IDMM – DDIR – ETFs

The Intra-Day Momentum Method (IDMM) with Daily Directional Indicator and Intra-Day Reversal Filter (DDIR) as applied to three market-based ETFs (SPY, DIA, QQQ).

Strategy

This strategy is designed to determine the short-term market direction and trade accordingly. If an intra-day reversal occurs in the previous trading session, the IDMM levels are used for trade entry and the short-term direction is ignored. If an intra-day reversal did not occur, short-term direction is identified. A trade in that direction is placed. Therefore, there can be a divergence among the Daily Directional Indicator and the IDMM Levels. In this case, a good place to enter a stop-loss order is at the next level. At the current time, it appears that this stop-loss placement works best when trading from the Long side, but not so for the Short side. These results below do not include any placement of the stop-loss. For more information on how this stop-loss placement affects this strategy, please view this strategy IDMM-DDIRS-ETFs (Available 10-31-2022).

Rules

If an Intra-Day Reversal occurs during the previous trading session:

  1. Trade the Intra-Day Momentum Method Level that is met first during the next trading session.
  2. If ML1 is reached go Long from ML1.
  3. If MS1 is reached go Short from MS1.
  4. Exit at the Close of the day.

If an Intra-Day Reversal did not occur in the previous trading session the following rules apply:

  1. Use the Daily Directional Indicator to determine Direction
  2. If DDI = LONG Enter LONG Position at MS1 or ML1
  3. If DDI = SHORT Enter SHORT Position at ML1 or MS1
  4. Exit at the Close of the day.

Results February 2022 through August 2022

Results for this strategy from February 2022 through August 2022 are as follows. The results are based on Entry at the IDMM Levels and an Exit at the Close of the trading day. Therefore, to improve these results, it would be wise to use a Stop-Loss. A stop-loss would help to improve the Win/Loss Ratio, but may have a negative impact on the % Wins.

Results for February 2022 through August 2022

This strategy produced successful signals 63% of the time.  It produced a reasonable point total.  This strategy also produced a good Win/Loss ratio of 1.27.

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IDMM – DDIR Analytics