S&P 500:
An Example of a Trading
System based on the SBV Oscillator
April 3, 2009
This week SBV chart example is a
continuation of previous
15-day S&P 500 chart
example on
March 27, 2009 and 60-day
S&P 500 chart
example on February 20, 2009.
This week SBV chart example is based on the 15-day SBV(16) and 60-day
SBV(20) S&P 500 charts.
The same trading system has been applied to both charts to compare trading signals
generated in different timeframes.
+17% in 2 weeks
(15-day chart)
|
Chart 1. Relationship between the SBV oscillator and
index reversal points. S&P 500 index. 15-day view. 1 bar =
15 min. SBV(16) |
 |
-
Once the SBV indicator declines below negative signal level (the
indicator will now show red), we enter a short position (if we are
not already short);
-
Once the SBV indicator advances above negative signal level (after having
been below that level), we will enter a long position (the indicator
still shows red);
-
Once the SBV indicator rallies above positive signal level (the indicator
will now show green), we enter a long position (if we are not already
long);
-
Once the SBV indicator declines below
positive signal level
(after having
been above that level), we will enter a short position (the indicator
still shows green);
-
Additional Stop Loss Rule -
If the SBV dropped into negative territory 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.
Table 1: Trades based on the 5-rule
(additional stop-loss rule) system
applied to the 15-day S&P 500 chart.
|
Time |
Motivation |
Signal |
Index |
Profit
(points) |
|
03/19/09 |
rule #4 |
Sell Short |
787 |
+20 |
|
03/20/09 |
rule #2 |
Buy |
767 |
+47 |
|
03/24/09 |
rule #4 |
Sell Short |
814 |
-9 |
|
03/25/09 |
rule #5 |
Cash |
823 |
|
|
03/26/09 |
rule #2 |
Buy |
816 |
+13 |
|
03/26/09 |
rule #4 |
Sell Short |
829 |
-4 |
|
03/26/09 |
rule #3 |
Buy |
832 |
0 |
|
03/26/09 |
rule #4 |
Sell Short |
832 |
+10 |
|
03/27/09 |
rule #5 |
Cash |
822 |
|
|
03/30/09 |
rule #2 |
Buy |
784 |
+14 |
|
03/31/09 |
rule #4 |
Sell Short |
798 |
-10 |
|
04/01/09 |
rule #3 |
Buy |
808 |
+30 |
|
04/02/09 |
rule #4 |
Sell Short |
838 |
+10 |
|
04/03/09 |
rule #3 |
Buy |
829 |
+14 |
|
Total: |
+135
(+17.2%) |
+10% in 2 months
(60-day chart)
60-day chart is longer-term chart, furthermore it generates less trading signals
than 15-day chart. Timeframe choice completely depends on the personal trading
style - how many trades a trader wants to execute, how long he/she willing to
stay in the position, etc.
For instance, 15-day chart has 1 bar = 15 min and with SBV(16) it covers 16 bars
which is 16x15=300 minutes or 5 hours. From that you may assume that 15-day
SBV(16) chart attempts to cover 5-hour trends. In the same way 30-day SBV(20)
attempts to cover 10-hour trends and 60-day SBV(20) chart attempts to cover
20-hour (about 3-day) trends. Two examples presented here confirm these
calculation: from the 15day chart above you may see it generated 12 signals in 2
weeks and the 60-day chart below generated 9 signals in 2 months (stop-loss
signals are not counted).
|
Chart 2. Relationship between the SBV oscillator and
index reversal points. S&P 500 index. 60-day view. 1 bar =
1 hour. SBV(20) |
 |
Table 2: Trades based on the 5-rule
system applied to the 60-day S&P 500 chart.
