Sunday, October 30, 2016

Newsletter Posted - Research into Connors High Probability Trading Strategies

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I have written a lengthy newsletter that is available for download:

This newsletter is focused on laying the foundation of analyzing the work of Larry Connors and Cesar Alvarez, whom produced a guide in 2009 entitled "High Probability ETF Trading:  7 Professional Strategies to Improve Your ETF Trading".  This is part 1 of a multi-series.

Here is my summary from the newsletter:

This newsletter has focused on work conducted by Larry Connors and Cesar Alvarez of Connors Research, LLC.  The team has provided a number of high probability strategies that they claim are tradeable and that make money.  While this is true in some context, there are a number of omissions in their presentation:

  • There is no treatment of stop losses.
  • There is no treatment of profit targets.
  • There is no treatment of position sizing / money management.
  • There is no treatment of using all 7 strategies simultaneously, which obviously relies on having available cash when signals present themselves.
  • The impact of commissions.

Given these omissions, it is difficult to deploy their system “out of the book” without undertaking considerable risk.

To address this, EdgeRater and TradeStation offer tools that can be used to dig deeper and establish rules to help guide filling in the gaps that were omitted by Connors/Alvarez.  Whether any of the strategies are able to be traded is to be seen, but the foundational components of the EdgeRater and TradeStation tools have been described in context of Connors’/Alvarez’s work through the end of 2008.


Feedback is appreciated and solicited -- contact info is in the Newsletter.  Of course, you can leave a comment here too.