Improve Your Swing Trading with IQ Swing Edges
Improve Your Swing Trading with IQ Swing Edges Scott Andrews & Rob Hanna Co-Founders, InvestiQuant
10/9/2015
Copyright © 2015 InvestiQuant
1
Disclaimer It should not be assumed that the methods, techniques, or indicators presented here will be profitable or that they will not result in losses. Past results are not necessarily indicative of future results. There is a high degree of risk in trading. Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
10/9/2015
Copyright © 2015 InvestiQuant
2
2
A Simple Swing Trading Approach
Buy 5 Day Low & Sell 5 Day High
10/9/2015
Copyright © 2015 InvestiQuant
3
3
Buy 5 Day Low & Sell 5 Day High 10/9/2015
Copyright © 2015 InvestiQuant
4
4
A simple long-term trend filter doesn’t help 10/9/2015
Copyright © 2015 InvestiQuant
5
5
So how can a swing trader use short-term, quantified strategies to improve results?
10/9/2015
Copyright © 2015 InvestiQuant
6
6
IQ Swing Trading Concepts Acceleration Momentum Seasonality
10/9/2015
Copyright © 2015 InvestiQuant
7
7
Acceleration How fast is the market moving and from where?
10/9/2015
Copyright © 2015 InvestiQuant
8
8
A strong move down from a high – no edge
A strong move down from a low – big bullish edge
A strong move down within a range – small bullish edge
10/9/2015
Copyright © 20154 InvestiQuant
9
9
While big drop from a low point suggests a strong bullish edge, a small drop does not 10/9/2015
Copyright © 2015 InvestiQuant
10
10
Acceleration Summary Both the magnitude of a move and the place that move is occurring make a difference in price action moving forward.
10/9/2015
Copyright © 2015 InvestiQuant
11
11
Momentum How persistent has the move been over the last few days and weeks, how strong is the movement, and where is it trading in relation to the long-term trend?
10/9/2015
Copyright © 2015 InvestiQuant
12
12
Persistent drop from high – no edge
Persistent drop to a new low – bullish edge
Persistent drop within a range – in between (mild edge)
10/9/2015
Copyright © 2015 InvestiQuant
13
13
Momentum Summary Like fast moves, persistent moves can provide an edge but should be examined within the context of the longer-term trend.
10/9/2015
Copyright © 2015 InvestiQuant
14
14
Seasonality What long & short-term seasonal forces are in play, and how has the market performed during similar periods in the past?
Certain days, times of the month, times of the year and other cycles can exert a seasonal influence on stock and futures market prices. 10/9/2015
Copyright © 2015 InvestiQuant
15
15
Acceleration, Momentum, and Seasonality are core concepts used in the InvestiQuant Swing Edges
10/9/2015
Copyright © 2015 InvestiQuant
16
16
IQ Swing Edges (‘Guides’) Overview Designed to assist traders in establishing swing-term market biases. Can be used to identify trading opportunities.
Goal is to help subscribers avoid historically high-risk situations and focus on market conditions that have shown more favorable reward/risk. Multiple ensembles of systems are used to generate the statistics.
Data can be used as a “guide” or input for decision making, or as a “signal” (i.e. go long or short if certain criteria are met).
10/9/2015
Copyright © 2015 InvestiQuant
17
17
Example of IQ Swing Guide
10/9/2015
Copyright © 2015 InvestiQuant
1818
So what if we combine these concepts & IQ data with the original example of a ‘simple’ 5 day low/high timing strategy?
