Oddball S&P system

Strategy snapshot
Strategy: Oddball S&P system
Approach:Systematic, stop-and-reverse
(always in the market)
Market: Index tracking stocks (SPY, QQQ)
and stock index futures
Indicator setup: Create a rate-of-change indicator of
the hourly closing values of the advancing
issues of the NYSE. Include only the closing
data point of the natural hour, starting at
10 a.m. and ending at 4 p.m. EST.
To calculate the indicator,
use the following formula:
Rate of change in advancing issues
(RAI ) = ( AI / AI[n] -1) *100,
w h e r e
AI = Latest number
AI[n] = Number of advancing issues n periods ago
Entry: A buy signal is issued every time the
indicator is greater than 3. A sell signal is
issued every time the indicator
is less than 1.
Exit: Stop-and-reverse. Positions are reversed
with each new buy and sell signal,
as described above.
Risk control/money management: There is no money
management technique employed other
than the system stays in the market 100
percent of the time, either long or short,
with a constant number of contracts.
Note: If a trade is signaled at 4 p.m. EST, you have 15
minutes until the close of the market to place the trade
in the S&P futures (it is not possible to do this when trading
the SPY). This avoids the pitfall of basing real trading
on unrealistic system tests that generate signals on the
close at the end of the session, when the trade can in
practice only be initiated the next session. In such cases
the price may have moved farther away from where the
test indicates the system was filled, giving a false reflection
of the system’s performance.

Oddball S&P system