Since I wrote the book Intermarket Trading Strategies in 2008, market dynamics and Intermarket correlations have changed so I updated all Intermarket systems mentioned in my book and added new ones. In certain cases (JPY, Euro , FTSE, DAX) I even had to change the Intermarket Comparison symbols as the old ones didn’t perform as well.
You can see in the tables below how the stock and futures systems performed during the 20 year period from 29/5/99 to 29/5/2019. I used Amibroker for the simulations but performance of the Easy language and Metastock systems are similar.
All systems outperformed the Buy&Hold by a wide margin on a total profit and drawdown basis. The Buy & Hold investor suffered catastrophic drawdowns and in some cases (FTSE & Euro) lost almost all (99%) of his initial equity during the test period.
A trader who traded the minimum amount (1 futures contract or $100,000 in the case of stocks) in all 8 systems would have made more than $1,500,0000 total profit! The average accuracy was 64% on a total of 1653 signals. Of course this is completely hypothetical as the systems weren’t even available during the testing period.
The best performing systems (in green) were the FTSE, the DAX futures and the new S&P-500 system. You can see how the Gold systems performed by clicking on the appropriate tab at the left. Each Intermarket package includes 16 Custom Indicators and related functions and 25 Strategies (stock, futures and Gold). The metastock systems include 9 expert advisors as well.
The AmiBroker systems can be used for testing, scanning and explorations.
If you use Amibroker, Multicharts, Tradestation, Metastock 11 or Metastock 16 you can buy the appropriate system code for your platform by clicking on the tab at the left.
Here you can see how the new systems performed during the 20 year period until 29/5/19.
I used Amibroker and data from Reuters for all tests. Performance results for Tradestation and Metastock may vary because of code and testing differences.
The DAX futures system was tested only for the 15 year period since 1/3/04 as older data were not available from Reuters.
Similarly the Oil stock exploration was tested for the last 13 year period as the Intermarket USO ETF started trading on 10/4/06.
Here you can see the Buy& Hold Performance from the date that the system started producing trades until 29/5/19