The Price of Risk

Inputs: RSILength(2), OverSold(28), Overbought(86), Oversold2(20), Overbought2(86), CCILen(8), OverSold3(21), OverBought3(100), OverSold4(23), OverBought4(100);
If 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 on Close;
If RSI(Close, RSILength) Crosses Above OverSold3
and CCI(CCILen) Crosses Above OverSold4
Then Buy at Market;
If RSI(Close, RSILength) > OverBought3
and CCI(CCILen) > OverBought4
Then Exitlong at Market;

Inputs: RSILength(2), OverSold(32), Overbought(90), Oversold2(32), Overbought2(98),CCILen(8), OverSold3(32), OverBought3(78), OverSold4(32), OverBought4(86);
If Currentbar > 1 AND RSI(Close, RSILength) > Overbought
and CCI(CCILen) > 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) < Oversold 3
and CCI(CCILen) < Oversold 4
Then Buy This Bar on Close;
If RSI(Close, RSILength) > OverBought3
and CCI(CCILen) > OverBought4
Then Exitlong at Market;

I recently profiled a system I called the Grand Slam Cross (GSC) which was based on the CROSS OVER (cross back over) of overbought and oversold CCI and RSI levels. IMHO the system had a number if attractive features including a monthly frequency, relatively muted max intraday drawdown and a geat winners/losers ratio, especially the consecutive ones, which tend to make most traders waffle about the reliability of the system on anything above 3.
As I was fiddling around with the code, I tested several variations of the inputs in an attempt to goose the overall return. This is the result.

While the GSC generated respectable returns, the second system . . Grand Slam 2 (GS2), uses the same thinking but executes on the threshold of overbought and oversold levels. The Input values are optimized for the GS2 and, as expected, trigger at different levels since they are looking for the initial cross rather than the cross back. Triggers on the immediate threshold cross typically leave some money on the table as momentum is often not yet exhausted at the cross. That being said, the GS2 system puts that thinking to the test as it reflects over twice the return for the IWM over the same test period.GS2 has 3 times as many trades and the winners/losers (including consecutive losers) is still acceptable. However, what you buy with the GS2 system is the added max intraday drawdown and an increased size of the losing trades.

As usual, I have not applied any stops to this little test and, based on the results of previous studies profiled here, a breakeven floor stop or a simple stop loss should decrease that intraday drawdown and increase the bottom line.