|
Time |
Motivation |
Signal |
Index |
Profit
(points) |
|
02/10/09 |
rule #4 |
Sell Short |
832 |
+8 |
|
02/12/09 |
rule #2 |
Buy |
824 |
+3 |
|
02/17/09 |
rule #5 |
Cash |
827 |
|
|
02/25/09 |
rule #2 |
Buy |
756 |
-11 |
|
02/27/09 |
rule #5 |
Cash |
745 |
|
|
03/10/09 |
rule #2 |
Buy |
714 |
+56 |
|
03/20/09 |
rule #4 |
Sell Short |
770 |
-46 |
|
03/24/09 |
rule #5 |
Cash |
816 |
|
|
03/26/09 |
rule #4 |
Sell Short |
821 |
-9 |
|
03/26/09 |
rule #3 |
Buy |
830 |
+3 |
|
03/26/09 |
rule #4 |
Sell Short |
833 |
+36 |
|
04/01/09 |
rule #2 |
Buy |
797 |
+46 |
|
Total: |
+86
(+10.3%) |
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 and it does not
constitute trading advice, nor does it make or imply any market trend
predictions. |
More Examples:
| Date |
Index |
Timeframe |
Result |
Number of Trades |
| Mar 12, 2010 |
S&P 500 |
30-day |
+60 points (+5.5%) |
10 "Long" and 10 "Short" |
| Mar 5, 2010 |
S&P 500 |
5-day |
+24 points (+2.2%) |
15 "Long" and 15 "Short" |
| Feb 26, 2010 |
DJI |
30-day |
+810 points (+7.7%) |
9 "Long" and 9 "Short" |
| Feb 19, 2010 |
S&P 500 |
1-day |
+10 points (+1.0%) |
17 "Long" and 18 "Short" |
| Feb 12, 2010 |
S&P 500 |
1-day |
+15 points (+1.5%) |
14 "Long" and 14 "Short" |
| Feb 5, 2010 |
Russell 2000 |
1-day |
+12 points (+2.0%) |
12 "Long" and 12 "Short" |
| Jan 29, 2010 |
S&P 500 |
5-day |
+41 points (+3.7%) |
11 "Long" and 10 "Short" |
| Jan 22, 2010 |
Russell 2000 |
1-day |
+11 points (+1.8%) |
14 "Long" and 13 "Short" |
| Jan 15, 2010 |
Russell 2000 |
1-day |
+10 points (+1.6%) |
9 "Long" and 7 "Short" |
| Jan 8, 2010 |
Russell 2000 |
1-day |
+4.8 points (+0.8%) |
7 "Long" and 7 "Short" |
| Jan 1, 2010 |
S&P 500 |
60-day |
+75 points (+7.1%) |
6 "Long" and 8 "Short" |
| Dec 18, 2009 |
S&P 500 |
60-day |
+64 points (+6.0%) |
6 "Long" and 8 "Short" |
| Dec 18, 2009 |
S&P 500 |
5-day |
+15 points (+1.3%) |
6 "Long" and 8 "Short" |
| Dec 11, 2009 |
S&P 500 |
5-day |
+22 points (+1.9%) |
10 "Long" and 10 "Short" |
| Dec 4, 2009 |
S&P 500 |
5-day |
+18 points (+1.6%) |
10 "Long" and 9 "Short" |
| Nov 27, 2009 |
S&P 500 |
60-day |
+79 points (+7.9%) |
13 "Long" and 12 "Short" |
| Nov 20, 2009 |
S&P 500 |
60-day |
+66 points (+6.6%) |
12 "Long" and 11 "Short" |
| Nov 13, 2009 |
S&P 500 |
60-day |
+59 points (+5.9%) |
11 "Long" and 9 "Short" |
| Nov 6, 2009 |
Nasdaq 100 |
10-day |
+81 points (+4.7%) |
9 "Long" and 9 "Short" |
| Oct 30, 2009 |
Nasdaq 100 |
10-day |
+31 points (+2.3%) |
8 "Long" and 7 "Short" |
| Oct 23, 2009 |
Nasdaq 100 |
10-day |
+40 points (+2.3%) |
8 "Long" and 10 "Short" |
| Oct 16, 2009 |
Russell 2000 |
5-day |
+10 points (+1.7%) |
8 "Long" and 10 "Short" |
| Oct 9, 2009 |
S&P 500 |
60-day |
+59 points (+5.0%) |
4 "Long" and 4 "Short" |
| Oct 2, 2009 |
S&P 500 |
15-day |
+41 points (+3.8%) |
5 "Long" and 6 "Short" |
| Sept 18, 2009 |
S&P 500 |
60-day |
+107 points (+12%) |
5 "Long" and 4 "Short" |
| Sept 18, 2009 |
S&P 500 |
60-day |
+107 points (+12%) |
5 "Long" and 4 "Short" |
| Sept 11, 2009 |
S&P 500 |
60-day |
+81 points (+9.2%) |
