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Tech Trader was featured in Unholy Grails back in 2012 (page 103). It’s an absolute trend following strategy. Probably a few too many rules for my liking:
Hard Rules:
The stock should be trading above its 40-day simple moving average.
It should be trading below $10.00
The closing price on the trigger day should be greater than the opening price.
The 21-day average turnover should be greater than $500,000
The trigger day must be the highest value over the last 70 trading days.
The trigger day must also cross the highest high value for the last 10 trading days.
The initial protective stop should be placed 10% below the entry price.
The trailing stop is a 180-day exponential moving average of the lows.
Subjective:
The stock must be in an obvious uptrend or obviously breaking out of a downtrend.
The stock cannot be trapped in a trading range.
** I have used ADX(10) > 30 in an attempt to model these **CAGR: +20.5%
maxDD: -29.4%
MAR: 0.70
Sharpe: 1.21
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