[101 Trading Ideas] Ebb and Flow #es #us #strategy #101tradingideas

This is another example of how to use 101 Trading Ideas to find different ways of thinking about extreme events.

101 Trading Ideas:

#96 Ebb and Flow

#95 Geometries

#81 Worry

Triggered Idea:

What happens after extreme ebb and flow (worry) in stocks and bonds?

From Triggered Idea to Trading Strategy:

Use boxes (geometries) around stock and bond prices to define ebb and flow. When ebbs and flows are at opposite extremes buy stocks and bonds!

Long Rules (long only strategy)

the average close of ES over the last 20 days is lower than the average close 20 days ago – 2 ATR’s, and

the average close of US over the last 20 days is higher than the average close 20 days ago + 2 ATR’s

then buy es _and_ buy us

Short Rules:

none, long only


After 40 days

Results (2006-p)


trades: 11

w/l: 81%, 9 of 11

avg trade: 47.98 pts

z: 2.18

profitable all years except 2008


trades: 11

w/l: 72%, 8 of 11

avg trade: +1.6 pts

z: 1.46

profitable all years except 2008Ebb and Flow Equity Curve


trades: 22

w/l: 77%, 17 of 22

avg trade: $1999

max dd: 8.9%

avg annual return: 9.5%


ES adverse excursions with profitable outcomes range from 0 to -100 points(!) which makes the bond trade an interesting hedge.

A rough draft, alpha hunt idea. Not a complete strategy.

There is risk in trading. Most strategies degrade when moving from in-sample backtests to out-of-sample live markets. Be careful.

101 Trading Ideas:

This strategy idea was triggered by 101 Trading Ideas, A Magical List for Fast-Paced Alpha Hunting.

More info here and available on Amazon

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