Source: Kaufman, P. J. (2020). Trading Systems and Methods (Chapter 5: The Livermore System). New Jersey: John Wiley & Sons, Inc. Concept: Trading strategy based on Jesse Livermore‘s approach to swing trading with DeMark pivots. Research Goal: Performance verification of Pivot Size and

I. Trading Strategy Source: Kaufman, P. J. (2020). Trading Systems and Methods. New Jersey: John Wiley & Sons, Inc. Concept: Momentum trading strategy based on Jesse Livermore‘s approach to swing trading. Research Goal: Performance verification of Swing Filter and Penetration Filter.

Concept: Dual momentum trading strategy based on Rate of Change (ROC). Research Goal: Performance verification of dual momentum signals. Specification: Table 1. Results: Figure 1-2. Trade Filter: Long Filter: Slow Rate of Change (ROC1) is above zero. Short Filter: Slow Rate of Change (ROC1) is below

Developer: Etienne Botes and Douglas Siepman (Vortex Indicator). Concept: Dual momentum trading strategy based on Vortex Indicator. Research Goal: Performance verification of dual momentum signals. Specification: Table 1. Results: Figure 1-2. Trade Filter: Long Filter: Slow Positive Vortex Indicator

Developer: Etienne Botes and Douglas Siepman. Source: The Vortex Indicator. Stocks & Commodities, January 2010. Concept: Momentum trading strategy based on Vortex Indicator. Research Goal: Performance verification of momentum signals. Specification: Table 1. Results: Figure 1-2. Trade Setup:

Concept: Opening Range Breakout (ORB) with Volatility Clustering (Large price moves tend to be followed by large price moves, and small price moves tend to be followed by small price moves). Research Question: Can we improve performance of the original volatility clustering model via Opening Range

Concept: Large price moves tend to be followed by large price moves, and small price moves tend to be followed by small price moves (Volatility Clustering). Research Question: Can we improve performance of the original volatility clustering model via standard deviation filtering of large price

Concept: Volatility clustering: Large price moves tend to be followed by large price moves, and small price moves tend to be followed by small price moves. Research Question: Is there a tendency of large price moves in one direction to be followed by large price moves in the opposite direction?

Developer: Toby Crabel (Narrow Range N-Day Pattern; Note: Wide Range N-Day Pattern applies a reverse logic of Narrow Range N-Day Pattern). Source: Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc. Concept: Volatility cycles

Developer: Dan Chesler, CTM, CTA. Concept: Trading strategy based on false breakouts. Research Goal: Performance verification. Specification: Table 1. Results: Figure 1-2. Trade Setup: Long Trades: The modified bullish hikkake pattern (a.k.a. the bullish “inside day false breakout”) consists of

Developer: Gerald Appel. Source: Appel, G. (2005). Technical Analysis. NJ: Pearson Education, Inc. Concept: Trend following trading strategy based on the MACD (Moving Average Convergence Divergence) signal line. Research Goal: Performance verification of momentum signals. Specification: Table 1.

I. Trading Strategy Developer: Gerald Appel. Source: Appel, G. (2005). Technical Analysis. NJ: Pearson Education, Inc; Star, B., PhD (2016). Zero In On The MACD. Stocks & Commodities, May 2016. Concept: Trend following trading strategy based on the MACD (Moving Average Convergence Divergence)

Developer: Richard Wyckoff; Toby Crabel; Gerald Appel. Source: Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc.; Appel, G. (2005). Technical Analysis. NJ: Pearson Education, Inc. Concept: Trading strategy based on reversal

Developer: Richard Wyckoff; Toby Crabel. Source: Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc. Concept: Trading strategy based on reversal patterns. Research Goal: Performance verification of reversal patterns.

Developer: Larry Williams (“All in one: Price, volume and open interest”); R. D. Donchian (Breakout Channels). Concept: Trading strategy based on price breakouts confirmed by POIV (Price, Open Interest, and Volume) filters. Research Question: Can combined filters improve price breakouts?

Developer: Joseph Granville (On-Balance Volume); R. D. Donchian (Breakout Channels). Concept: Trading strategy based on price breakouts confirmed by OBV (On-Balance Volume) filters. Research Question: Can volume filters improve price breakouts? Specification: Table 1. Results: Figure 1-2. Trade

Volume Filters: Part 1 | Trading Strategy (Entry & Exit) I. Trading Strategy Developer: R. D. Edwards, J. Magee (Volume Filters); R. D. Donchian (Price Breakout Channels). Concept: Trading strategy based on price breakouts confirmed by volume filters (i.e. volume breakouts). Research Question:

I. Trading Strategy Developer: John Ehlers. Source: Ehlers, J., FRAMA: Fractal Adaptive Moving Average. Concept: Trend following trading strategy based on adaptive price filters. Research Goal: To verify performance of the Fractal Adaptive Moving Average (FRAMA). Specification: Table 1. Results:

I. Trading Strategy Developer: John Ehlers and Ric Way. Source: Ehlers, J., Way, R. (2010). Zero Lag (well, almost). Concept: Trend following trading strategy based on moving average filters. Research Goal: To verify performance of the Zero Lag Moving Average (ZLMA). Specification: Table 1. Results:

I. Trading Strategy Developer: John Ehlers and Ric Way. Source: Ehlers, J., Way, R. (2010). Zero Lag (Well, Almost). Concept: Trend following trading strategy based on moving average filters. Research Goal: To verify performance of the Zero Lag Moving Average Filter. Specification: Table 1. Results:

I. Trading Strategy Source: Kaufman, P. J. (2013). Trading Systems and Methods. New Jersey: John Wiley & Sons, Inc. Concept: Trend following trading strategy based on Simple Moving Average (SMA) filters. Research Goal: To benchmark the Simple Moving Average (SMA) against the Hull Moving Average

Developer: Alan Hull. Source: Kaufman, P. J. (2013). Trading Systems and Methods. New Jersey: John Wiley & Sons, Inc. Concept: Trend following trading strategy based on low lag moving averages. Research Goal: To verify performance of the Hull Moving Average (HMA). Specification: Table 1.

