Trading systeme
Budget: $50 – $0 CAD
Entry Signals (Long Only)
1. Short Term Breakout if a. Last close is a 20-Day high and b. 20-Day SMA > 55 Day SMA
2. Long Term Breakout if a. Last Close is a 55-Day high and b. 55 Day SMA > 120-Day SMA
Exit Rules:
1. If short Term Breakout, a. Last close is below 10-Day low or b. 20-Day SMA <55-Day SMA
2. If Long Term Breakout, a. Last close is below 20-Day Low or b. 55-Day SMA < 120-Day SMA
Stop Loss Rules (refreshed nightly with broker):
Holding High - 2* 20-Day ATR
Pyramiding:
If new entry signal in existing position, may add to size based upon then current N
Position Sizing:
N = 20-Day ATR
Equity at Risk = 2% of portfolio Equity (No Leverage) - Risk Limit
# of Shares = (Equity at Risk) / 2*N
Risk Limit = Sum of 120-Day Correlation * Current N Trades
1. Short Term Breakout if a. Last close is a 20-Day high and b. 20-Day SMA > 55 Day SMA
2. Long Term Breakout if a. Last Close is a 55-Day high and b. 55 Day SMA > 120-Day SMA
Exit Rules:
1. If short Term Breakout, a. Last close is below 10-Day low or b. 20-Day SMA <55-Day SMA
2. If Long Term Breakout, a. Last close is below 20-Day Low or b. 55-Day SMA < 120-Day SMA
Stop Loss Rules (refreshed nightly with broker):
Holding High - 2* 20-Day ATR
Pyramiding:
If new entry signal in existing position, may add to size based upon then current N
Position Sizing:
N = 20-Day ATR
Equity at Risk = 2% of portfolio Equity (No Leverage) - Risk Limit
# of Shares = (Equity at Risk) / 2*N
Risk Limit = Sum of 120-Day Correlation * Current N Trades