Trading Plan: Robotic Investing Tactical Trading Strategies

Trading Plan: Robotic Investing Tactical Trading Strategies

August 1, 2018 0 By Jeremy




Trading Plan: Robotic Investing Tactical Trading Strategies

This is post #4 in a series of posts outlining my Robotic Investing Trading Plan. Make sure you subscribe to get notified when new articles in the series gets posted. Today I am taking about my trading strategies and what makes up my systems. The series of posts is based on the Van K. Tharp business plan methodology as outlined in:

Robotic Investing Tactical Trading Strategies

I have already provided an overview of my overall trading strategies on the page titled:

Robotic Investing Rules-Based Investing Portfolio

Please head over to that page to read the full details about my personal trading strategies.  In the meantime, here is the chart and table that summarizes the rules-based trading strategies I use:

Strategy NameAssets UsedRulesLink
Supercharged Index Investing
  1. MDY - S&P Mid-Cap ETF
  2. RSP - S&P500 Equal Weight ETF
  1. Hold 50/50 in MDY & RSP
  2. Sell MDY & RSP if SPY closes below 10-month moving average on monthly chart
  3. Re-buy MDY & RSP if SPY closes above 10-month moving average on monthly chart

Supercharged Index Investing
Dual Momentum
  1. SPY - S&P 500 Index ETF
  2. VEU- Vanguard FTSE All-World ex-US ETF
  3. BND - Vanguard Total Bond Market ETF
  4. BIL - SPDR Lehman 1-3 Month T Bill
  1. The Dual Momentum rules includes four ETFs. Three of them are meant for investment, and the other is meant for comparison only. The three meant for investment are SPY, VEU, and BND. The ETF meant for comparison is BIL.
  2. Calculate the 12-month returns for both SPY and VEU. Choose the ETF that has performed better.
  3. Compare that ETF to the returns of BIL. If it has performed better than BIL, the buy the equity fund. If BIL has performed better, then buy BND.
  4. Repeat steps 1 - 3 at the end of each month and replace one of the three ETFs with the strongest performing asset.
Dual Momentum
TQQQ Trend Following (Personally Traded Version)TQQQ - Proshares UltraPro 3x QQQ
  1. TQQQ must be in a positive uptrend to trade. It must be trading above its 200 and 50 day simple moving average. If not, then TQQQ is not purchased.
  2. TQQQ is purchased at the Open following two consecutive days trading above the 200 day simple moving average.
  3. Set a trailing stop at the 50 day simple moving average.
  4. If TQQQ closes below the 50 day simple moving average, then sell next day at the Open.
  5. As long as TQQQ continues to trade above the 200 day simple moving average, then repurchase TQQQ at the open on the third day after the two previous closes were above the 50 day simple moving average.
For the version tracked on this site:TQQQ Trend Following

