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Market Timing Rules - Used to construct profitable trading strategies
The indicators are transformed by the PercentRank function, then a market indicator is created for each one of them. Each market indicator is then added as a buy rule in a basic trading system to see its impact on the strategy results. The example provided in the blog post shows how, by adding a single market rule, a strategy that have a low 4.23% annual return was turned into a highly profitable strategy that have an annual return of 47.2% and a low drawdown of -13.09%.
Here are some examples of indicators you can find in this list:
- Number of times price is higher than yesterday's price during the previous 30 trading bars
- Number of times price is higher than its 10-Bar moving average during the previous 20 bars
- Sum of the 30 previous values of the 14-Bar Relative strength index
- Number of instances, in the last 30 bars, where the price closed below the open price
- Sum of the previous 30 instances of the low to high ratio