I. Trading Strategy Developer: Larry Connors (The 2-Period RSI Trading Strategy), Welles Wilder (The RSI Momentum Oscillator). Source: (i) Connors, L., Alvarez, C. (2009). Short Term Trading Strategies That Work. Jersey City, NJ: Trading Markets; (ii) Wilder, J. W. (1978). New Concepts in Technical

I. Trading Strategy Developer: Larry Connors (The 2-Period RSI Trading Strategy), Welles Wilder (RSI Momentum Oscillator). Source: (i) Connors, L., Alvarez, C. (2009). Short Term Trading Strategies That Work. Jersey City, NJ: Trading Markets; (ii) Wilder, J. W. (1978). New Concepts in Technical

Developer: John Bollinger (Bollinger Bands®). Concept: Trend-following trading strategy based on Bollinger Bands. Research Goal: Performance verification of the 3-phase model (long/short/neutral). Specification: Table 1. Results: Figure 1-2. Trade Setup: Long Trades: Close[i − 1] >

I. Trading Strategy Developer: Toby Crabel (Setup: NR7 Pattern); Laurence A. Connors, Linda B. Raschke (Entry: Price Breakout with NR7). Source: (i) Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc; (ii) Laurence A. Connors,

I. Trading Strategy Developer: Toby Crabel (Setup: NR7 Pattern); Laurence A. Connors, Linda B. Raschke (Entry: Price Breakout with NR7). Source: (i) Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc; (ii) Laurence A. Connors,

I. Trading Strategy Developer: Toby Crabel (NR7 Pattern). Source: Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc. Concept: Volatility cycles. Research Goal: Performance verification of the NR7 pattern. Specification: Table 1.

I. Trading Strategy Concept: Short-term momentum patterns with a trend filter. Source: Hill, J. R., Pruitt, G., Hill, L. (2000). The Ultimate Trading Guide. New York, N.Y.: John Wiley & Sons, Inc. Research Goal: To benchmark the Gap Pattern – Type B against the Gap Pattern – Type A.

I. Trading Strategy Concept: Short-term momentum patterns with a trend filter. Source: Dahlquist, J. R., Bauer, R. J. (2012). Technical Analysis of Gaps. New Jersey: Pearson Education, Inc. Research Goal: Performance verification of the Gap Pattern. Specification: Table 1. Results: Figure 1-2. Trade

I. Trading Strategy Developer: Toby Crabel (ORBP: Opening Range Breakout Preference); Richard D. Donchian (Price Channel Filter). Source: Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc. Concept: Volatility expansion with a

I. Trading Strategy Developer: Toby Crabel (ORBP: Opening Range Breakout Preference). Source: Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc. Concept: Volatility expansion with a trend filter. Research Goal: Performance

I. Trading Strategy Concept: Short-term momentum pattern with trend filter. Source: Hill, J. R. (1977). Stock & Commodity Market Trend Trading by Advanced Technical Analysis. Hendersonville, N.C.: Commodity Research Institute, Ltd. Research Goal: Performance verification of 3-Bar Momentum

I. Trading Strategy Concept: Volatility breakout strategy based on price deviations defined by Minkowski Distance where: Upper_Band = Mean + (Multiple × Deviation); Lower_Band = Mean − (Multiple × Deviation); Deviation((Close)k=1,…,K, Mean) = (∑|Close − Mean|λ ÷ K)1/λ. Minkowski

I. Trading Strategy Concept: Trend-following trading strategy based on a simple price momentum. Source: Kaufman, P. J. (2013). Trading Systems and Methods. New Jersey: John Wiley & Sons, Inc. Research Goal: Performance verification of the price momentum model. Specification: Table 1. Results:

I. Trading Strategy Developer: Nelson F. Freeburg. Concept: The currency trading strategy based on the intermarket analysis. Source: Freeburg, N. F. (Dec. 1993). Formula Research, Quantitative Treatment of the Financial Markets. Memphis, TN: Formula Research, Inc. Research Goal: Performance

Developer: Joe Krutsinger: “One Night Stand” Trading System. Concept: Short-term trading strategy based on a weekday filter and price momentum. Source: Freeburg, N. F. (Sep. 1994). Formula Research, Quantitative Treatment of the Financial Markets. Memphis, TN: Formula Research, Inc. Research

We reviewed market correlations for eight core groups: (a) Equities, (b) Interest Rates, (c) Currencies, (d) Energy, (e) Metals, (f) Grains & Oilseeds, (g) Livestock, (h) Softs & Woods. Setup: Market Returns = ln(Close[n] / Close[n − LookBack]), where LookBack = 10 bars. Correlation window