Build Alpha

Free Friday #14 and #14a

Happy Friday. The trader in me could not risk doing Free Friday #13 so I decided to release 2 strategies this week (14 and 14a).

The first strategy shorts $GDX, the Gold Miners ETF, and the second strategy goes long $GLD, the Gold ETF.

The strategy above is the GDX short strategy. The left chart is from Build Alpha (which now highlights out of sample trades – new feature) and the right chart is from TradeStation. Please note Build Alpha tested with only 100 shares per trade whereas the TradeStation charts in this post show results for 1,000 shares per trade. Below are the strategy results pulled from TradeStation.

Notice this GDX strategy takes Intermarket signals. One from SPY and one from GLD. The GLD signal is translated as the square root of this bar’s high * low is greater than the square root of the previous bar’s high * the previous bar’s low.

The second strategy is obviously the long GLD strategy. The chart below to the left is generated with Build Alpha using 100 shares per trade. The chart on the right replicated the strategy in TradeStation using 1,000 shares per trade (my laziness).

Please note the highlighted, out of sample, the section is at the beginning. Many traders prefer to build/train their model on the most recent data and use old data as the out of sample test data. Build Alpha now allows the trader this option through the updated settings menu (pictured later).

Please note the GLD strategy also uses Intermarket signals – in this case using XLU, the utilities ETF, for a pair of signals. Below I’ve attached a photo of the new settings menu to highlight how simple it is to change the out of sample period to the beginning or back to the end of the data.

Wrapping this up so you can get on with your weekend, I just want to show the combined chart of this long/short Gold strategy. Going Long GLD and short GDX when conditions are met. Obviously, and based on this post’s title, Build Alpha also permits multi-market portfolios now.

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