- Why IFCM
- Investment Products
- Market Data
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Lets consider a trivial prototype model for composition of a personal strategy for PCI (portfolio pair) management. This model is based on combination of “average return” and “trend-following” strategies. You may look at weekly bars of “Safe Growth” instrument in the figure below: 2012-2015 timeframe. The instrument is based on Dow Jones Industrial components.
An upward trend direction is formed - that’s why we consider only long positions – BUY orders. You are offered to use both approaches simulteneously – “average return” and “trend following”. Let’s consider two consecutive minimums MIN1 and MIN2, defined by Close prices. Minimum is defined as a pattern of at least three bars such that two nearest close prices are above the minimum price. Minimal levels are designated by red arrows. Following minimums are marked by dotted line while the nearest maximum MAX1 – by blue line. The trading prototype algorithm may be described by three steps.
Please note that this algorithm is only a prototype for composition of your personal trading strategy, which fits the current market conditions best. You may also combine a short-term strategy with long-term investments in frame of BUY&HOLD approach. Some more complicated strategies are considered in Publications section.