A Trader Journal

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Study: Swing trading performance by Trend Regime

This study is about measuring performance of swing trading setup by trend direction and strength. The later part is bit tricky. The problem is standard indicators like ADX, ROC, Z-Score etc are not pure trend strength indicators. They implicitly include the effects of market volatility.

Probably that may be ok for regular trading but for this test my desire is to isolate the trend regime impact on swing trading performance and measure it. So for the test I leveraged a trend indicator (ATS) based off my proprietary work in past. 

Bull Trend:
ATS range: 0 to 10. 
Interpretation - The higher the value, the higher the strength & persistence of up trend.

Bear Trend:
ATS range: -10 to 0.
Interpretation - The lower the value, the lower the strength & persistence of down trend.

Results:
Following are results of long and short swing trades applied on 3 markets. I used indexes instead of ETFs so that I can do a test on a larger data set. Duration: 1970 - Now. Time frame - Daily. Signals - End of day. Friction less results. Markets - Dow, Nasdaq and SP500.



Observations:
The image itself has my observations marked by arrows. The results confirm my logical assumptions about how trend strength might impact swing trade performance. One aspect contrary to my expectation was the average trade size. On side note, I reached my self imposed time limit on  blog for the week. Next study for next weekend.

Question:
I hope these studies were in some way useful and interesting to you. I am sure there are many more observations one can make from the result data that I have missed. I will look forward to hear your comments and suggestions on the test or results or both.


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