ETF Trading Systems
Most trading systems are utilized in trading commodity futures. Much of the advanced technical analysis work is and has been happening in the futures arena. To start this project we are not going to reinvent the wheel.
We will be borrowing from some of the best known and most successful futures trend following systems, adapting them to trading Exchange Traded Funds (ETF’s). Exchange Traded Funds (ETF) provide an excellent array of asset classes allowing diversification across asset classes.
ETF’s are generally less volatile and require a good deal more cash to be invested than futures. The futures trading systems enjoy a great deal higher leverage and the ability to utilize income producing treasury bills for margin. Therefore these systems must be adjusted to fit, if possible the new requirements.
It is said that a trader must design his own system for it to be affective, i.e. for the individual to have the faith and understand what is going on. The objective of this section is to provide different trading systems and signals for your perusal. We encourage our members to add or delete requirements for each system to make them their own. We also encourage members to consider combining systems to accumulate positions over time, i.e. buy half and then another half.
This section is and will continue to be a work in progress!
- THE PROBLEM WITH NON-MECHANICAL TRADING by Art Collins
Below each system is an equity graph utilizing ETFs representing affective asset allocation: Equity (Large Cap U.S.), Equity (Large Cap x- U.S.), Commodity, Bonds, Real Estate, & Currencies. Your selections may be different but in this authors humble opinion the diversification is necessary for the simple reason - No One Knows what the Future holds – No One! The equity represents long only positions, simply because in my 40+ years in this business dealing with John Q, despite the lip service given most will not sell short.
Equity Charts are based on an original $100,000 portfolio. Portfolio allocation is 16.66% in each of 6 ETFs. These will hopefully be updated each month. Should I forget please send an email to remind me and I will update 
- Light Blue – Portfolio equity (begin 100K)
- Green – Current Cash Position
- Brown – equity drawdown.
There is no perfect system or methodology for everyone. It is strongly suggested you begin here and build your own methodology. Borrow, change, update, feel comfortable.
Past Performance is not representative or indicative of future performance.
- Victor Sperandeo’s S.P.D.T.I.: Link to explanation and Back Test against Dow Jones Industrials back 78 years.
- Mean Reversion - [System live tested on ETFs during Nov./Dec.2009]
Any member interested in a complete Trade List, so as to verify for yourself, just send an email, the system you’re interested in, and I will gladly forward you the list.