Trading Systems

Trading Strategies and Strategy Development Services

Below is a list of proprietary trading strategies. You may subscribe to Premium Signals for updates on the signals of ADAPT and ETF4R strategies. Signals of the PSI5 strategy are included in MR Signals Updates. Click here for all subscription options. The strategies are also offered for sale to sophisticated traders and hedge funds after signing a non-disclosure agreement. Strategy performance is provided for informational purposes only. Please read our Disclaimer and Terms and Conditions.

We can also develop strategies for specific markets using our DLPAL software. In the case of futures the customer has to provide the data in the form of continuous, backward-adjusted series. Strategies operate in daily timeframe and have well-defined entries and exits. We  can provide code for Tradestation, Amibroker, NinjaTrader 7 and Quantopian platform (equities and ETFs only.) Contact us for details and pricing.

Strategy Market(s) Timeframe System Type
ETF4R 4 ETFs Monthly Momentum/Rotation
ADAPT SPY Daily Adaptive trend-following
PSI5 SPY Daily Mean-reversion

For 2016 performance click here.

Equity performance as of 12/30/2016(Click on images to enlarge)

ADAPT

ETF4R

PSI5

Underwater equity  (Click on images to enlarge)

ADAPT

ETF4R

psi_dd_20161130

PSI5

Notes

  • Commission of $0.01/share is included in all cases. Equity is fully invested except in the case of ETF4R where there are maximum two open positions open with 50% equity allocation.
  • All strategies are long-only except for ADAPT.
  • ETF4R and PSI5 do not use signal stops because the first is a tactical asset allocation strategy and the second is a mean-reversion system. Traders must allocate capital to these strategies according to risk preferences. 
  • The ADAPT strategy uses stops based on technical indicators and equity performance.
  • Starting date for the ETF4R strategy performance is 01/2007. The performance of all other strategies is from SPY inception.
  • Equity performance of the ADAPT strategy does not include dividends.
  • All trades are placed at the open of the next daily or monthly bar.
  • The strategies are not data-mined but based on sound principles. We also use strategies that are discovered by a data-mining software and are carefully tested to minimize data snooping bias. Click here for an example.
  • The significance of strategies will small trade samples was verified on large samples using a proprietary analysis method. This concerns only the ADAPT strategy.

Strategy performance is provided for informational purposes only. Please read our Disclaimer and Terms and Conditions.