ETF Trading Systems
Mean Reversion Live Test run during November/December - See Below!
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
ETF Asset Allocation Models
- Selected ETFs to accomplish Allocation across Asset Classes – Back Tests! Sample tests from the long side only.
- Victor Sperandeo’s S.P.D.T.I.: Explanation and Back Test against Dow Jones Industrials back 78 years.
- Faber’s Monthly Moving Average
- Modified Donchian Channels with Qualifiers
- Mean Reversion RSI [System live tested on ETFs during Nov./Dec.2009]