A daily-bar swing system for clean, liquid instruments
The system wants instruments whose trends come in clean multi-week legs and whose spreads do not tax a frequent trader. That describes index products and large caps, and very little else.
Key takeaway
- Liquid ETFs, index futures and large caps: clean swing structure and costs low enough to survive dozens of trades a year
- Daily bars after the close, ten minutes — the system was built to be run beside a job, not watched
- Noisy small caps defeat the design twice over: gaps punch through the exit cross, and permanent chop keeps the ladder engaged
What to run it on
| Instrument | Fit | Why |
|---|---|---|
| Broad index ETFs | Excellent | Multi-week swing legs with modest overnight gaps, and spreads tight enough that frequent round trips stay cheap |
| Index futures | Good | The same swing structure with leverage available; the sizing module's streak budget matters double here |
| Liquid large caps | Good | Clean trenders suit the pair well; earnings gaps are the recurring tax, since the exit cross cannot fire mid-gap |
| Small caps and thin names | Poor | Idiosyncratic noise keeps the flip count permanently high, so the ladder never disengages and the system mostly waits |
The last row is worth dwelling on, because it is the meter giving an honest answer rather than the system malfunctioning. An instrument where 6 flips per 20 bars is the normal state is an instrument whose 5/10 crosses carry no information — the meter detects that and rations entries accordingly. The mistake is not running the system there; it is overriding the ladder because it 'never lets a trade through'.
Ten minutes after the close
Everything the system reads is a daily closing value, so the whole routine runs once, after the close: update the two averages, update the flip count and the 20-bar range, check whether a cross printed or a confirmation count advanced, and place at most one order for the next session. Ten minutes, most of which is opening the chart.
Why daily bars, and what changes if you move
On daily bars the 5/10 pair spans one to two weeks of prices, which lines up with the multi-week swing legs of liquid equity products — the signal and the structure it hunts are the same size. Move the pair to hourly bars and it hunts intraday wiggles where spread and noise dominate; stretch the averages to 20/50 and the system converges toward the slow crossovers, at which point the golden cross / death cross page describes a cleaner version of that trade.
The whipsaw meter transfers to other timeframes mechanically — flips are flips — but the 6% range threshold does not: it is calibrated to what 20 daily bars of a liquid equity product travel. That coupling of thresholds to timeframe is a reason to treat the shipped configuration as one system, not a template.
Common questions
- How many positions at once does this system imply?
- One instrument per run of the system is the clean form. Running it across several genuinely uncorrelated instruments diversifies the whipsaw streaks; running it across three index products that move together does not — the sizing module treats that case as one oversized position.
- Does it work on FX or crypto?
- The mechanics compute anywhere there are daily closes. FX majors have swing structure the pair can read, though the 6% range veto engages rarely on low-volatility pairs, making the ladder nearly always active. Crypto sits at the other extreme — the range veto is almost always on, so the filter rarely engages and you are running a naive 5/10 cross on a very noisy series.
These are documented methods described for study. Nothing here is investment advice, a recommendation, or a claim about future returns — every system on this page has losing periods, and the pages say where.
Reading about a system is not having one.
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