Cycle Trading

[Duma]

As I was working with the 60min chart that I posted, I happened to notice how well the M12 xoz's (cross over zero) seem to mark good trading points. dotnet is the one that first brought this to my attention a few weeks ago and we have all be watching it, but mostly on a 15min chart.

I thought I would do a quick backtest and see what the results were. They were encouraging and deserves more evaluation. I only did SPY for 2018 and 2019. These are both good years to look at because of the bad performance in 2018 and the good performance in 2019.

The basic rule I used was to go long at the open the day after M12 crossed above zero and go to cash the day after M12 crossed under zero. I did cheat a couple of times. I used this rule to make this a over night trading plan like RSI. No need to watch the charts during the day. This will out perform RSI only if the market has some volatility.

 
          2018 #trds 2019 #trds B&H 
 RSI      12.8%  4   14.8%  3  -7.3% 
 M12 zxo  20.3%  14  14.4%  3  14.7%

Here is an example of the trade points for Nov 2018. Note how well the trade points line up with the M65 xo's. This really needs more investigation. Note also that the trade points align with CCI hitting 100 or -100. This could be very useful.

Want to really ramp up the returns, instead of going to cash, go short. It would have added 16.5% to the 2018 number and subtracted -0.7% from 2019.

What I really like about RSI is the ON decisions. Here is another plan like it with better results, but more work needs to done to really define the rules of trading.

Interesting to note that RSI executed today. M12z-60 will execute at the open tomorrow.