10/9/2015
Copyright © 2015 InvestiQuant
19
19
Fewer trades, fewer days exposed to the market, more total profits, & smaller losses. 10/9/2015
Copyright © 2015 InvestiQuant
20
20
IQ Swing Edges Provide a Quantified Edge Trade Metric
Without IQ Swing Edges
With IQ Swing Edges
Difference
% Improvement
# of Trades
144
115
- 29
+20%
# Days Invested
851
426
- 425
+50%
Net Profit
$51,061
$64,828
+$13,767
+27%
Average Loss Size
-$2,583
-$1,476
-$1,107
+43%
Average Trade
$365
$564
+$199
+55%
Fewer trades, fewer days exposed to the market, more total profits, & smaller losses. 10/9/2015
Copyright © 2015 InvestiQuant
21
21
Live examples from InvestiQuant site
10/9/2015
Copyright © 2015 InvestiQuant
22
22
10 Day Archive of NQ (as of October 7)
Using 55% win rate & 1.3 PF, one could have entered LONG after 9/28 10/9/2015
Copyright © 2015 InvestiQuant
23
23
NQ Daily Chart (as of September 28)
10/9/2015
Copyright © 2015 InvestiQuant
24
24
NQ Daily Chart (as of October 7)
The low on 9/28 showed the MOST BULLISH odds of the past 10 days
10/9/2015
Copyright © 2015 InvestiQuant
25
25
10 Day Archive of ES (as of October 7)
The odds were the most BULLISH after close of 9/28 10/9/2015
Copyright © 2015 InvestiQuant
26
26
ES Daily Chart (as of September 28)
10/9/2015
Copyright © 2015 InvestiQuant
27
27
ES Daily Chart (as of October 7)
The low on 9/28 showed the MOST BULLISH odds of the past 10 days
10/9/2015
Copyright © 2015 InvestiQuant
28
28
10 Day Archive of TF (as of October 7)
Using 55% win rate & 1.3 PF, one could have entered LONG the day after 9/25 & 10/1 10/9/2015
Copyright © 2015 InvestiQuant
29
29
TF Daily Chart (as of September 25)
10/9/2015
Copyright © 2015 InvestiQuant
30
30
TF Daily Chart (as of October 7)
You may have taken loss on after entering on 9/28*, but would have another LONG signal on 10/2* *First trading day after bullish odds were posted
10/9/2015
Copyright © 2015 InvestiQuant
31
31
Summary Traders & active investors can and should take advantage of shortterm market imbalances & price extremes.
Ensembles (combinations of edges) provide more consistent forecasting information than any individual component. IQ Swing Edges can be used on their own, or as complement to other methods.
Learn how to better incorporate short-term edges at QuantFest 2015: www.quantfest.com 10/9/2015
Copyright © 2015 InvestiQuant
32
32
QuantFest 2015! www.quantfest.com
IQ’s 2nd Annual Quantitative Trading Conference New York, Oct 28-30 Tarrytown House Estate & Conference Center 10/9/2015
33
Special Offer Save $269 ($100 off of normal ‘annual’ price) by using coupon code “iqswing” & signing up by Wednesday, Oct 14 . You may cancel your Annual Subscription anytime during the first 30 days and receive a FULL refund of your purchase price. www.investiquant.com/swingedges
10/9/2015
Copyright © 2015 InvestiQuant
34
34
10/9/2015
Copyright © 2015 InvestiQuant
1
Disclaimer It should not be assumed that the methods, techniques, or indicators presented here will be profitable or that they will not result in losses. Past results are not necessarily indicative of future results. There is a high degree of risk in trading. Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.
10/9/2015
Copyright © 2015 InvestiQuant
2
2
A Simple Swing Trading Approach
Buy 5 Day Low & Sell 5 Day High
10/9/2015
Copyright © 2015 InvestiQuant
3
3
Buy 5 Day Low & Sell 5 Day High 10/9/2015
Copyright © 2015 InvestiQuant
4
4
A simple long-term trend filter doesn’t help 10/9/2015
Copyright © 2015 InvestiQuant
5
5
So how can a swing trader use short-term, quantified strategies to improve results?
10/9/2015
Copyright © 2015 InvestiQuant
6
6
IQ Swing Trading Concepts Acceleration Momentum Seasonality
10/9/2015
Copyright © 2015 InvestiQuant
7
7
Acceleration How fast is the market moving and from where?
10/9/2015
Copyright © 2015 InvestiQuant
8
8
A strong move down from a high – no edge
A strong move down from a low – big bullish edge
A strong move down within a range – small bullish edge
10/9/2015
Copyright © 20154 InvestiQuant
9
9
While big drop from a low point suggests a strong bullish edge, a small drop does not 10/9/2015
Copyright © 2015 InvestiQuant
10
10
Acceleration Summary Both the magnitude of a move and the place that move is occurring make a difference in price action moving forward.
10/9/2015
Copyright © 2015 InvestiQuant
11
11
Momentum How persistent has the move been over the last few days and weeks, how strong is the movement, and where is it trading in relation to the long-term trend?
10/9/2015
Copyright © 2015 InvestiQuant
12
12
Persistent drop from high – no edge
Persistent drop to a new low – bullish edge
Persistent drop within a range – in between (mild edge)
10/9/2015
Copyright © 2015 InvestiQuant
13
13
Momentum Summary Like fast moves, persistent moves can provide an edge but should be examined within the context of the longer-term trend.
