These 12 Active Trader Trading System Lab articles (29 pages featuring eight different systems, no advertisements) from 2003 and 2004 test different strategies that follow trends or use techniques to catch trades in the direction of the trend. The articles include complete trading rules and extensive performance statistics based on years of historical testing.
The article descriptions below denote whether the systems are tested on portfolios of stocks or futures. The price shown is the discounted price.
ARTICLE 1: "Long-term volatility breakout system (stocks)"
This system uses 60-day Bollinger Bands to ride the long-term underlying trend.
ARTICLE 2: "Long-term volatility breakout system (futures)"
This method tests a 60-day Bollinger Band system on a futures portfolio.
ARTICLE 3: "Basic pullback buyer (stocks)"
This long-only system is designed to catch markets when they make sharp pullbacks.
ARTICLE 4: "Basic pullback buyer (futures)"
March 2003 Long-only pullback system tested on a futures portfolio.
ARTICLE 5: "TPE: Trend with pattern entry (stocks)"
This system combines a trend-following technique with a simple pattern to pinpoint entries, resulting in an effective defense against capital deterioration.
ARTICLE 6: "TPE: Trend with pattern entry (futures)"
The TPE system tested on a futures portfolio.
ARTICLE 7: "100-20 channel breakout system (stocks)"
This classic trend-following system buys when price moves above the highest high of the last x days and sells when price falls below the lowest low of the last y days. The system can help traders find more realistic optimized parameters that have a better chance of success.
ARTICLE 8: "100-20 channel breakout system (futures)"
The classic trend-following system applied to a futures portfolio.
ARTICLE 9: "May-October system (stocks)"
What if you had to make only two trades the entire year - one to cover short and go long and another to sell your longs and go short? This is exactly what the May-October system does when applied to a stocks portfolio.
ARTICLE 10: "Lazy gainer (stocks)"
The idea behind this system is to buy low-volatility stocks that are trending upward. The system uses a filter to avoid entering trades when the overall market is experiencing high volatility.
ARTICLE 11: "The MAMA-FAMA system (stocks)"
This trend-following system uses two specialized moving averages developed by John Ehlers: the MESA Adaptive Moving Average (MAMA) and the Following Adaptive Moving Average (FAMA).
ARTICLE 12: "Four-percent breakout system (stocks)"
In some situations, the market ignores the contrarians and continues to rise. Traders who fade the up move must cover their short positions, which leads to panic buying and further upward momentum. The four-percent breakout system is an attempt to quantify and profit from this market scenario.
If purchased separately, these articles would cost about $54. This article set is now available for $37.94 - that's 30% off