Trend Following Systems: A DIY Project - Batteries Included: Can You Reboot and Fix Yesterday's Algorithms to Work with Today's Markets?

Be long on the 11th trading day of the month, short on the 14th. Exit on close. Emini S&Ps, day session only (8:30 a.m.-3:15 p.m. Central). January 2, 2010-June 30, 2019. No slippage-commission.

FIGURE 2.2 If you're undecided about whether or not you'd prefer to be a systematic or discretionary trader, you could do far worst then follow what the professional money does, trade on a systematic basis!

Every day, look to buy at the opening price plus 50 percent of the previous three-day average range and sell short the same distance under the open. You’re perpetually long or short, and you do get flipped a lot.

Set a value for 9-day high minus close: XH; Set a value for close minus 9 day low: XL; Set a value for the bigger of the two: XX; If XH>XL, then buy the next day at the open plus 66 percent of XL on a stop. The stoploss is the entry price -1.32 (twice .66) times XX. If XH<XL then sell short on the next open minus 66 percent of XH stop. Buy to