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

• Open Interest Data for Equity, Index and Futures Securities
• Wilshire Indices - Wilshire 5000 Index
• Gold to Silver Ratio
• Short Indicator
• Chi Squared Indicator
• Support & Resistance Breakout Indicator
• Chaikin Money Flow Indicator
• Stock Trading Above/Below its Moving Averages
• Average Stock Performance for each U.S Exchange
• Transform any order into a limit order selectively based on a trading rule
• More trading objects...

Fundamental Analysis

• Industry Relative Strength
• Short Selling historical data
• Roubini Sentiment Indicator
• Equity Valuation
• iShares ETFs - Class, Total Net Assets, Inception Date and Number/Top Holdings
• Economic Calendar
• Ivey PMI Index - Canada
• NSX - Daily short selling data
• NSE Board Meetings
• Stock Picks from Wikinancial
• More trading objects...