NASDAQ 100:
An Example of an Intraday Trading
System using the SBV Oscillator
September 28, 2007
This week SBV chart example is based on the 60-day SBV(20)
NASDAQ 100 chart. The trading system
described below may be applied to e-mini index futures over short-, mid-,
and long-term. The principles outlined here will work not just for the
NASDAQ 100 index – they can be applied equally well to the Russell 2000, DJI, the
S&P 500, as well as to other indexes.
|
Chart 1. Relationship between the SBV oscillator and
index reversal points. S&P 500 index. 60-day view. 1
bar = 1 hour. SBV(20). |
 |
It's
Simple and profitable
In our trading example, we applied the following
simple system which is based on our SBV indicator:
-
Once the SBV indicator declines below minus 20% (the
indicator will now show green), we enter a short position (if we are not
already short);
-
Once the SBV indicator advances above minus 20% (after having
been below that level), we will enter a long position (the indicator still
shows green);
-
Once the SBV indicator rallies above plus 20% (the indicator
will now show red), we enter a long position (if we are not already long);
-
Once the SBV indicator declines below plus 20% (after having
been above that level), we will enter a short position (the indicator still
shows red).
Examples of additional rules
Please keep in mind that the trading system
represented in our examples is very simple and it is recommended that investors
and traders adjust the system to their own personal trading style and risk
tolerance. Some of the traders may add rules that would use stop-loss as well as
other rules that could improve the system.
Losses can be reduced by adding rules to the system. For instance:
If the SBV dropped into negative territory
close to the signal line and started to rise without hitting the signal
line, close the short position when the SBV is back in the positive
territory, and stay in cash until a new buy signal is generated. Vise versa
for a long position.
Examples of additional more conservative rules:
-
After the 60-day chart has indicated opening
a position, start monitoring the 15-day chart and open a position when the
15-day chart would suggest opening the same trade and if the 60-day SBV
still moves in the same direction.
-
Close short trade and remain in cash until a
new signal is generated when the 15-day SBV suggests closing
Another even more conservative system can use 2
indicators (it would generate fewer trades). For instance:
-
Open a short trade when the SBV suggests
opening the same trade on both S&P 500 and NASDAQ 100 indexes
-
Close trade and remain in cash until a new
signal is generated when only one of the indexes (S&P 500 or NASDAQ 100)
suggest closing
Table 1: Trades based on the SBV Oscillator.
|
Open Trades |
Closed Trades |
Profit
(points) |
|
Time |
Motivation |
Trade |
Index |
Time |
Motivation |
Trade |
Index |
|
08/10/07 |
rule
#1 |
Sell Short |
1918 |
08/20/07 |
rule #2 |
Buy to Cover |
1890 |
+28 |
|
08/20/07 |
rule
#2 |
Buy |
1890 |
08/28/07 |
rule #1 |
Sell |
1936 |
+46 |
|
08/28/07 |
rule
#1 |
Sell Short |
1936 |
08/31/07 |
rule #2 |
Buy to Cover |
1979 |
-43 |
|
08/31/07 |
rule
#2 |
Buy |
1979 |
09/06/07 |
rule #1 |
Sell |
2000 |
+21 |
|
09/06/07 |
rule
#1 |
Sell Short |
2000 |
09/10/07 |
rule #2 |
Buy to Cover |
1973 |
+27 |
|
09/10/07 |
rule
#2 |
Buy |
1973 |
09/14/07 |
rule #4 |
Sell |
2000 |
+27 |
|
09/14/07 |
rule
#4 |
Sell Short |
2000 |
09/19/07 |
rule #2 |
Buy to Cover |
2045 |
-45 |
|
09/19/07 |
rule
#2 |
Buy |
2045 |
09/28/07 |
rule #4 |
Sell |
2091 |
+46 |
|
Total: |
+107 |
Note: The 20% level for the SBV indicator was
determined in relation to the prevailing market conditions at the time the
trading examples were selected. In order to establish the optimal critical
levels for the SBV indicator, traders should consider the current market
situation and review a chart history of prior volume surges including their
magnitude (i.e., the level the SBV indicator reached).
Our charts are unique in that they give traders the option to choose
specific chart settings that best fit their personal trading styles and risk
tolerance. Traders can thus develop and test their own trading systems. On our
charts, you can scroll back in history to test any system you created.