10/9/2015
Copyright © 2015 InvestiQuant
14
14
Seasonality What long & short-term seasonal forces are in play, and how has the market performed during similar periods in the past?
Certain days, times of the month, times of the year and other cycles can exert a seasonal influence on stock and futures market prices. 10/9/2015
Copyright © 2015 InvestiQuant
15
15
Acceleration, Momentum, and Seasonality are core concepts used in the InvestiQuant Swing Edges
10/9/2015
Copyright © 2015 InvestiQuant
16
16
IQ Swing Edges (‘Guides’) Overview Designed to assist traders in establishing swing-term market biases. Can be used to identify trading opportunities.
Goal is to help subscribers avoid historically high-risk situations and focus on market conditions that have shown more favorable reward/risk. Multiple ensembles of systems are used to generate the statistics.
Data can be used as a “guide” or input for decision making, or as a “signal” (i.e. go long or short if certain criteria are met).
10/9/2015
Copyright © 2015 InvestiQuant
17
17
Example of IQ Swing Guide
10/9/2015
Copyright © 2015 InvestiQuant
1818
So what if we combine these concepts & IQ data with the original example of a ‘simple’ 5 day low/high timing strategy?
10/9/2015
Copyright © 2015 InvestiQuant
19
19
Fewer trades, fewer days exposed to the market, more total profits, & smaller losses. 10/9/2015
Copyright © 2015 InvestiQuant
20
20
IQ Swing Edges Provide a Quantified Edge Trade Metric
Without IQ Swing Edges
With IQ Swing Edges
Difference
% Improvement
# of Trades
144
115
- 29
+20%
# Days Invested
851
426
- 425
+50%
Net Profit
$51,061
$64,828
+$13,767
+27%
Average Loss Size
-$2,583
-$1,476
-$1,107
+43%
Average Trade
$365
$564
+$199
+55%
Fewer trades, fewer days exposed to the market, more total profits, & smaller losses. 10/9/2015
Copyright © 2015 InvestiQuant
21
21
Live examples from InvestiQuant site
10/9/2015
Copyright © 2015 InvestiQuant
22
22
10 Day Archive of NQ (as of October 7)
Using 55% win rate & 1.3 PF, one could have entered LONG after 9/28 10/9/2015
Copyright © 2015 InvestiQuant
23
23
NQ Daily Chart (as of September 28)
10/9/2015
Copyright © 2015 InvestiQuant
24
24
NQ Daily Chart (as of October 7)
The low on 9/28 showed the MOST BULLISH odds of the past 10 days
10/9/2015
Copyright © 2015 InvestiQuant
25
25
10 Day Archive of ES (as of October 7)
The odds were the most BULLISH after close of 9/28 10/9/2015
Copyright © 2015 InvestiQuant
26
26
ES Daily Chart (as of September 28)
10/9/2015
Copyright © 2015 InvestiQuant
27
27
ES Daily Chart (as of October 7)
The low on 9/28 showed the MOST BULLISH odds of the past 10 days
10/9/2015
Copyright © 2015 InvestiQuant
28
28
10 Day Archive of TF (as of October 7)
Using 55% win rate & 1.3 PF, one could have entered LONG the day after 9/25 & 10/1 10/9/2015
Copyright © 2015 InvestiQuant
29
29
TF Daily Chart (as of September 25)
10/9/2015
Copyright © 2015 InvestiQuant
30
30
TF Daily Chart (as of October 7)
You may have taken loss on after entering on 9/28*, but would have another LONG signal on 10/2* *First trading day after bullish odds were posted
10/9/2015
Copyright © 2015 InvestiQuant
31
31
Summary Traders & active investors can and should take advantage of shortterm market imbalances & price extremes.
Ensembles (combinations of edges) provide more consistent forecasting information than any individual component. IQ Swing Edges can be used on their own, or as complement to other methods.
Learn how to better incorporate short-term edges at QuantFest 2015: www.quantfest.com 10/9/2015
Copyright © 2015 InvestiQuant
32
32
QuantFest 2015! www.quantfest.com
IQ’s 2nd Annual Quantitative Trading Conference New York, Oct 28-30 Tarrytown House Estate & Conference Center 10/9/2015
33
Special Offer Save $269 ($100 off of normal ‘annual’ price) by using coupon code “iqswing” & signing up by Wednesday, Oct 14 . You may cancel your Annual Subscription anytime during the first 30 days and receive a FULL refund of your purchase price. www.investiquant.com/swingedges
10/9/2015
Copyright © 2015 InvestiQuant
34
34
