Following the market according to the RAIQS system of four indicators

When constructing the RAIQS system of four indicators to implement the "Follow the Market" strategy, previously published indicators are used: the RAMA moving average, the RASL layer trend indicator, the RAOS and RAOSQ quadrature indicators (quadrature oscillators).

Previously published indicators are described in detail in the articles:

The work of the trading strategy

"Following the market" consists in the dynamic display (using indicators) of the signal of the traded instrument quotations, which enables to determine the current state of the asset at the moment, as well as to make short-term forecasts of the dynamics in the near future.

Figure 1 shows an example of the RAIQS system of four indicators to implement the strategy "Following the market"for Brent crude oil quotes (Daily, end date April 20, 2018).

Figure 1. Brent crude oil rate (Daily, end date April 20, 2018) and trading strategy.
Figure 1. Brent crude oil rate (Daily, end date April 20, 2018) and trading strategy.

Figure 1 shows:

  • moving average RAMA(11) (red line),
  • RAOS(11) oscillator (blue lines) displays the rate of change of the RAMA(11) indicator,
  • RAOSQ(11) quadrature oscillator (yellow and red lines) displays the change in velocity (acceleration) of the RAMA(11) indicator,
  • indicator of the RASL layer (orange lines) for the layer of fluctuations of the signal of quotations, concluded in the interval from 5 periods to 20 periods.

The boundaries of the indicator of RASL layer are displayed in the form of two lines shifted relative to the middle line of RASL layer "up" and "down" by the value of the calculated standard deviation (RMS) on the set of moving averages RAMA, concluded in the interval from 5 periods to 20 periods. The width of the RASL layer can be changed. In this example, the width of the RASL layer is coordinated with the RAOS(11) oscillator spread (blue lines).

Rules of the strategy

Figure 1 shows that the boundaries of the RASL layer indicator show the range of the quote signal, the lines of the RAOS oscillator practically coincide (slide along) with the upper or lower boundary of the RASL layer indicator when the direction of the quote signal changes, the lines of the RAOS oscillator pass from one boundary of the RASL layer to another boundary, the lines of the quadrature oscillator RAOSQ (yellow and red lines) form "proactive" signals of local divergence (within the RASL layer) about a possible reversal, fading, or resumption of directional movement.

The resulting dynamic display of the quote signal (Figure 1) is a RAIQS system for implementing the "Follow the market" strategy.

Stages of the trading strategy

Let's consider the stages of the RAIQS system for implementing the "follow the market" strategy using the EURUSD quotes as an example.

Figure 2 shows quotes EURUSD (Daily, end date April 18, 2018), the layer RASL oscillation signal quotes concluded in the range of 5 periods to 20 periods.

Fig. 2. EURUSD exchange rate and RASL layer.
Fig. 2. EURUSD exchange rate and RASL layer.

We see the boundaries of the RASL layer (orange lines): the inner boundaries of the layer define the standard width of the RASL layer, the outer boundaries of the layer define the width of the RASL layer, increased by 4.2 times.

Figure 3 shows the RASL layer (outer boundaries of the layer, orange lines), added RAOS(11) oscillator (blue lines, moving average speed RAMA(11)), moving average RAMA(11) (red line).

Fig. 3. EURUSD exchange rate (Daily, end date April 18, 2018). Indicators RASL, RAOS, RAMA.
Fig. 3. EURUSD exchange rate (Daily, end date April 18, 2018). Indicators RASL, RAOS, RAMA.

Figure 4 shows a repetition of Figure 3 with the addition of the RAOSQ(11) quadrature oscillator (red and yellow lines, accelerating moving average RAMA(11)), which forms the anticipatory local signals divergence within the RASL layer to more precisely fix the beginning of possible reversals, fading or resumption of directional movement.

Fig. 4. EURUSD exchange rate (Daily, end date April 18, 2018). Indicators RASL, RAOS, RAMA, RAOSQ.
Fig. 4. EURUSD exchange rate (Daily, end date April 18, 2018). Indicators RASL, RAOS, RAMA, RAOSQ.

Figure 4 is divided into two parts: Figures 5 and 6 for a more detailed display.

Figure 5. The first part of figure 4.
Figure 5. The first part of figure 4.
Figure 6. The second part (completion) of figure 4.
Figure 6. The second part (completion) of figure 4.

Other examples of how the strategy works

Let's look at other examples of the RAIQS system of four indicators to implement the "Follow the market" strategy for other quotes signals. Indicator settings for all examples of the article are not changed.

Figure 7 shows an example of a RAIQS system of four indicators to implement a strategy for the gold price area (Daily).

Fig. 7. Strategy for the Gold Rate (Daily).
Fig. 7. Strategy for the Gold Rate (Daily).

Figure 8 shows an example for the USDRUB exchange rate quotes (Daily, end date April 20, 2018).

Figure 8. USDRUB pair exchange rate (Daily, end date April 20, 2018). RAIQS system of 4 indicators: RASL, RAOS, RAMA, RAOSQ.
Figure 8. USDRUB pair exchange rate (Daily, end date April 20, 2018). RAIQS system of 4 indicators: RASL, RAOS, RAMA, RAOSQ.

The trading strategy "Follow the market" can be effectively used in a trend, in the flat and on the reversals.

Комментарии ( 2 )

  1. Relevance is, novelty is, it remains only to show the practical value in the form of trade monitoring.

    1. genfed, thank you for your comment.
      Relevance and Novelty. The topic of application of digital filtering methods in trading is not new enough, but still relevant, because digital filters - a flexible enough tool and opens wide opportunities for traders, the whole question is in the availability and popularization of the technology. Now this stage is reflected in my publications. Next, in my publications I will construct (assemble) a trading system from a minimum set of digital indicators and formalize (algorithm) of trading signals, training, testing.

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