Quant Mashup - Quantocracy

Quant Mashup - Oxford Capital

The Livermore System: Part 2 | Trading Strategy (Filters) [Oxford Capital]

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(...)

The Livermore System: Part 1 | Trading Strategy (Filters) [Oxford Capital]

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.(...)

Dual Momentum & Rate of Change: Trading Strategy Review [Oxford Capital]

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(...)

Dual Momentum & Vortex Indicator: Trading Strategy Review [Oxford Capital]

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(...)

Vortex Indicator: Trading Strategy Review & Sensitivity Test [Oxford Capital]

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:(...)

Volatility Clustering with Opening Range Breakout (ORB) [Oxford Capital]

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(...)

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(...)

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?(...)

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(...)

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(...)

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.(...)

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)(...)

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(...)

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.(...)

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?(...)

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(...)

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:(...)

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:(...)

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:(...)

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:(...)

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(...)

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.(...)

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(...)

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(...)

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] >(...)

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,(...)

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

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.(...)

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.(...)

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(...)

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(...)

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(...)

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(...)

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(...)

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:(...)

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(...)

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(...)

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(...)