Saturday, July 2, 2016

Joining the Collective

Can't believe my last post was like in January. I am still here, still have lot's of stuff to share. I have been employed doing activities unrelated to trading but have been developing some new trading ideas in the limited free time I have.

So here's one idea: Collective2. is a marketplace of trading strategies. There's literally ten's of thousands of strategies that trade all kinds of equities available on the site. When you subscribe to a strategy you get either email notification of trade signals from the strategy -OR- you can automatically execute trades using a facility called, autotrade, which is like riding the coat-tails of a savant trader every moment of the trading day.

I want to be that savant.

I had been practicing developing strategies on Collective2 when they issued a challenge to create strategies that trade futures. I cast about for strategies that might work with futures and extending some of the know-how I have shared here on sdi I hit upon a strategy that, well, frankly floored me with the backtest. This backtest showed a return of several multiples of the margin requirement in the last year.

Now, I have backtested many strategies (such as: InvestTools, Darvas, Moving Average Crosses, Fibonacci retraces, etc) that just don't work in backtest. And if it hasn't worked in the past what makes you think it will start working in the future!? 

A great backtest is but the first requirement. I needed to forward-test the strategy in a meaningful way. Thus, I present to you this strategy that I am, hereby, forward-testing in public. 
YaNQi swing trades just one product, the Nasdaq 100 index futures. The name means: Yet Another NQ Indicator. I like to pronounce it Yan-kee, but that is because I am from Nu Yawk.