mholstius Regular  Posts: 76 Joined: 6/15/2011  User Profile | I’ve been trying to develop something that can act on the current bar with minimal lag to stop or resume trading based on a Market State rule. This is just a start - a “proof of concept”. I’m sure there are better methods and rules. My current "Cutoff Market State" rule uses the spread between the Current SPY Close and the SPY Highest High for the previous 6 days. If the spread is greater than 5%, all trades will be closed and trading will be halted for at least one day - more if the spread continues to be > 5%. This is the rather simple formula; (HHV(6) - C) / HHV(6) > .05 OR (HHV(6)[1] - C[1]) / HHV(6)[1] > .05 This is the process for setting it up as the 1st Market State; When triggered, it will exit all trades the following morning (if using MOO trades). If the next day is up, the “OR” function kicks in and delays trading for at least one additional day. If the SPY spread continues to decrease, trading will resume the following day. If the SPY spread stays > 5%, trading won’t start again until one day after it becomes < 5%. It’s a filter, so when compared with the same ATM without the Cutoff, the number of trades is lower, along with the ending equity; Here are some examples with the rules used to color the background; This past week on SPY; The same period in the ATM showing 2 profiles: with and without the Cutoff enabled; Two more examples… The Credit downgrade in Aug 2008; January - March 2009; As I said earlier, this is just a proof of concept, a first attempt at a low lag way to determine whether to stop trading for a while. I’m sure better Market State rules can be constructed - I just wanted to demonstrate what I found to be possible using the capabilities within ATM and stimulate some thought and conversation. Suggestions and comments…??? Best of luck in your trading, Mark [Edited by mholstius on 2/13/2018 6:39 PM]  Attached file : 00 Cutoff Market State.jpg (172KB - 1764 downloads) Attached file : 01 Cutoff comparison.jpg (102KB - 1786 downloads) Attached file : 02 Cutoff details.jpg (107KB - 1766 downloads) Attached file : 06 Cutoff.jpg (74KB - 1775 downloads) Attached file : 03 Cutoff On SPY.jpg (82KB - 1725 downloads) Attached file : 04 Cutoff In ATM.jpg (77KB - 1766 downloads) Attached file : 05 Cutoff DUring Credit Downgrade.jpg (79KB - 1755 downloads) Attached file : 300 High Money Flow Stocks With VIX.csv (1KB - 316 downloads) |
