re: Technical trading

If you're interested in 1-to-5-day trading strategies, then it seems as though you are interested in "Very Low-Frequency" algorithmic trading strategies, at least according to the categories suggested by Anthony Brockwell of Carnegie Mellon ( LINK):

quote:

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Category, Reaction Speed, Average Trade Duration
Very Low-Frequency, up to several hours, 1 week or more
Low-Frequency, up to a few minutes, 1 day to 1 week
Medium-Frequency, up to a few seconds, 10 minutes to 1 day
High-Frequency, 100 milliseconds or less 1 second to 10 minutes
Very High-Frequency, 1 millisecond or less, 1 second or less

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Ole War Skule started a pretty decent thread in October 2014 on longer-term timing strategies: " Russell Death Cross: BS or valid indicator?"

I only mention that, because it also includes the 200d / 10mo indicator in the trading strategy, and also because I tend to be more interested in the longer-term stuff. I think the professional algo wizards at places like Two Sigma and Renaissance Technologies have likely eaten up all the shorter-term profit potential, but who knows, right? Maybe not.

Regarding the longer-term market timing trading strategy, I like a paper that Mebane Faber published in The Journal of Wealth Management in Spring 2007, and last updated in 2014: " A Quantitative Approach to Tactical Asset Allocation."

The money chart is on pg. 23 of the paper: