[101 Trading Ideas] Effectiveness #strategy #dollar #101tradingideas

I wrote a book called 101 Trading Ideas that helps traders quickly develop strategy ideas. This strategy is another example of how to use 101 Trading Ideas to find alpha. More info on the book at the end of this post.

101 Trading Ideas:

#14 Trade the Rate of Change

Triggered Idea:

What happens to the price of the dollar when it is moving more easily, more effectively than bonds?

From Triggered Idea to Trading Strategy:

Normalize the price movement of the dollar and bonds by dividing each by their average true range. When the dollar is moving more easily to the downside than the dollar, does it continue or reverse? When the dollar is moving more easily to the upside, does it continue or reverse?

Long Rules (reversing strategy)

the change in the price of the dollar over the last 9 days divided by the average true range of the dollar is greater than change in price of bonds over the last 9 days divided by the average true range of bonds

then buy the dollar

Short Rules:

Opposite long rulesDollar Effectiveness

Results (2007-p)

trades: 352

w/l: 45%,  160/352

avg trade: 0.15

z: 2.57

profitable all years


An interesting strategy. Simple and should work for other pairs.

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. It turns out that ideas are like the old-fashioned game of telephone – when the List says one thing, you hear a more personal, interesting trading idea. As you scan the List while thinking of the markets, when you pause, when you find yourself thinking “What if…” that is your idea! Try it, test it, find your alpha. It’s as easy as Scan, Pause, Idea, Scan, Pause, Idea.

More info on the book here. The book is available on Amazon in print and for Kindle.

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