The rules to the left are what I personally trade, which is different than the link above, and is not tracked on this site.
ETF Swing Trading SystemMultiple ETFs
  1. ETF traded must be in an uptrend: must be trading above its 200 day simple moving average and has been heading higher over the past 50 days.
  2. ETF traded must be in an uptrend: must be trading above its 50 day simple moving average and has been heading higher over the past 30 days.
  3. The ETF must trade at least 250,000 shares per day.
  4. The 2-period Wilder's RSI [RSI(2)] of the ETF closes below 5.
  5. Set position size as 1.0% of account with a 7% max loss.
  6. Set stop at 7% max loss.
  7. Buy the ETF at the open on the next day.
  8. Hold the ETF until the RSI(2) closes above 90.
  9. Exit at the open following a previous day close of RSI(2) > 90.
ETF Swing Trading
ETF High / Low Trading StrategyMultiple ETFs
  1. ETF traded must be in an uptrend: must be trading above its 200 day simple moving average and has been heading higher over the past 50 days.ETF must also be trading below the 5 day simple moving average.
  2. The ETF must have had three consecutive days of lower lows and lower highs (TC2000 scan = H2 < H3 AND L2 < L3 AND H1 < H2 AND L1 < L2 AND H < H1 AND L < L1).
  3. Set position size as 1.0% of account with a 7% max loss.
  4. Set stop at 7% max loss.
  5. Buy at the open next day following that third day of lower lows and lower highs.
  6. Exit next day open when the ETF closes above the 5 day simple moving average.
ETF High / Low Trading Strategy
ETF 4-Day RSI 25 StrategyMultiple ETFs
  1. ETF traded must be in an uptrend: must be trading above its 200 day simple moving average and has been heading higher over the past 50 days.
  2. ETF RSI(4) closes below 25 at the close.
  3. Set position size as 1.0% of account with a 7% max loss.
  4. Set stop at 7% max loss.
  5. Buy a second lot is signal is generated on next day as well. No more than two successive buys.
  6. Exit with RSI(4) closes > 55
ETF High / Low Trading Strategy
4% Momentum SurgeAll U.S. Stocks & ETFs
  1. Ticker traded must be in an uptrend: must be trading above its 65 and 195 day simple moving average and has been heading higher over the past 50 days.
  2. Price > $3.
  3. Volume > 100,000 and volume > 30 day volume simple moving average
  4. Ticker had a 4% up day.
  5. The candle prior to the breakout is very tight, or even closed down
  6. Ticker has traded in a tight range over the past 3 days (TC2000 scan = ABS(C1 / C2 - 1) <= .015 AND ABS(C2 / C3 - 1) <= .015 AND ABS(C3 / C4 - 1) <= .015 )
  7. Set position size as 1.0% of account with a 7% max loss.
  8. Set stop at 7% max loss.
  9. Exit on 3rd to 5th day depending on price movement and volume.
Stay Tuned...
Stocks on the MoveStocks from the S&P 500Step 1: Determine Market Trend
  • Check if the S&P 500 is trading above or below it’s 200 day moving average.
  • If the S&P 500 is trading above the 200 day moving average, build or make changes to your portfolio.
  • If the S&P 500 is trading below the 200 day moving average, do nothing. Wait until the market starts to trend up again.
Step 2: Build Initial Portfolio
  • Calculate the volatility adjusted slope value based on the details in the book. Sort from highest to lowest value.
  • Disqualify any stocks that are trading below their 100 day simple moving average.
  • Disqualify any stocks that have gapped up or down 15% in the past 90 days.
  • Calculate the 20-day average true range for each stock.
  • Using a risk parity value of 0.002, calculate the number of shares to buy with this formula: # of shares to purchase = ((AccountValue * 0.001) / ATR(20))
  • Start to buy the highest ranked stock with the correct number of shares. Buy stocks until all capital is spent.
Step 3: Portfolio Rebalance
  • Sell any stocks if the stock:
    • has moved below it 100 day moving average
    • is no longer in the top 100 of the S&P 500 stocks.
    • had a recent gap of 15% either way.
    • left the S&P 500.
  • With the proceeds from any sales go through the same process as in Step 2. Before making any further buys, make sure the market is in an uptrend, as per Step 1 above.
Step 4: Position Rebalance
  • Twice per month, review the portfolio's position sizing against original target allocation.
  • Adjust to bring the values in line with the right risk parity.
Stocks on the Move
Daily BreakoutAll U.S. Stocks
  1. SPY must be in a positive uptrend: SPY is above both the 65 and 195 simple moving average AND 65 day simple moving average is above 195 day simple moving average.
  2. Filter stocks where 40 day simple moving average is above the 120 simple moving average.
  3. Filter stocks where 40 day simple moving average is up 3% over past 15 days.
  4. Filter stocks where 120 day simple moving average is up 5% over past 90 days.
  5. Filter stocks where 90 day daily volume is greater than 250,000 shares.
  6. Filter stocks where volume is above the 20 day moving average for volume with an offset of 2.
  7. Filter stocks where the price is greater than $5.
  8. Filter stocks where the price is crossing up over the top channel in a 40 day Donchian channel.
  9. Set position size as 1.0% of account with a 7% max loss.
  10. Buy any stocks at the open when all criteria above is met.
  11. If stock progresses, set trailing stop under appropriate support level.
Daily Breakout
TC2000 Bollinger Band BreakoutsAll U.S. Stocks
  1. Set up TC2000 scan to identify stocks that meet the following conditions:
    • Price has closed today above the top Bollinger Band set at 100 with a standard deviation of 3
    • Volume is > 100,000
    • Price is > $5
    • Price has closed below the top Bollinger Band for the past 10 days prior to the breakout day
  2. Set position size as 1.0% of account with a 7% max loss.
  3. For stocks that are identified on the scan, buy at the open following the day of the top Bollinger Band Breakout.
  4. Sell the stock when it closes below the bottom Bollinger Band, which has been set at 100 with a standard deviation of 1
TC2000 Bollinger Band Breakouts
Market Long/ShortDYLS
  1. ETF long/short ETF fund held as a buy and hold.
  2. Used as a hedge for when bear markets start. Fund goes short when market turns bearish.
  3. Used to add diversify U.S. Equity exposure by combining growth and value scores, while simultaneously hedging market risk in both rising and falling markets and managing volatility.
  4. Long biased portfolio allows one to capture equity performance over the long run while mitigating market risk during bear markets.
Stay Tuned...
Lending LoopPeer-to-Peer Lending
  1. Invest in higher-risk loans with a rating of B, C+, C, D+, D, E+, and E.
  2. Reinvest all interest into additional loans as per auto-lend criteria (#1 above).
Lending Loop

Next Steps for the Robotic Investing Trading Plan

Most people think that the trading strategies they use are the most important part of their trading plan.  They are important, but I would suggest that getting grounded in your mission and goals & objectives and market beliefs are even more important.  Be sure to read those articles on this site and go through the exercise to lay those out for yourself.  The next post in this series will be about the trade tools I use to manage my portfolio.

To make sure you get notified when I post Part 5 in this series, please subscribe to my newsletter.

I would love to hear how you analyze the market. Please use the comments below to answer the following question:

  1. What strategies do you use in your own portfolio?

Featured Image: Johnston Canyon, Banff NP Alberta Canada by Jonathan Mueller

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