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

*- 2 years ago, 7 Jul 2020, 01:57pm -*

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.

*- 2 years ago, 31 May 2020, 10:47pm -*

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

*- 2 years ago, 20 Apr 2020, 09:30am -*

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

*- 2 years ago, 15 Apr 2020, 10:39am -*

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:

*- 2 years ago, 16 Mar 2020, 09:02pm -*

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

*- 2 years ago, 20 Nov 2019, 09:32am -*

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 years 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?

*- 3 years 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

*- 3 years 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

*- 3 years 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.

*- 3 years 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)

*- 3 years 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

*- 3 years 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.

*- 4 years 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?

*- 4 years 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

*- 5 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:

*- 5 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:

*- 5 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:

*- 5 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:

*- 5 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

*- 6 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.

*- 6 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

*- 6 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

*- 6 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] >

*- 6 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,

*- 6 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,

*- 6 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.

*- 6 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.

*- 6 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

*- 6 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

*- 7 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

*- 7 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

*- 7 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

*- 7 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:

*- 7 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

*- 7 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

*- 7 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

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