Quant Mashup - Oxford Capital

Volatility Clustering: Alternative Methods of Filtering [Oxford Capital]

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

*- 2 weeks ago, 29 Oct 2019, 07:29pm -*

Volatility Clustering: Are large price moves followed by large price moves? [Oxford Capital]

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?

*- 1 month ago, 25 Sep 2019, 06:47pm -*

Wide Range N-Day Pattern | Trading Strategy (Setup) [Oxford Capital]

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

*- 2 months ago, 25 Aug 2019, 01:41am -*

Modified Hikkake Pattern | Trading Strategy (Filter & Exit) [Oxford Capital]

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

*- 6 months ago, 1 May 2019, 11:20pm -*

MACD: Moving Average Convergence Divergence (Part 2) [Oxford Capital]

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.

*- 8 months ago, 14 Feb 2019, 12:36pm -*

MACD: Moving Average Convergence Divergence (Part 1) [Oxford Capital]

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)

*- 11 months ago, 5 Dec 2018, 12:41pm -*

Reversal Patterns: Part 2 | Trading Strategy (Exits) [Oxford Capital]

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

*- 1 year ago, 15 Oct 2018, 02:09am -*

Reversal Patterns: Part 1 | Trading Strategy (Exits) [Oxford Capital]

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.

*- 1 year ago, 22 Apr 2018, 11:30pm -*

Volume Filters (Part 3) | Trading Strategy (Entry & Exit) [Oxford Capital]

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?

*- 1 year ago, 22 Nov 2017, 09:36am -*

Volume Filters (Part 2) | Trading Strategy (Entry & Exit) [Oxford Capital]

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

*- 2 years ago, 6 Oct 2017, 10:45pm -*

Volume Filters (Part 1) | Trading Strategy (Entry & Exit) [Oxford Capital]

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:

*- 2 years ago, 5 Sep 2017, 08:50pm -*

Fractal Adaptive Moving Average | Trading Strategy (Setup) [Oxford Capital]

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:

*- 2 years ago, 14 Jun 2017, 09:26pm -*

Zero Lag Moving Average Filter | Trading Strategy [Oxford Capital]

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:

*- 2 years ago, 3 Feb 2017, 11:58am -*

Zero Lag Moving Average Filter | Trading Strategy (Entry & Exit) [Oxford Capital]

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:

*- 3 years ago, 20 Oct 2016, 11:18pm -*

Simple Moving Average Filter | Trading Strategy [Oxford Capital]

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

*- 3 years ago, 5 Aug 2016, 02:29pm -*

Hull Moving Average Filter | Trading Strategy (Entry & Exit) [Oxford Capital]

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.

*- 3 years ago, 20 Jul 2016, 11:00am -*

Relative Strength Index (RSI) Model [Oxford Capital]

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

*- 3 years ago, 3 Jun 2016, 09:30am -*

Relative Strength Index (RSI) Model | Trading Strategy (Entry) [Oxford Capital]

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

*- 3 years ago, 7 May 2016, 06:46pm -*

Bollinger Bands | Trading Strategy (Setup) [Oxford Capital]

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] >

*- 3 years ago, 8 Apr 2016, 02:01am -*

Price Breakout with NR7 | Trading Strategy (Setup & Entry) [Oxford Capital]

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,

*- 3 years ago, 19 Mar 2016, 11:58pm -*

Price Breakout with NR7 | Trading Strategy (Filter & Exit) [Oxford Capital]

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,

*- 3 years ago, 16 Mar 2016, 06:32pm -*

NR7 Pattern | Trading Strategy (Setup & Exit) [Oxford Capital]

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.

*- 3 years ago, 8 Mar 2016, 10:44am -*

Gap Pattern - Type B | Trading Strategy (Filter & Exit) [Oxford Capital]

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.

*- 3 years ago, 12 Dec 2015, 08:19am -*

Gap Pattern | Trading Strategy (Filter & Exit) [Oxford Capital]

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

*- 4 years ago, 8 Nov 2015, 03:20am -*

ORBP with Price Channel Filter | Trading Strategy (Filter & Exit) [Oxford Capital]

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

*- 4 years ago, 16 Sep 2015, 09:58am -*

ORBP with Momentum Filter | Trading Strategy (Filter & Exit) [Oxford Capital]

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

*- 4 years ago, 23 Aug 2015, 02:12am -*

3-Bar Momentum Pattern | Trading Strategy (Entry) [Oxford Capital]

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

*- 4 years ago, 13 Aug 2015, 03:57am -*

Volatility Breakout Model | Trading Strategy (Benchmark) [Oxford Capital]

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

*- 4 years ago, 12 Aug 2015, 12:20pm -*

Price Momentum Model | Trading Strategy (Benchmark) [Oxford Capital]

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:

*- 4 years ago, 2 Jun 2015, 02:11pm -*

Intermarket Analysis: The Pathfinder | Trading Strategy (Filter) [Oxford Capital]

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

*- 4 years ago, 20 May 2015, 10:06pm -*

Short-Term Trading: Friday Momentum with Weekday Filter [Oxford Capital]

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

*- 4 years ago, 13 Apr 2015, 07:46pm -*

Review of Global Market Correlations: 1995-2014 [Oxford Capital]

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

*- 4 years ago, 27 Jan 2015, 03:05pm -*