Strategy on RUT. Search for the best system.

Here is an intermediate-term RUT swing system in EasyLanguage. It does not trade very often but does well with Russell2000($RUT.X), especially for Long positions. It might provide a useful filter for other shorter-term systems:


Inputs: Length(35), StdDevUp(2.0), StdDevDn(-2.0);
Vars: UpBand(0), DnBand(0), Ave(0);

UpBand = BollingerBand(Close,Length,StdDevUp);
DnBand = BollingerBand(Close,Length,StdDevDn);

Ave = Average(Close,Length);

if ( MarketPosition = 0 ) and ( Close > UpBand )
then Buy("BE") tomorrow at market;

if ( MarketPosition = 0 ) and ( Close < DnBand )
then SellShort("SE") tomorrow at market;

if ( MarketPosition = 1 ) and ( Close < Ave )
then Sell("LX") today at close;

if ( MarketPosition = -1 ) and ( Close > Ave )
then BuyToCover("SX") today at close;
 
Buy Signal above 806 TS 804

Market is still down from 806 with trailing stop at 806

Recent signals:

Long 808 +6
Short 814 -2.2 (fast market)
Long 816 -2.2 (fast market)
Short 814 +4
Long 806 0
Short 806 0
Long 806 -2

Current signal is short 806 TS 806
 

Attachments

Attached graphics shows how to map the RUT to a tradeable instrument like the IWM.

Best Trades are

1) Breaking a trendline
2) Confirmation by surpassing higher high (or low)

Example shows yesterday's market (02/12/07)
 

Attachments

See attached the 10 day frame.

Good entries/exits are market.

Please be aware that's all hindsight. It shows illustrative how to get some systematic into the approach.
 

Attachments

Attached the last 3 signals for RUT and their match to the IWM.

Not all signals on the RUT can be positively utilized on the IWM.
 

Attachments

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