Automating Signals and Strategies

Summary

Quantitative trading consists of trading strategies based on quantitative analysis that rely on mathematical computations and number crunching to identify trading opportunities. This chapter analyzes some examples of strategies that have been effective in certain market conditions. The skill is knowing when and where to apply them and how to identify when they are no longer working. The Triple Exponential Moving Average System has been used as it gives clear signals with fewer whipsaws than many traditional trend indicator systems such as Moving Average Convergence Divergence and moving average crossover signals. The Relative Strength Index Breadth Entry Trigger (rsiBET) is a market breadth study that endeavors to identify market sell‐offs in global equity indices. The chapter shows a 12‐month daily chart of the S&P 500 index with rsiBET signals denoted in red.