I desire to give thank yous Delbert Dunmore of Aurora, IL for this real promising foundation for a trading system. Del, as yous mightiness recall, was the dependent area of behavioral finance query into the "Reverse Midas Effect" earlier he was hired yesteryear a major investment banking firm to caput upward their Contrary Opinion Desk.
The fundamental to Del's organisation is constructing a cost channel consisting of a 10-day moving average of daily high prices together with an 8-day moving average of daily depression prices. When the electrical flow day's closing cost closes inwards a higher house this channel, purchase at close. When the electrical flow day's closing cost closes below the channel, sell brusk at close. The trades are unopen when SPY closes inside its cost channel.
Going dorsum 3 years inwards the S&P 500 Index (SPY), nosotros abide by that this short-term tendency next organisation has been remarkably consistent inwards its profitability. H5N1 full of 104 trades were generated, averaging v days per trade. The organisation generated 27 profitable trades together with 77 losers, impressively losing well-nigh three-quarters of the time. But how well-nigh average win/loss per trade? Here is where the organisation shines: the average loss is 1.40 points (14 S&P futures points), only the average arrive at is 1.47 points (14.7 S&P futures points).
That's right: the organisation loses 3 times every bit frequently every bit it wins, only keeps winners well-nigh fifty-fifty inwards size amongst losers. Over the 3 years, the organisation has lost 67.9 SPY points or a whopping 679 S&P futures points. Hats off to Del together with all other short-term tendency followers for to a greater extent than or less other trading organisation that is together with thence bad that it's promising.
P.S. - The organisation went long on 8/29.
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