Trading strategies — 26 to backtest

The most-watched long-term regime filter: hold while price is above its long moving average (the market is in an uptrend) and move to cash when it drops below. A single-line rule — not a two-average cross — meant to keep you in during long bull runs and out of deep bear markets, at the cost of lagging every turn and whipsawing around the line.

Buy strength: enter when price closes at a new ~1-year (252-bar) high and exit on an N-bar low. The channel excludes the current bar, so there is no look-ahead. A pure breakout/trend rule betting that new highs beget new highs — it stays in while fresh highs keep printing, buys near tops, and whipsaws when price oscillates in a range.

The Directional Movement system splits into +DI and -DI (which side is winning) and ADX (how strong the trend is, 0-100). Go long only when +DI leads -DI AND ADX is above a floor (a real trend is present), and step aside when -DI takes over. A trend filter that tries to sit out directionless, choppy markets rather than a raw crossover.

Aroon measures how recently the highest high and the lowest low occurred over a lookback window: Aroon Up sits near 100 just after a new high and decays toward 0 as that high ages, and Aroon Down does the same for new lows. This rule goes long while Aroon Up is above Aroon Down — the more recent extreme is a high — and steps aside when Aroon Down takes the lead. It reads the age of the recent extremes, not a prediction of a turn; like any crossover rule it lags turns and whipsaws when highs and lows alternate in a sideways, range-bound market.

The Awesome Oscillator is the gap between a fast (5-bar) and a slow (34-bar) average of each bar's midpoint (the high-low average) - a momentum gauge that is positive when the fast average leads the slow one. This rule goes long while the oscillator is above its zero line and steps aside when it drops below, which is effectively a 5-vs-34 moving-average crossover on the midpoint price - a close cousin of the Moving Average Crossover and MACD already in this library. It is a trend/momentum rule: it lags turns and whipsaws in sideways markets. We deliberately trade only the plain zero-line cross and do not trade the 'saucer' or 'twin-peaks' chart patterns some versions add - those are subjective, non-mechanical shapes that invite curve-fitting rather than an honest, testable rule.

The opposite bet to reversion: buy when price closes ABOVE the upper band, treating the break as the start of a move, and exit back at the middle band. Trend/breakout style — it holds while price keeps closing beyond the upper band and whipsaws when price oscillates around it.

Bollinger Bands sit a number of standard deviations around a moving average. Buy when price closes below the lower band (statistically stretched down) and exit when it reverts to the middle band. Mean-reversion; a hard stop caps the trades where price keeps falling.

Chaikin Money Flow measures, for each bar, where the close finished inside the bar's high-low range (near the high means buying pressure, near the low means selling pressure), weights that by the bar's volume, and averages it over a lookback window to a reading between -1 and +1. Above zero suggests volume is flowing in ('accumulation'); below zero, out ('distribution'). This rule goes long while the reading is above its zero line and steps aside below - a trend/accumulation reading of volume flow, related to but not the same as On-Balance Volume (which uses close-to-close direction rather than the close's position inside each bar). It lags turns and whipsaws in sideways markets. A bar with no range contributes a neutral zero rather than a fabricated reading, so one flat bar does not blank the line; only a volume-less feed (or the warm-up) leaves no reading at all.

The Commodity Channel Index measures how far the typical price (the high, low and close averaged) has stretched from its recent moving average, scaled by its own average deviation. On very quiet ranges that deviation is tiny, so the index can spike past +100 or -100 on almost no movement - the reading is a gauge of stretch, not a prediction. This rule treats a push above +100 as the start of a move and goes long on that breakout, exiting when momentum fades back below the zero line - a breakout/momentum reading of the stretch gauge. Like any breakout rule it stays in while a one-directional move persists and it whipsaws in and out during sideways, range-bound markets.

Larry Connors' short-term dip-buy: only when price is above its long-term (200-day) average, buy when a very fast RSI(2) is deeply oversold, and exit when price closes back above a short average. A trend-filtered mean-reversion rule.

The 'turtle' rule: buy when price closes above the highest high of the last N bars, and exit when it closes below the lowest low of the last M bars. Channels EXCLUDE the current bar (no look-ahead). Classic breakout trend-following.

A Fair Value Gap is a three-candle price imbalance — a gap left between the first candle's high and the third candle's low, confirmed at the third candle's close. This buys when price later returns to the top edge of an unfilled gap (a 'mitigation'), after first leaving it, and goes flat when price closes back above the gap or trades below its lower edge. A mean-reversion rule around the imbalance; it is pure price geometry and makes no claim about who created the gap.

Heikin-Ashi ("average bar") redraws each candle from an average of the open, high, low and close and the prior candle's own averaged values, so the chart looks smoother and the trends look calmer. This rule goes long while the Heikin-Ashi candle is bullish — its averaged close above its averaged open — and steps aside when it turns bearish. The smoothing is cosmetic: it is the same price data averaged twice, which adds lag, not information, so entries and exits come late; in a strong trend it stays in for long stretches and can look close to simply buying and holding, and in choppy markets the colour flips back and forth and whipsaws. A smooth Heikin-Ashi chart does not mean smaller risk — the averaged candles hide the real intraday drawdown, so the calm-looking chart is not the account you would have lived through. The Heikin-Ashi candles are a smoothed view only: every backtest here fills at the real next open, marks and scores on the real price, and compares against a real buy-and-hold, never the smoothed candle. A trend/regime rule to test — the smoother candles are cosmetic, not an edge or a lower-risk trade.

