Index Filter / Market Regime approaches

[MichaelRodwell]

Hey Everyone,

I’m looking for different ideas when it comes to market regime/ index filters?

I saw that Glen had success with an ADX filter (thanks for sharing Glen).

Anyone found other areas of research to have impact?

Thanks

Mike

[GlenPeake]

Hey Mike.

Yes, for the shorter term systems i.e. MOC/MR I definitely saw improvement with using the ADX as my index filter. CAR improved and DD was improved as well.

I had also experimented with using other indicators as well i.e. RSI, ROC, ATR etc.

But for my shorter term system(s), using the ADX as my index filter improved results to the point where it warranted inclusion.

For the past 2 days, my ADX Index filter turned off…. so no new trades entered for the past 2 US trading sessions.

I am also using the SPX as my reference INDEX, but I also tried RUI, DJI as well…. so it was a bit of trial an error etc

And like Nick advocates test it, test it, test it……

[MichaelRodwell]

Have you experimented with ADX and longer terms systems? I’ve been tinkering around with it today without any success so far.

[GlenPeake]

Michael Rodwell wrote:

Have you experimented with ADX and longer terms systems? I’ve been tinkering around with it today without any success so far.

Only the short term MOC/MR systems for now.

For the WTT system, it’s just the simple MA Index Filter.

For me, testing the MA Index Filter on the short-term systems, took me out of the market during some high volatility periods e.g. GFC and therefore hurt returns/reduced CAR etc….

I don’t have the backtest on me atm… but you could just see/imagine the amount of time you’d be on the sidelines if you been using a 200MA Index Filter against the SPX on a MOC/MR system….. during this time. You would’ve missed some good returns etc.

As a highlight for/against using the ADX Filter for my MOC system (with margin) as an example….

This is the return without my ADX Index Filter during the GFC…

…and now with my ADX Index Filter

Stats without ADX Index Filter
https://edu.thechartist.com.au/kunena/progress-journal/413-glen-s-journal.html#6578

Same system with ADX Index Filter
https://edu.thechartist.com.au/kunena/progress-journal/413-glen-s-journal.html#6579

[MichaelRodwell]

Whoa, massive difference there during the GFC! That’s an awesome improvement.

So far the simple MA for my monthly rotational system is winning.

It beats a dual MA and MACD cross although I will go through these with Craig next week to make sure I’ve got the code right and the tests are accurate.

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