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Macro/Micro Wave Strategy
Jay A. Leavitt, PhD
Looking Back on Previously Tried Ideas
Back Testing to Explore & Evaluate New Ideas
A New Idea for Trading in the Future
Employing the Hull to Determine
1. What to Trade
2. Entry Criteria
3. Exit Criteria
SPX Hull Timer
Bullish
Trade Stocks in Rising Markets [concept]
SPY Active
Bull Put Spread 2 Strikes Wide
Short Strike 75% POS
Bearish
Tr...
Hull[25]
Bullish
Profit Exit >= Credit/2
Loss Exit <= Risk/4
Bearish
Profit Exit >= Credit/2
Loss Exit <= Risk/8
Entry Not...
Hull Micro Wave
Limit of 25% of Equity at Risk per Trade
The SPX Hull Timer keeps trades on the right side
of the market
Bear Micro Waves keep you out of the market
when it’s agai...
The 75% POS of the short strike puts the
odds in your favor
The exit at 50% of credit improves these
odds and raises the d...
Average Days in Trade
9.80
Average Days in Losing Trade
8.44
Percent of Winning Trades
79.55%
Maximum Draw Down
-10.84%
Co...
Wave reversals lasting
3 or fewer bars
Two types
Bull  Bear  Bull
5 occurrences
These are of no
consequence
Bear  Bull ...
Until June ‘12 the Compound Rate of Return was
~35%/year with a Maximum Draw Down of -7.62%
The market was unusually chopp...
Jay A. Leavitt, PhD
leavitt@buffalo.edu
Back to the future with h3
Back to the future with h3
Back to the future with h3
Back to the future with h3
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Back to the future with h3

  1. 1. Macro/Micro Wave Strategy Jay A. Leavitt, PhD
  2. 2. Looking Back on Previously Tried Ideas Back Testing to Explore & Evaluate New Ideas
  3. 3. A New Idea for Trading in the Future
  4. 4. Employing the Hull to Determine 1. What to Trade 2. Entry Criteria 3. Exit Criteria
  5. 5. SPX Hull Timer
  6. 6. Bullish Trade Stocks in Rising Markets [concept] SPY Active Bull Put Spread 2 Strikes Wide Short Strike 75% POS Bearish Trade Bonds in Falling Markets [concept] TLT Active Bull Put Spread 2 Strikes Wide Short Strike 75% POS
  7. 7. Hull[25] Bullish Profit Exit >= Credit/2 Loss Exit <= Risk/4 Bearish Profit Exit >= Credit/2 Loss Exit <= Risk/8 Entry Not Allowed
  8. 8. Hull Micro Wave
  9. 9. Limit of 25% of Equity at Risk per Trade
  10. 10. The SPX Hull Timer keeps trades on the right side of the market Bear Micro Waves keep you out of the market when it’s against you Stops When the SPX Hull Timer changes it is a Stop When the Micro Waves turn bearish it is NOT a Stop
  11. 11. The 75% POS of the short strike puts the odds in your favor The exit at 50% of credit improves these odds and raises the daily return/trade When the Micro Wave is bearish the per trade exit is only 3.125% of equity
  12. 12. Average Days in Trade 9.80 Average Days in Losing Trade 8.44 Percent of Winning Trades 79.55% Maximum Draw Down -10.84% Compound Rate of Return 23.96%
  13. 13. Wave reversals lasting 3 or fewer bars Two types Bull  Bear  Bull 5 occurrences These are of no consequence Bear  Bull  Bear 2 occurrences 2nd resulted in the largest Draw Dowm
  14. 14. Until June ‘12 the Compound Rate of Return was ~35%/year with a Maximum Draw Down of -7.62% The market was unusually choppy 7/3/12 – 6/20/13 Need to re-evaluate Stops relative to Whip Saws TOS Thinkback only uses Close data. Intraday data could produce different results This Macro/Micro Wave strategy is an ideal strategy for investors with no desire to day trade
  15. 15. Jay A. Leavitt, PhD leavitt@buffalo.edu

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