ActiveTrader 2011-05 | Inverse ETF switching system by Eugene

This strategy was featured in the May 2011 issue of Active Trader magazine.

This system combines regular and inverse («short») exchange-traded funds (ETFs) to create a long-short strategy that avoids taking short positions.

System rules:

  • Go long the primary ETF on the open of the first day of the test period.
  • Exit long at the close only with a trailing stop equal to highest price in the trade minus 5 percent. (The stop is triggered only if the closing price is below this level; an intraday move below the stop level will not trigger an exit.)
  • Go long the inverse (short) ETF next bar at market when the stop closes a position in the primary ETF. Go long the primary ETF next bar at market when the stop closes a position in the inverse ETF.

This system idea was submitted by Michael Mosley.


Author: Eugene
Category: Intermarket
Creation Date: 4/7/2011
Licence: Freeware
Availability: Globally
Instructions for Script Download
  1. In Wealth-Lab client software, open the Strategy Explorer (Ctrl+O)
  2. Click the "Download..." button
  3. Click "Begin Download"
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