Bollinger Bands + Market Timing Trading System

The trading system is composed of two trading rules. The first one is triggered when a stock share price closes below its 20-Bar Bollinger Lower Band. The second one is a market-timing rule that prevents the trading system from entering new orders when the market is declining. A market decline is defined here as the percentage of advancing to declining stocks being lower than 50%.
In order to enter only liquid stocks, shares traded on OTC exchanges and those that have an average volume of less than 100,000 are not used by this trading system.

The exit rules consist of three stops. A 10% Stop loss, a 5% profit bar and a 15-bar N-Bar stop. When one of these stops is triggered, the position is sold at tomorrow open price.

The strategy has an annual return of 20.26%, a Sharpe ratio of 1.32 and a maximum drawdown of -28.39%. The simulation has generated 1559 trades, of whom 61.9% were profitable. The average holding period is 8 bars and the strategy exposure is equal to 59.67%, which means that the strategy was invested only about half of the time.

Market Rule:
The timing rule was calculated using the composite function. It consists of comparing the 30-Bar SMA of the percentage of advancing stocks with the 50% threshold.

Technical Analysis

• Number of Stocks Making a new 52-Week High - Market Indicator
• High Low Chart - Drawing Item
• Output metric for each trading year
• Percent Oversold to Overbought Stocks - Market Breadh Indicator
• Structural Arbitrage Strategy
• New High
• Technical Analysis Continuation Pattern: Descending Triangle Indicator
• StocRSI
• Accumulation Swing Index
• Dave's New System - DNS
• More trading objects...

Fundamental Analysis

• Plot Economic Indicators on a Chart
• Margins and Turnover
• US Stocks: Insiders & Institutions Ownership
• Fundamental Valuation Ratios for US Stocks
• NAAIM Survey of Manager Sentiment
• Earnings: EPS Growth
• US Stocks: Size & Share Volume
• Producer Price Index - PPI
• High Short Selling Activity
• NYSE Margin Debt
• More trading objects...