Recent content by LlewelynJames

I'm sorry but this is another false but strangely popular notion that has no basis in reality. This was the exact topic of my masters dissertation. "Can adding an ADX filter to technical trading strategies improve returns?" The short answer is that adding ADX filter to breakout strategies is...

Hi again, I use Amibroker for strategy creation and testing. I'm the first to admit that I am no coding expert....but I find Amibroker is relatively intuitive. I suggest books by Howard Bandy for a great place to learn.

Absolutely. The test I ran was simply to determine how much profit an average stock will return 10 days after a 40 day breakout....it is not a trading strategy. To make my code an actual strategy that returns a 15% + CAR, get rid of the 10 day holding period. Apply a 6 x ATR trailing...

Hi Buwa84. In Amibroker 60 day historical volatility is written as: //60 day Volatility// HV = StDev(ln(Close/Ref(Close,-1)), 60)*100*sqrt(252); To illustrate I have run some tests for you...the following strategy was tested on all of the stocks that currently populate the NYSE. Test runs...

Perhaps. All I am saying is that tests have shown the HV filter to improve certain breakout strategies. I believe that Connors and Alvarez published test results that found the same. I'll leave the 'why' the filter works to the ET members who are smarter than I am.

Absolutely agree. That's why I suggest that one should only trade a standard breakout model if it's on a large universe of uncorrelated assets. Vola based stops, small size.

Perhaps my statement is a little too much of a blanket. But for the OP who is likely about to read a bunch of articles about how overbought markets reverse, moving average crossovers foretell of rising or falling prices, bearish engulfing patterns stop am uptrend etc, I figured that I'd be doing...

I have multiple test results that suggest otherwise. Not at the computer at the moment but when I am will be happy to share.

My advice, don't bother too much about learning chart patterns. Learn about technical indicators. Understand that they are not predictive but rather a great way to code, test and follow specific rules that have been shown over historical data to have a statistical edge. Use them to react...

My advice, stop trading intraday. Only trade daily or weekly bars. Have a moving average trend filter. Have a market environment trend filter. Only trade breakouts that have higher than average volume. Only trade breakouts when the 60 day historical volatility of the stock that you are trading...