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I mentioned the new ETF Diversifier strategy in the last call. It’s a compilation of 6 separate strategies that trade 30 – 40 ETFs. These strategies have hold times from a single day to 10-days. What I’ve found is index-based ETFs are good for the long side, and non-index-based ETFs can be used for the short side.
Here is a short side one which I pulled out of a magazine about 10-years ago. I use this to trade a variety of non-index ETFs. The magazine article focused on $GDX only, but more symbols in that space add to trade frequency.
GDXBear: InList(“GDX”) and ((C-O) / O) > 0.01 and Trend
Here is the equity growth using a set of about 15 ETFs.
The trick here is that most of these are not based on technical indicators, rather they’re based on OHLC chart patterns and variants thereof. Here’s a few others for consideration, and these can be used with trend filters and either long/short:
1: (-1 * ((1 – (open / close))^1)) > 0.01
2: ((((high * low)^0.5) – C[1])) > 0.5
3: ((-1 * (((stddev(abs((close – open)), 5) + (close – open)) + correl(close, open, 10))))) > 0.01
4: (sum(high, 20) / 20) < high[1]I have added two new systems to my ETF Diversifier strategy.
One system is the amalgamation of a short-stock MOC strategy that I used in my MOC strategy (now disengaged). I know that’s not specifically an ETF strategy, but my goal here was to add truly diversified and low-correlation elements to diversify against my many long-only strategies. This short system trades $RUI only, with 7.5% allocation to 5 stocks. Again, the setup is based on a simple bar pattern, specifically
ShortTrigger: C > O and C > H[1]
As a result, I get an increase in CAGR, a slight drop in maxDD, and a slight increase in volatility.
To keep this discussion going, here are the individual equity curves
S1 – short day trade system that trades non-index ETFs
S2 – A long swing system that buys weakness and exits into strength. It doesn’t use indicators – price only. Trades a selection of index ETFs
S3 – This one trades long-only in a selection of index ETFs. The setup / exits are RSI based, but with a few twists.
S4 – this one trades ‘alternates’ namely Bitcoin ETFs and uses the same setup as S2.
S5 – another price pattern that measures internal bar strength. Long only across a variety of index ETFs
S6 – Another price pattern that evaluates whether the relative change between the opening and closing prices of a stock is significant. Trades the index ETF universe, long only
S7 – this is a new setup from Larry Williams and looks at the relationship between two 5-period moving averages. It trades the same universe as S1, but long side (rather than short as per S1)
S8 – this is my original short-side R-1000 MOC strategy that uses a very simple price pattern in an uptrend.
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