The Ichimoku 'Kumo' (cloud) is a band built from midpoints of past highs and lows, displaced forward so it derives only from past data. The signature rule: go long while price trades ABOVE the cloud (a bullish regime), exit when it closes BELOW it; inside the cloud is a neutral zone that holds the prior state. A trend/regime filter — it lags turns by design and can sit out or whipsaw around the cloud in choppy markets.

Keltner Channels are an ATR-width band around an EMA (a volatility-based cousin of Bollinger's standard-deviation band). Buy when price closes above the upper band, treating the break as the start of a move, and exit back at the middle band. Trend/breakout style — the ATR width adapts to volatility rather than to the spread of recent prices.

The MACD line is the difference between a fast and a slow EMA; the signal line is an EMA of that. Go long when MACD is above its signal line, flat when below. A momentum/trend rule that reacts sooner than a raw MA crossover, at the price of more false flips.

The Money Flow Index is a volume-weighted version of RSI: instead of counting price changes alone, it weights each day by its trading volume (using the typical price - the high, low and close averaged - times volume), then measures how stretched recent buying pressure is versus selling pressure on a 0 to 100 scale. Below 20 is called 'oversold', above 80 'overbought' - a gauge of stretch, not a prediction of a turn. Buy when it is oversold, betting on a bounce, and exit when it becomes overbought. It is the same mean-reversion bet as the RSI Reversion rule already in this library, with volume as the only extra information - so on constant, thin or volume-less data it behaves much like RSI (RSI-like, not identical: it scores each bar by its money-flow level, not the size of the move). Like any mean-reversion oscillator it fights the trend and whipsaws in choppy ranges, so a strong move can run it over (a falling knife), and volume itself can be noisy or patchy.

Go long while a fast moving average is above a slow one (a 'golden cross') and flat when it drops back below (a 'death cross'). A classic trend-following rule: it tries to hold the up-trends and step aside in down-trends. It lags turning points by design and tends to whipsaw in sideways markets.

On-Balance Volume keeps a running total that adds the day's volume when the price closes up and subtracts it when the price closes down, so the line rises when volume is flowing in on up-days ('accumulation') and falls when it flows out on down-days. This rule goes long while a fast average of that line is above a slow average of it (the flow is turning up) and steps aside when it turns down - effectively a moving-average crossover of the volume-flow line, a cousin of the Moving Average Crossover already in this library. It is a trend/momentum rule that lags turns and whipsaws in sideways markets. The running total has no natural zero - its starting point is arbitrary - so only the crossing of its own averages is traded, never its absolute level, and we deliberately do not trade OBV-versus-price 'divergence', which is a subjective, non-mechanical read. Volume itself can be noisy or patchy: on a thin or volume-less feed the line carries little information.

Wilder's Parabolic SAR places a trailing 'stop and reverse' dot that accelerates toward price as a trend runs; when price crosses it, the trend flips. Go long while it reads up-trend, flat when it flips down. A volatility-adaptive trend follower — it trails winners closely but reverses often, so it whipsaws in sideways markets and gives back part of a move at each flip.

RSI measures how stretched recent gains are versus losses (0–100). Buy when RSI falls below an 'oversold' level, betting on a bounce, and exit when it recovers past a chosen level. A mean-reversion rule — it fights the trend, so it can be run over by strong moves.

The Stochastic %K shows where the close sits within the recent high–low range (0–100). Buy when it is oversold and exit when it becomes overbought. A range/mean-reversion oscillator.

Stochastic RSI applies the Stochastic formula to RSI instead of to price: it shows where the current RSI sits within its own recent high-low range, on a 0 to 1 scale (below 0.2 'oversold', above 0.8 'overbought'). Because it stretches an already-smoothed indicator, it is faster and noisier than plain RSI - it hits the extremes more often and whipsaws more. Buy when it is oversold, betting on a bounce, and exit when it becomes overbought. Like the RSI Reversion rule already in this library, it is a mean-reversion oscillator that fights the trend, so a strong move can run it over (a falling knife); it reads how stretched momentum is, not a prediction of a turn.

SuperTrend places a trailing line a multiple of Average True Range away from price; it flips bullish/bearish as price crosses it. Go long while it reads bullish, flat when bearish. A volatility-adaptive trend follower.

Time-series (absolute) momentum: go long while the asset's own trailing 12-month return — skipping the most recent ~1 month (the '12-1' rule, which drops the short-term reversal) — sits above the average of its OWN history, and flat otherwise. It measures the asset against ITSELF over time; it does not rank or compare securities. A slow trend rule with a long (~2-year) warm-up, prone to crash and whipsaw stretches. A mechanism to test, not a prediction or a recommendation.

The Vortex Indicator plots two lines that gauge directional movement: VI+ sums the distance between each bar's high and the previous bar's low, VI− sums the distance between each bar's low and the previous bar's high, and both are divided by the true range over a lookback window. This rule goes long while VI+ is above VI− (upward movement has dominated) and steps aside when VI− takes the lead. It reads which direction's bar-to-bar movement summed larger over the window, not a prediction of a turn; like any crossover rule it lags turns and whipsaws when the two lines weave around each other in a sideways, range-bound market.