| Disclaimer: The chart
example is intended for educational purposes only – it does not
constitute trading advice, nor does it make or imply any market trend
predictions. |
More Examples:
|
Date |
Index |
Timeframe |
Number of Trades |
|
December 28, 2007 |
S&P 500 |
60-day |
5 "Long" and 6 "Short" trades |
|
December 21, 2007 |
S&P 500 |
60-day |
5 "Long" and 5 "Short" trades |
|
December 8, 2007 |
S&P 500 |
60-day |
6 "Long" and 7 "Short" trades |
|
December 8, 2007 |
S&P 500 |
60-day |
6 "Long" and 6 "Short" trades |
|
November 30, 2007 |
S&P 500 |
60-day |
5 "Long" and 5 "Short" trades |
|
November 23, 2007 |
S&P 500 |
60-day |
4 "Long" and 6 "Short" trades |
|
November 16, 2007 |
DJI |
60-day |
5 "Long" and 6 "Short" trades |
|
November 9, 2007 |
DJI |
60-day |
4 "Long" and 5 "Short" trades |
|
November 2, 2007 |
Russell 2000 |
1-day |
5 "Long" and 6 "Short" trades |
|
October 26, 2007 |
NASDAQ 100 |
5-day |
6 "Long" and 5 "Short" trades |
|
October 19, 2007 |
DJI |
60-day |
6 "Long" and 6 "Short" trades |
|
October 12, 2007 |
NASDAQ 100 |
15-day |
6 "Long" and 6 "Short" trades |
|
October 5, 2007 |
Russell 2000 |
1-day |
5 "Long" and 6 "Short" trades |
|
September 28, 2007 |
NASDAQ 100 |
60-day |
4 "Long" and 4 "Short" trades |
|
September 21, 2007 |
Russell 2000 |
1-day |
3 "Long" and 4 "Short" trades |
|
September 14, 2007 |
DJI |
60-day |
4 "Long" and 4 "Short" trades |
|
September 7, 2007 |
S&P 500 |
60-day |
5 "Long" and 5 "Short" trades |
|
August 31, 2007 |
S&P 500 |
60-day |
7 "Long" and 6 "Short" trades |
|
August 24, 2007 |
S&P 500 |
60-day |
7 "Long" and 6 "Short" trades |
|
August 17, 2007 |
DJI |
15-day |
6 "Long" and 6 "Short" trades |
|
August 10, 2007 |
S&P 500 |
60-day |
6 "Long" and 6 "Short" trades |
|
August 3, 2007 |
S&P 500 |
60-day |
6 "Long" and 5 "Short" trades |
|
July 27, 2007 |
S&P 500 |
60-day |
5 "Long" and 4 "Short" trades |
|
July 20, 2007 |
NASDAQ 100 |
15-day |
6 "Long" and 7 "Short" trades |
|
July 13, 2007 |
S&P 500 |
60-day |
4 "Long" and 4 "Short" trades |
|
July 6, 2007 |
DJI |
60-day |
3 "Long" and 3 "Short" trades |
|
June 29, 2007 |
NASDAQ 100 |
15-day |
5 "Long" and 4 "Short" trades |
|
June 22, 2007 |
S&P 500 |
60-day |
5 "Long" and 5 "Short" trades |
|
June 15, 2007 |
S&P 500 |
60-day |
5 "Long" and 5 "Short" trades |
|
June 8, 2007 |
S&P 500 |
60-day |
4 "Long" and 5 "Short" trades |
|
June 1, 2007 |
S&P 500 |
60-day |
6 "Long" and 5 "Short" trades |
|
May 25, 2007 |
NASDAQ 100 |
60-day |
10 "Long" and 11 "Short" trades |
|
May 18, 2007 |
S&P 500 |
60-day |
6 "Long" and 6 "Short" trades |
|
May 11, 2007 |
NASDAQ 100 |
30-day |
2 "Long" and 1 "Short" trades |
|
May 4, 2007 |
S&P 500 |
60-day |
5 "Long" and 5 "Short" trades |
|
April 27, 2007 |
S&P 500 |
60-day |
5 "Long" and 4 "Short" trades |
|
April 20, 2007 |
S&P 500 |
30-day |
5 "Long" and 5 "Short" trades |
|
April 13, 2007 |
NASDAQ 100 |
5-day |
3 "Long" and 3 "Short" trades |
|
April 4, 2007 |
S&P 500 |
60-day |
6 "Long" and 5 "Short" trades |
|
March 30, 2007 |
S&P 500 |
60-day |
5 "Long" and 6 "Short" trades |
|
March 23, 2007 |
S&P 500 |
60-day |
6 "Long" and 5 "Short" trades |
|
March 16, 2007 |
S&P 500 |
60-day |
4 "Long" and 4 "Short" trades |
|
March 9, 2007 |
S&P 500 |
60-day |
3 "Long" and 2 "Short" trades |
|
March 2, 2007 |
S&P 500 |
60-day |
2 "Long" and 2 "Short" trades |
|
February 23, 2007 |
S&P 500 |
60-day |
4 "Long" and 4 "Short" trades |
|
February 16, 2007 |
NASDAQ 100 |
15-day |
2 "Long" and 2 "Short" trades |
|
February 9, 2007 |
NASDAQ 100 |
15-day |
1 "Long" and 2 "Short" trades |
|
February 2, 2007 |
NASDAQ 100 |
60-day |
2 "Long" and 2 "Short" trades |
|
January 26, 2007 |
NASDAQ 100 |
60-day |
1 "Long" and 2 "Short" trades |
|
January 19, 2007 |
NASDAQ 100 |
15-day |
1 "Long" and 1 "Short" trades |
|
January 12, 2007 |
NASDAQ 100 |
15-day |
4 "Long" and 3 "Short" trades |
|
December 29, 2006 |
NASDAQ 100 |
5-day |
4 "Long" and 3 "Short" trades |
|
December 22, 2006 |
S&P 500 |
1-day |
3 "Long" and 3 "Short" trades |
|
December 15, 2006 |
NASDAQ 100 |
15-day |
7 "Long" and 6 "Short" trades |
|
December 8, 2006 |
S&P 500 |
1-day |
3 "Long" and 3 "Short" trades |
|
December 1, 2006 |
NASDAQ 100 |
15-day |
4 "Long" and 4 "Short" trades |
|
