Now is a good time to buy the markets in anticipation of a bounce!
Rules :
Buy at the open after the $NDX closes below the 10 day, 1.5 Standard deviation Bollinger band on the lows .
Sell on the first profitable close or in 14 days or a 14% stop loss
The QQQ can be used as a trading vehicle.
Performance results of this strategy based on 1 share trades in the NDX!
Below is the hypothetical performance of $100 invested in this strategy since 1986. You can see that the strategy outperforms buy and hold in both performance and maximum peak to trough drawdown and the strategy is only invested in the NDX 9.5% of all trading days, the rest of the time the money would have been safely sitting in cash earning interest. The performance results don't reflect commission, slippage or any interest earned while in cash.
Sign up to a free trial to our market timing and trading subscription service, details here!
Below is the hypothetical performance of $100 invested in this strategy since 1986. You can see that the strategy outperforms buy and hold in both performance and maximum peak to trough drawdown and the strategy is only invested in the NDX 9.5% of all trading days, the rest of the time the money would have been safely sitting in cash earning interest. The performance results don't reflect commission, slippage or any interest earned while in cash.
Sign up to a free trial to our market timing and trading subscription service, details here! 
6 comments:
Thanks for this, but I don't understand where do you get the average trade of 1,26%?
I see $31,60 per average winning trade but 1 share of QQQ is $55, shouldt 1,26% lead to average trade of $1-2?
The 1.26% average trade size is based on averaging the index move of all the prior wins and losses.
This is based on prior prices when this occurrence has happened in the past. You seem to be trying to do the calculation on the current QQQ price. The performance report is also based on trading 1 share of the NDX its not based on the QQQ. Though the results will translate as the QQQ tracks the NDX. You can see that the average trade size of all the 213 prior trades was $22.64, this means that on average the index value would have been around 1800 when the trades occurred. $22.64/ 1800 = 1.26%
I hope this helps.
Any chance you can report the results of using a constant dollar amount instead of one share? If most of the profitable trades happened when the Nasdaq was trading at higher prices then the results would skewed.
The 1.26% average trade size that I reported is the same as a constant dollar amount. if the Index were at 5000 a 63 point move would be expected , if the index were at 1000 a 12.6 point move would be expected.
Interesting analysis but I'm not following on the actual indicator. For 6/8/11 and 6/10/11 I do see the NDX drop below this indicator but not so on 6/9/11
I am using ^NDX data from Yahoo finance. As of 6/10/11, I have a closing value of 2256.65. My 10 day MA of lows is 2294.017, and the lower band of the 1.5SD BB of lows is 2241.877.
Alex,
The NDX closed below the Lower BBand of lows on 6/6,6/7,6/8 and 6/10
The QQQ closed below the lower BBand of lows on 6/6,6/8 and 6/10
This is based on my charting software not yahoo finance perhaps the data is different
Post a Comment