Friday, August 01, 2008

Grand Slam Cross

For this week's final system test, I revised the Grand Slam system using both the RSI and CCI so that entries are based not on threshold signals but on crosses back under or over overbought and oversold levels. Subtle, but this change offers several performance improvements over the original system.

Most notable is the significant reduction in drawdown for both long and short trades. This is the most attractive feature of the system from my perspective.

Also highly attractive is the 85% success rate for both the longs and the shorts. . .a balance not typically encountered.

The total number of trades is substantially reduced down to 60, matching the frequency of the RSI and CCI cucca systems detailed Tuesday and Wednesday.

Holding time for long winners is almost tripled from the original grand slam period of 6 to the current study value of 17. This added risk exposure of 11 days is the price the sytem exacts for a trigger confirmation of both the RSI and CCI signals.
As noted in previous posts, I suggest using these daily studies to gauge current momentum bias and then deploying various option strategies to capture some equity.
IMHO, if performance results can be replicated on 5 or 10 minute bars, then daytrading the underlying equity offers a good risk/reward edge.

Per Sysin's request, TS2000i code is provided in text form to facilitate copying and pasting into your system:

Inputs: RSILength(2), OverSold(28), Overbought(86), Oversold2(20), Overbought2(86), CCILen(8), OverSold3(21), OverBought3(100), OverSold4(23), OverBought4(100);

If Currentbar > 1 AND RSI(Close, RSILength) Crosses Below Overbought
and CCI(CCILen) Crosses Below Overbought2
Then Sell This Bar on Close;

If RSI(Close, RSILength) < Oversold and CCI(CCILen) < Oversold2
Then ExitShort at Close;

If Currentbar > 1 AND RSI(Close, RSILength) Crosses Above Oversold3

and CCI(CCILen) Crosses Above Oversold4
Then Buy This Bar on Close;

If RSI(Close, RSILength) > OverBought3 and CCI(CCILen) > OverBought4
Then Exitlong at Market;


sysin3 said...

Excellent ! Thanks !

Good looking system. Will try to play with that this weekend.

Cucca said...

Sysin's posting in here, that fricking TRAITOR!!!!!!!!!

bzbtrader said...

Na, na, na, na, na, na!

Will said...

If RSI(Close, RSILength) > OverBought3...

In this strategy, isn't the above asking for RSI(2) > 100? So on the Long exit, aren't we just testing for CCI(8) > 100?


bzbtrader said...

Good observation! TS optimized the Overbought3 value to 100 based on a testing increment of 2. I'll go back and run some retests of the system early next week to see what's going on and comment back to this post. Cucca also got some strange results when he attempted to fiddle with the code in ver 8.3, and that's another work in progress.

bzbtrader said...

I ran the study using 95s in lieu of 100s and actually got a higher % return, but a lower net. Any number over 100 generates the same returns as 100. I've tried to contact TS about this issue (and others), but TS does not support 2000i anymore and refuses to answer my phone calls or respond to my emails... just one reason I hate TS as a company although I love the platform.

Larry Lewis said...

Hi -

I'm trying to reproduce your results using AmiBroker.

The first question is, my interpretation of your crossover rule is that both the RSI and CCI must cross on the same bar. When I do this, I get no trades at all. If I just assert that one or the other must cross and that the the must have crossed in some prior bar, it works. Is this what you intended?

bzbtrader said...

You are correct. The crosses DO NOT have to occur on the same bar. The intent is for one cross to confirm the other.