Directional Trend Index Strategy

The Directional Trend Index, DTI, is a trading indicator that uses the high/low momentum to calculate the increasing momentum of the highs in an up market and the decreasing momentum of the lows in a down market.

The DTI slope tells you about the direction of the market or security price. The higher the indicator slope the stronger the security's rise.

This trading system is a long/short strategy that uses the DTI indicator and trades only S&P 500 stocks. A maximum of six positions are allowed at the same time.

It enters long (buy) when the DTI crosses above -10
It enters short (short) when the DTI crosses below zero

The strategy has two stops:

10% Stop Loss
10% Profit Stop

Backtesting Result: (2000-2012 Period)
Annual return of 19%
Sharpe ratio: 0.82

A buy and short liquidity rule should be added if you want to run this trading system on other stocks (Example: Russell 2000 stocks):
Example: 5-bar average daily volume in dollars is higher than 50,000.

To backtest or use this strategy in a portfolio, you must download and install the DTI indicator. This indicator can be found here: Directional Trend Index.

Technical Analysis

• Head and Shoulders Pattern Index
• Stop Loss for the N-first Trading Bars only
• Number of Trading Bars to Fill a Gap Up
• EMA 130 Down Trenders
• Percent Bollinger Bands
• Convert Seconds to Trading Bars
• Price at a specific Intraday Time
• Swing Index Indicator
• Market Timing Rules - Used to construct profitable trading strategies
• Forecast Oscillator
• More trading objects...

Fundamental Analysis

• Trade-Ideas Intraday Screener
• Producer Price Index - PPI
• NYSE Arca - Daily short sale data
• Historical Earnings Calendar Data for U.S. Stocks - Date/Time and EPS
• Company Net Income - US Stocks
• Number of Potential Splits per Trading Day
• iShares Exchange-Traded Funds - ETF Fees and Expenses
• Forex News from XE
• AAA Corporate Bond Yield Forecast
• St. Louis Fed Financial Stress Index
• More trading objects...