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;