5 "Long" and 4 "Short" |
| Sept 4, 2009 |
S&P 500 |
60-day |
+44 points (+5.0%) |
5 "Long" and 4 "Short" |
| Aug 28, 2009 |
S&P 500 |
5-day |
+14 points (+1.4%) |
9 "Long" and 6 "Short" |
| Aug 21, 2009 |
S&P 500 |
5-day |
+14 points (+1.4%) |
7 "Long" and 9 "Short" |
| Aug 14, 2009 |
S&P 500 |
15-day |
+15 points (+1.5%) |
8 "Long" and 7 "Short" |
| Aug 7, 2009 |
S&P 500 |
60-day |
+93 points (+9.8%) |
6 "Long" and 6 "Short" |
| July 31, 2009 |
S&P 500 |
60-day |
+104 points (+11%) |
4 "Long" and 4 "Short" |
| July 24, 2009 |
S&P 500 |
60-day |
+109 points (+12%) |
4 "Long" and 4 "Short" |
| July 17, 2009 |
S&P 500 |
15-day |
+74 points (+7.9%) |
7 "Long" and 8 "Short" |
| July 10, 2009 |
S&P 500 |
15-day |
+57 points (+6.3%) |
8 "Long" and 8 "Short" |
| July 02, 2009 |
Nasdaq 100 |
30-day |
+74 points (+5.0%) |
7 "Long" and 7 "Short" |
| June 26, 2009 |
S&P 500 |
30-day |
+68 points (+7.5%) |
8 "Long" and 8 "Short" |
| June 19, 2009 |
S&P 500 |
30-day |
+48 points (+5.3%) |
7 "Long" and 7 "Short" |
| June 12, 2009 |
S&P 500 |
15-day |
+47 points (+5.0%) |
9 "Long" and 10 "Short" |
| June 5, 2009 |
S&P 500 |
30-day |
+59 points (+6.4%) |
5 "Long" and 7 "Short" |
| May 29, 2009 |
S&P 500 |
30-day |
+36 points (+4.2%) |
8 "Long" and 9 "Short" |
| May 22, 2009 |
S&P 500 |
30-day |
+32 points (+3.7%) |
6 "Long" and 9 "Short" |
| May 15, 2009 |
S&P 500 |
10-day |
+39 points (+4.3%) |
7 "Long" and 7 "Short" |
| May 8, 2009 |
S&P 500 |
60-day |
+84 points (+11.8%) |
8 "Long" and 8 "Short" |
| May 1, 2009 |
S&P 500 |
60-day |
+65 points (+9.1%) |
7 "Long" and 7 "Short" |
| April 24, 2009 |
Nasdaq 100 |
5-day |
+53 points (+4.0%) |
6 "Long" and 7 "Short" |
| April 17, 2009 |
S&P 500 |
60-day |
+93 points (+11%) |
7 "Long" and 6 "Short" |
| April 9, 2009 |
S&P 500 |
60-day |
+99 points (+12%) |
6 "Long" and 5 "Short" |
| April 3, 2009 |
S&P 500 |
15-day
60-day |
+135 points (+17%)
+86 points (+10%) |
6 "Long" and 6 "Short"
5 "Long" and 4 "Short" |
| March 27, 2009 |
S&P 500 |
15-day |
+129 points (+18%) |
7 "Long" and 8 "Short" |
| March 20, 2009 |
S&P 500 |
15-day |
+45 points (+6.3%) |
9 "Long" and 10 "Short" |
| March 13, 2009 |
S&P 500 |
15-day |
+38 points (+5.0%) |
10 "Long" and 10 "Short" |
| March 6, 2009 |
S&P 500 |
15-day |
+83 points (+11%) |
10 "Long" and 10 "Short" |
| Feb. 27, 2009 |
S&P 500 |
15-day |
+46 points (+5.6%) |
10 "Long" and 10 "Short" |
| Feb. 20, 2009 |
S&P 500 |
60-day |
+239 points (+27%) |
6 "Long" and 5 "Short" |
| Feb. 13, 2009 |
S&P 500 |
60-day |
+239 points (+27%) |
6 "Long" and 5 "Short" |
| Feb. 2, 2009 |
S&P 500 |
15-day |
+58 points (+7.0%) |
7 "Long" and 6 "Short" |
| Jan. 23, 2009 |
Nasdaq 100 |
5-day |
+75 points (+6.2%) |
7 "Long" and 7 "Short" |
| Jan. 23, 2009 |
S&P 500 |
60-day |
+287 points (+34%) |
9 "Long" and 7 "Short" |
| Jan. 16, 2009 |
S&P 500 |
60-day |
+254 points (+30%) |
8 "Long" and 7 "Short" |
| Jan. 09, 2009 |
S&P 500 |
60-day |
+252 points (+29%) |
9 "Long" and 9 "Short" |
| Jan. 02, 2009 |
S&P 500 |
60-day |
+242 points (+24%) |
9 "Long" and 8 "Short" |
|
