Free Friday 9 – Intermarket Signals

In this week’s Free Friday strategy (#9) I display a strategy built using inter-market signals. Inter-market signals/analysis is the ability to generate trading signals and filters for a primary market based on what another market may be doing.

For example, you may only want to buy the stock market when gold is trading lower or when bonds are below their 200 simple moving average.

Build Alpha now let’s you test these exact sort of scenarios and build strategies taking into account up to 3 markets (plus Vix). This specific strategy was built for SPY (S&P500 ETF) but takes into account Gold (GLD ETF) and holds for a maximum of 2 days.

There are no other exit rules or sophisticated risk management; all trades assume only a 100 share position for testing purposes.

freefriday9

The entry:
1. $SPY’s 2-period RSI <= 90
2. Gold’s 50 period simple moving average is greater than Gold’s 200 period simple moving average
3. Gold closed below both its 10 period simple moving average and its 50 period simple moving average

The exit:
Exit after holding for 2 days

freefriday9_stats
freefriday9_monte

For a better explanation of inter-market signals and how to configure Build Alpha to generate strategies based on them please watch this short video I made: https://www.youtube.com/watch?v=CaFRO_gvR-8

There might even be TradeStation/MultiCharts code in the video?!?

Thanks and enjoy the weekend,

-Dave

Thanks for reading,
Dave


4 thoughts on “Free Friday 9 – Intermarket Signals

  1. 1. Do you exit on the close of the seconde day or on the open of the third?
    For exampel if the entry signals occur on third of november and i buy on the open of the fourth. Do i sell on the close of the fifth of november or on the opening of sixth of november?
    2. If the entry signal occur both third of mars and on the fourth do i enter to trades or is it maximum one trade at a time?

    1. Hey,

      1. I believe for this strategy you would exit on close of the second day. I should note that Build Alpha does have the ability to create strategies with exits on either the close or the next open.
      2. Nope, only one trade at a time.

      Thanks for checking out the site,
      David

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Risk Disclosure

FUTURES AND FOREX TRADING CONTAINS SUBSTANTIAL RISK AND IS NOT FOR EVERY INVESTOR. AN INVESTOR COULD POTENTIALLY LOSE ALL OR MORE THAN THE INITIAL INVESTMENT. RISK CAPITAL IS MONEY THAT CAN BE LOST WITHOUT JEOPARDIZING ONES FINANCIAL SECURITY OR LIFE STYLE. ONLY RISK CAPITAL SHOULD BE USED FOR TRADING AND ONLY THOSE WITH SUFFICIENT RISK CAPITAL SHOULD CONSIDER TRADING. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Hypothetical Performance Disclaimer

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN; IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK OF ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL WHICH CAN ADVERSELY AFFECT TRADING RESULTS.