Murray Ruggiero
Sponsor
Yes, I plan on starting to add posts at least 3-4 days a week again and also begin to do tutorials on ET again.
Intermarket Analysis 2010 and beyond.
- Thread starter Murray Ruggiero
- Start date
Yes, I plan on starting to add posts at least 3-4 days a week again and also begin to do tutorials on ET again.
That would be real nice Mr. Murray 
Looking forward to your posts and tutorials.
Looking forward to your posts and tutorials.
Murray Ruggiero
Sponsor
I will add some new content next week
Murray Ruggiero
Sponsor
Intermarket analysis has been an exciting area of market research for me for the past 15 years. I remember the early days when I first discussed my first mechanical systems with John Murphy's relationships from his classic 1991 book.
Being a supporter of intermarket analysis has not always been easy. There are many non believers. I am starting this thread based on a historical overview of my past research. Using intermarket analysis means one data vendor is not enough. During the peak of my research days I had 4-5 data vendors in order to have many different data series to test my ideas. Currently I am using 3, Pinnacle , CSI and TC 2007 Worden Brothers. I will start my historical view where it all started the relationship between Crude and the dollar index.
Being a supporter of intermarket analysis has not always been easy. There are many non believers. I am starting this thread based on a historical overview of my past research. Using intermarket analysis means one data vendor is not enough. During the peak of my research days I had 4-5 data vendors in order to have many different data series to test my ideas. Currently I am using 3, Pinnacle , CSI and TC 2007 Worden Brothers. I will start my historical view where it all started the relationship between Crude and the dollar index.
Murray Ruggiero
Sponsor
The dollar is negatively correlated to crude. When the dollar rises crude prices fall. When the dollar falls, crude rises. This is because crude is priced in dollars, if the dollar falls, it buys less crude so it cost more to buy a full barrel.
I am going to use my intermarket divergence concept. Our rules are as follows:
If Crude is in a uptrend and dollar is in a uptrend sell crude.
If Crude is in a downtrend and dollar is in a downtrend buy crude
Trend is define as the sign of Close-Average(Close,Period)
I optimized this relationship and found a nice flat area of the optimization space around a 14 day moving average for crude and a 20 period moving average for the dollar index. I wanted to show the bias so I did not deduct for slippage and commission.
I don't really view this relationship as tradeable because over various time period it completely breaks down, like for example during time of war in the middle east. Another time this relationship breaks down is during economic disasters, during times of a flight to safety like 2008. We lost over 13K that year using this relationship. When this relationship works it works, when it does not it gets killed.
I have include the spreadsheet of results for the 14,20 moving average combination.
I am going to use my intermarket divergence concept. Our rules are as follows:
If Crude is in a uptrend and dollar is in a uptrend sell crude.
If Crude is in a downtrend and dollar is in a downtrend buy crude
Trend is define as the sign of Close-Average(Close,Period)
I optimized this relationship and found a nice flat area of the optimization space around a 14 day moving average for crude and a 20 period moving average for the dollar index. I wanted to show the bias so I did not deduct for slippage and commission.
I don't really view this relationship as tradeable because over various time period it completely breaks down, like for example during time of war in the middle east. Another time this relationship breaks down is during economic disasters, during times of a flight to safety like 2008. We lost over 13K that year using this relationship. When this relationship works it works, when it does not it gets killed.
I have include the spreadsheet of results for the 14,20 moving average combination.
Murray Ruggiero
Sponsor
Forgot the spreadsheet
Murray Ruggiero
Sponsor
Quote from Gyles:
Sometimes, it seems that the Day of Week (DOW) has an inverse correlation to the Dollar. Can you please state as to whether you have tested this particular case? Thanks
Please explain what you mean ?. DOW, is DOW index, not day Of week. I know of I have used DOW as day of week in other threads. Sorry for the confusion.
Sincere apologies for the mistake,
You are correct regarding the "DOW to be the DOW Index and not Day of Week". If I may rephrase the question again as follows:Sometimes, it seems that the "DOW Index" has an inverse correlation to the Dollar. Can you please state as to whether you have tested this particular case? Thanks
Murray Ruggiero
Sponsor
Quote from Gyles:
Sincere apologies for the mistake,
Sometimes, it seems that the "DOW Index" has an inverse correlation to the Dollar. Can you please state as to whether you have tested this particular case? Thanks
Yes. The Dow index is negatively correlated to the dollar. In fact I created a ETF system which trades the DIA and DOG ETF's. You can access the systems rules for free by registering on TradersStudio.com and being logged in and using the following link. Registering on TradersStudio.com is free.
http://tradersstudio.com/TradingSystems.aspx
When logged in you will see the Trading System menu and the above link will bring you there. This is the first Free system, we will be sharing more with you over the next few months.