Dancing with the Trend

Building a Rules-Based Trend Following Model - 10

by Greg Morris

I’m going to change the focus for a while; for my own sanity and probably for yours.  We have talked about a weight of the evidence approach and some of the indicators used in that approach.  This approach tells us when to invest in the market and how much; it also tells us what stop loss percentages to use.  We will cover the weight of the evidence levels and how the stops are determined along with buy rules later.   So now we know when to invest and how much, but we haven’t talked about what to buy or how much.  For the past 15 years I have only bought Read More 

Dancing with the Trend

Building a Rules-Based Trend Following Model - 9

by Greg Morris

One of my trend following indicators was created because I felt that there were some issues with market breadth that needed attention.  For example, the Friday after Thanksgiving.  The market is only open a few hours and trading volume is very light.  There are price changes but nothing exceptional.  However, there is always a full complement of breadth data no matter how long the market is open.  It was my feeling that it would be nice to be able to ignore breadth data when daily volume is down, and/or the market wasn’t open for a full day.  Hence, a breadth Read More