Monday, August 11, 2008

Buy 6 Day Low, Exit In 7 Days


This is a little departure from the Buy the 10 Day Low system I looked at last week. What's impressive about this system is the total ROI for the 5 year test period relative to the previous 10 day systems tested, while incuring no more downside risk.
As the title says, this system buys the 6 day low and sells at the close of the 7th day. You don't even need a computer to figure this one out.
The system also includes a TS Breakeven stop ExitLong of $95 for every 100 shares, and this gooses the ROI by $600, so it's worth including. The stop is a default ADD in the TS strategy builder and can be turned on or off with a click.
TS users can set the SHOW ME function for 6 day lows (or 8 or 9 day lows for the 10 day system), monitor 30 minutes pre-close and enter a MOC order if you don't want to work the trade.
TS2000i code below:

Inputs: Len1(6), Len2(7);
If Close = LowestFC(Close, Len1)

Then Buy This Bar at Close;
If BarsSinceEntry = Len2
Then Exitlong This Bar at Close;



7 comments:

QUIKTDR said...

When do you determine 10 day low intraday or close?

Do you use another indicator for confimation?

How does market behavior reflect your entry decision?

Cucca said...

One of Davey Johnson favorites, is you buy a 3 day low, and sell when price makes a two day high, or some thing like that, maybe it's a two day low.

bzbtrader said...

Quiktdr,
See the comments for my AUG 6 post.
Since I've been posted several times last week about the Buy the 10 Day Low concept, I've got to assume you're new to the blog. You might want to go read last weeks' posts to help answer your questions. There is no entry confirmation or concern about market behavior (trend?). These systems have various goals, which are explained in the previous posts.
Hope that helps.

QUIKTDR said...

Yes,

I just found your blog and will check out site.

Thanks!

bzbtrader said...

Clueless One,
I did look at 2 bar reversals as an exit option, both by itself and in tandem with several other signals. . .so far nothing looks attractive, but, as you know, this is a work in progress, so that trading edge may be only a few backtests away.

QUIKTDR said...

bztrader,

Check this site

http://filteringwallstreet.blogspot.com/

It is no longer active but a lot of your system testing has already been tested.i think that this will be very insightful for you.

bzbtrader said...

Quiktdr,
Thanks for the thoughtful link. Definitely looks interesting and I plan to spend some time looking through his archives. I was just starting to post as he was shutting down. My focus is almost exclusively on IWM and the Qs and there are some technical issues with these ETFs that don't spill over into many other markets.
Nevertheless, I'm always glad to look at other traders' systems in search of those ever elusive probability edges.