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The Intermarket Multi-Agent Method!

This strategy was created early in 2016. The out of sample is from March 2016 through today. You can clearly see how well the out-of-sample holds up. This strategy was released to the public back in early 2016. It was part of a white paper which describes a trading technique that utilizes both intermarket analysis and equity curve feedback.

Annual Returns

Drawdown

 Performance Report

All backtested results assume a $100,000 account trading a single contract and $37.50 was deducted for each trade to account for slippage and commissions.

What is A Multi Agent Trading System?

A Multi Agent Strategy uses information from more than one strategy to make live trading decisions!

 In this case, we have three different intermarket trading systems. These three trading systems are not trading live - instead they are trading in a custom simulator mode. The strategy code then determines which strategy is best performing over the receent history and then trades that system live!

This produces a dynamic trading system
that adjusts - in real time- to a changing market!
Two Magic Ingredients
1. InterMarket Divergence

Unlike Most Trading Concepts - No Lagging Indicators!

Powerful Signal Generation

Intermarket analysis is an incredibly powerful concept that traders can use to get an edge on the market. In fact, when intermarket analysis is done correctly it is considered to be a form of statistical arbitrage that can have excellent results.

I developed the concept of intermarket divergence approximately 20 years ago. It has proved to be a robust and reliable concept since then. Reflecting back to 1995, that intermarket analysis could give a big edge, but most futures based systems are developed on continuous contracts.

Individual contracts are not active long enough to do proper backtests. The method used for stringing futures contracts together subtracts out the price gaps from each boundary. This destroys the relative price relationship but keeps the dollar change in tack. This makes them usless for ratio analysis which during the 1990’s was how intermarket analysis was done.

Ratio was a way to detect mispricing when the ratio finds extremes. So I developed the concept of intermarket divergence as a way around this. I wanted to find a way to accurately judge that the relationship had reached an extreme level. The rules for intermarket divergence are as follows:

For positively correlated markets:

  • If intermarket is in an up trend and the traded market is in a down trend, then buy.
  • If intermarket is in a down trend and the traded market is in an up trend, then sell.

For negatively correlated markets:

  • If intermarket is in an up trend and the traded market is in an up trend, then sell.
  • If intermarket is in a down trend and the traded market is in a down trend, then buy.

You can use various well-known concepts to define an up or down trend. In most of my work, I used price relative to a moving average. That is, consider a function called Price-Average (Price, X) that we use to define a trend. When it is above zero we call it an uptrend and when it is below zero we call it a down trend. We can also use a simple difference Price-Price (X) function as another method for defining a trend.

2. Equity Curve Feedback

Easily incorporate equity curve feedback techniques into either your own strategies or use it as a filter for other trading strategies. Many times tracking the equity curve of strategies can help automatically determine which systems should be on or off. For example, you can turn off a trading system when the equity curve takes a big dip or you can select the system with the best equity curve. These types of tweaks can help improve already good systems.

What Is Equity Curve Feedback?

Some trading systems will have prolonged periods of winning or losing trades.  Wouldn’t it be nice if you could avoid those long drawdown periods? Trading the equity curve or equity curve feedback is one way to do just that.

Try applying a 20-trade or 50-trade moving average (this will depend on your trading system and your personal preference) to you trading system’s equity curve. Plot this smoothed equity curve alongside your true equity curve (see image below). When the equity curve falls below the smoothed equity curve you can stop trading your system or reduce your contract size.



Stop trading when your equity curve falls below the moving average (pink line)!

Trading the equity curve is like trading a basic moving average crossover system. When the fast moving average (your equity curve) crosses over the slower moving average (your smoothed equity curve) you go long (trade your system live). When the fast moving average crosses under the slower moving average you close your long trade (stop trading your live system).

Look At The Difference!

Now look at the final equity curve as we significantly reduce large drawdowns.



Here is an equity curve of a system that has a long drawdown period. Using this toolkit we can have our live system stop trading during this period.

Now look at the final equity curve as we significantly reduce large drawdowns.

What Am I Getting With This Package?

A NEW Method To Combine Inetermarket Trading Systems Into A SINGLE System!

Intermarket Multi Agent Toolkit shows you a powerful technique to combine intermarket strategies into a single system! 

It also shows you how to incorporate equity curve feedback to make your strategy adapt to recent performance.

What you are paying for is a very unique technique to build what we like to call, a multi-agent trading systems.

No Black Box!

This product is completely open-source!



What Makes This Tool So Powerful?

The secret can be summed up in two concepts: Intermarket analysis and Equity Curve Feedback!

The technology behind Intermarket Multi-Agent Strategy Toolkit is so unique you'll be required to sign an NDA
before you can download your copy!

Build Amazing Systems!

Secure Your Copy Today

Intermarket Multi Agent Toolkit Only

Get the original White Paper which demonstrates this technique on an amazing inter market strategy! 

  • Original White Paper
  • Source code of trading strategy
  • Access to live webinar with Jeff & Murray on July 11th.
  • Subset of Intermarket Divergence Pro
  • Subset of Equity Curve Feedback Toolkit
  • Everything you need to build intermarket multi-agent strategies!

$499

Signed NDA Required Before Download

Intermarket Multi Agent Toolkit With Equity Curve Feedback

Get the original White Paper which demonstrates this technique on an amazing inter market strategy PLUS a copy of Equity Curve Feedback Toolkit

  • Original White Paper
  • Source code of trading strategy
  • Access to live webinar with Jeff & Murray on July 11th.
  • Subset of Intermarket Divergence Pro
  • FULL COPY of Equity Curve Feedback Toolkit
  • Everything you need to build intermarket multi-agent strategies!

$599

Signed NDA Required Before Download