XPl0RR

XPloRR S&P500 Stock Market Crash Alert Generator

Short
SP:SPX   S&P 500 Index
XPloRR S&P500 Stock Market Crash Alert Generator

Long-Term Trailing-Stop study detecting S&P500 Stock Market Crashes/Corrections and showing Volatility as warning signal for upcoming crashes

Detecting or avoiding stock market crashes seems to be the 'Holy Grail' of strategies/studies.

This study detects all major S&P500 stock market crashes and corrections since 1980 depending on the Trailing Stop Smoothness parameter. The 5 crashes/corrections of 1987, 1990, 2001, 2008 and 2010 were successfully detected with the default parameters.

With the default parameters this study generates 5954% profit, with 6 closed trades, 100% profitable, while the Buy&Hold strategy only generates 2427% profit, so this strategy beats the Buy&Hold strategy by 2.45 times!


The script shows a lot of graphical information:
  • the green area shows a trading period (between buy and sell)
  • the close value is shown in light-green. When the close value is temporarily lower than the buy value, the close value is shown in light-red. This way it is possible to evaluate the virtual losses during the trade.
  • the trailing stop value is shown in dark-green.
  • the EMA and SMA values for both buy and sell signals are shown as colored curves
  • the Volatility is show below in green and red. The alert threshold (red) is default set to 200 (see Volatility Warning Threshold parameter below)

Trailing Stop Smoothness value:
Adjust the Trailing Stop Smoothness parameter to hide/show smaller corrections/crashes:
  • 96: 6 trades, 100% profit, 5954% profit, detected crashes: 1987, 1990, 2001, 2008, 2010
  • 90: 8 trades, 100% profit, 5347% profit, detected crashes: 1984, 1987, 1990, 2001, 2008, 2010, 2011
  • 74: 9 trades, 100% profit, 4964% profit, detected crashes: 1984, 1987, 1990, 2001, 2008, 2010, 2011, 2015
  • 41: 10 trades, 100% profit, 4886% profit, detected crashes: 1984, 1987, 1990, 1998, 2001, 2008, 2010, 2011, 2015

How to use this alert generator?
  • Add to your alerts to get an automatic warning (via e-mail) of an upcoming stock market crash
  • Optimize parameters using the strategy settings icon, you can increase/decrease the parameters
  • More trades don't necessarily generate more overall profit. It is important to detect only the major crashes and avoid closing trades on the smaller corrections. Bearing the smaller corrections generates a higher profit.
  • Watch out for the volatility alerts generated at the bottom (red). Threshold can by changed by the Volatility Warning Threshold parameter (default 2% ATR). In almost all crashes/corrections there is an alert ahead of the crash.
    Although the signal doesn't predict the exact timing of the crash/correction, it is a clear warning signal that bearish times are ahead!
  • The current correction in march 2018 is not yet a major crash but there was already a red volatility warning alert. If the volatility alert repeats the next weeks/months, chances are higher that a bigger crash or correction is near.
    As can be seen in the graphic, the deeper the crash is, the higher and wider the red volatility signal goes. So keep an eye on the red flag!

Information about the parameters: see below

If you are interested in buying this S&P500 Stock Market Crash Alert Generator, please drop me a message to receive the code (Price 99$).

Comments

I released a new version of the "XPloRR S&P500 Stock Market Crash Detection Strategy" script (v2).
Check here:
Reply