Gold Customer Gold Customer

Joined: 4/19/2016
Posts: 41

Hi,

 

I'm curious if any of you have positive results using relative strength components to your investing.  I makes sense in a certain sense.  Things that went up kept going up in the past so looking forward things that went up well should keep going up well.  

 

But it dosent seem to work out like that for me?  In testing with the custom date sort you'd think that last quarters performers should be "high" on the list of the next couple of months but you actually need to scroll down a bit to start finding the ones that continued to perform well.  

 

Is there some specific period of time that works best?  

I started using Relative Strength to rank my trading selections for swing trading as a way to stop agonizing and just chop off a few and get the order in.  

I also make sure that everything I order is out performing the SPY at the point I enter.  the gaol is to outperform and so I figure that is a great filter to help.

 

I'm wondering the if the RS vs. Spy distance above teh moving average or slope would be more effective.

 

 


 

mammon
Posted : Sunday, May 08, 2016 10:17:54 PM
Gold Customer Gold Customer

Joined: 11/11/2006
Posts: 359

Hayniet4:

Some thoughts on this subject  You may wish to Google "Frank Grossman" on this subject, he has several strategies.  Also consder "QuantHead" and the "Simple GMR Rotation Model".

While you are on the QuantHead site, on the column to the right of the screen, go to "Spotlight-Varan"

On Varan, it s helpfull to use the ETF rather than the funds.

Note: Read the "Comments' because the authors will sometimes change things.......All of these are back-checkable.

Another avenue would be a method called Pair Switching, with MDY/TLT, etc.  Now it is not foolproof, but with two assets to choose between,  a 21 day Donchian Channel works about as well as anything else.  I have used the 21day D-Channel with 21Day Percent True spikes for entry.  Buy the one that spikes on the 21 day high. Then watch the other of the pair.  Buy this second one when it spikes and sell the first.   Sometimes they will both move in the same direction, but it's fun to backtest.

 

Your mileage my vary, but it seems to work better to use Donchian or to watch the lookback period each day, rather than once every 20 days or so.  Although most will say to hold a month,(or whatever)

The shape of one mans opinion.....

 

MAMMON

 

 

 

 

 

 
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