Tuesday, August 05, 2008

Williams %R trading model


This system uses the Willams %R as its foundation. As with the Grand Slam systems profiled last week, I've used a double condition entry, in this case the %R and RSI. . .both must cross overbought/oversold levels in order to trigger. Also different for this test, the exits are based on crosses also instead of thresholds, as with the earlier Grand Slam models.
I tested both the %R and RSI as the exit indicator and determined there is no edge offered by either one. For purposes of this post the RSI is shown. as noted in previous posts, I favor using these systems to merely gauge cycle momentum of IWM and to employ options strategies as the actual means to capture gains.
Per previous posts, code for the system is provided in TS2000i format.
Tip of the hat to Sysin for noting verbiage corrections for TS8.3 in Friday's post.
Inputs: RSILength(2), PercentRLen(7), OverSold(20), Overbought(95), Oversold2(18), Overbought2(87), Oversold3(20), Overbought3(95);

If Currentbar > 1 AND PercentR(PercentRLen) Crosses Below Overbought
and RSI(Close, RSILength) Crosses Below Overbought2
Then Sell at Close;

If RSI(Close, RSILength) Crosses Above OverSold3 Then ExitShort on Close;

If Currentbar > 1 AND PercentR(PercentRLen) Crosses Above OverSold
and RSI(Close, RSILength) Crosses Above Oversold2
Then Buy Next Bar at Market;

If RSI(Close, RSILength) Crosses Below OverBought3 Then Exitlong at Market;

The %R system concludes my study of simple oscillators. As mentioned yesterday in reference to George Pruitt's article, I will shortly offer up a few studies of the IWM based on criteria non-correlated with most oscillators.

Sysin mentioned off line that the great results obtained with the Grand Slams in IWM were not attainable in his tests of the Qs. This is as expected and I have previously mentioned that the IWM reflects a performance response to technical trading systems that is superior to the Qs, SPY and DIA.

I'm tempted to abandon Qs trading and just focus on IWM, which responds to the pivots, the MAs and the parabolics just as well, or better than the Qs. But, Hey! 2 heads are better than one and IMHO the Q options still offer relatively easy daytrading
returns, which is how I work it.

12 comments:

sysin3 said...

another good looking system there BZ.

i really like the fact that longs and shorts seem to work equally well. that says "robust" to me.

of course, as soon as i start to trade the thing ... the big hedgies driving this will switch to GLD or something, lol.

bzbtrader said...

Sysin,
Thanks for the comment. If you have time could you run these settings on 1000 10m and 60m bars and let me know how it turns out? I currently have EOD data only for 2000i. Post as comment or email to bzbtrader@aol.com.

sysin3 said...

will give it a shot, hopefully tonight.

TraderRob said...

Nice system. For some reason, the trade report will not enlarge to view. Maybe a software problem.

bzbtrader said...

Rob,
Try it again, single or double click works on all 4 machines I have.

Cucca said...

I know what your saying about the penny spreads on the Q's, that's hard to give up, woooo hooooo! It's like, wow, the same as spending all that money on buying or shorting the stock, accept you only have to use about 1/40th of your account.

Cucca said...

By the way, go balls to the wall, and get rid of the word verification thing, roach!!!! It's to much trouble. Carl Futia dosn't have it.

Cucca said...

Why don't you start doing some GAP fill studies on the Q's??? Did you already do it??? Hey, get on the ball here!!!!

Cucca said...

Another thing, Sysin and I debated this, quite a while back, about the closing candle on the Q's, I said the 15min candle dictated the direction of the open the next morning, he said it was the 10min candle, let's get with the program here, I want results!!!!!

Cucca said...

Here's another one to test out, that I like, buy new 10 day lows, use 1/8th of your normal position allotment on each buy, and sell when price hits the 20 day simple MA. Dave Johnson and I discussed this, I claimed it was a "system" of his, he said,aaaahhhh, NO! I don't know where I got it.

daveM said...

Thanks for sharing this BZB. I am going to attempt to code this on another platform for intraday Forex.

I will be pleased to share the results with you.

daveM

bzbtrader said...

Dave,
Keep in mind that FX pairs seldom respond to the technicals the way IWM and the Qs do.
Most successful FX daytraders I know focus on pivots and channel breakouts/breakdowns. Depending on the pair you are trading the system may have radically different optimized inputs.
Good luck. . .