Saturday, September 13, 2008

KOP 16

Based on emails that I receive, the Kit of Parts (KOP) concept has a few readers confused, so this is an attempt to clarify some issues.
The KOP uses multiple entries and exits as conditional either/or orders.
Trades will execute if any of the entry signals trigger (entry pyramiding turned on).
Trades will exit when the first exit condition signal triggers.
Performance of the KOP can be "tuned" by adding or deleting entry and/or exit conditions.
Above is a exploratory KOP using signals from the Willams %R study, the Grand Slams and Cheaphooker.
The resultant KOP16 system trades over once a week and has any average holding time, long or short of 4 days.
The system focuses on support/resistance of the RSI, CCI and %R.
This is a trading range system.
KOP16 is designed for IWM only.
Results on any other index will be different. There are no inputs, and hence, no variables.
The equity curve is fairly impressive, although no stops have been applied. A breakeven floor stop will improve performance a bit and you're always encouraged to apply your own favorite stops.
For further testing ideas, I can easily imagine a KOP comprised solely of stop conditions. TS 200oi code is shown below:

Condition1 = PercentR(7) Crosses Below 95 and RSI(Close,2)Crosses Below 87;
Condition2 = PercentR(7) Crosses Above 20 and RSI(Close,2) Crosses Above 18;
Condition3 = RSI(Close,2) Crosses Above 20;
Condition4 = RSI(Close,2) Crosses Below 95;
Condition5 = RSI(Close,2) > 90 and CCI(8) > 98;
Condition6 = RSI(Close,2) < 32 and CCI(8) <32;
Condition7 = RSI(Close,2) < 32 and CCI(8) <32;
Condition8 = RSI(Close,2) > 78 and CCI(8) > 86;
Condition9 = RSI(Close,2) Crosses Below 86 and CCI(8)Crosses Below 86;
Condition10 = RSI(Close,2) < 28 and CCI(8) <20;
Condition11 = RSI(Close,2) Crosses Above 21 and CCI(8)Crosses Above 23;
Condition12 = RSI(Close,2) > 98 and CCI(8) > 98;
Condition13 = DayOfWeek(date)=2 and Close < Average(C,10);
Condition14 = BarsSinceEntry = 16;
Condition15 = DayOfWeek(date)=1 and Close > Average(C,12);
Condition16 = BarsSinceEntry = 14;

If Condition2 OR Condition11 Then Buy at Market;
If Condition1 OR Condition5 OR Condition9 OR Condition15 Then Sell This Bar on Close;
If Condition7 OR Condition13 Then Buy This Bar on Close;
If Condition3 OR Condition6 OR Condition10 Then Exitshort at Close;
If Condition4 OR Condition8 OR Condition12 OR Condition14 Then Exitlong at Market;
If Condition16 Then ExitShort at Market;

2 comments:

bill said...

hi bzb,

dont have tradestation is there a way you can post all trades. would like to just eyeball entry ,exit and market condition and price pattern.

thanks in advance..hoping to get TS very soon.

thanks

bzbtrader said...

Bill,
Sorry, but I don't see how I can post the 318 trades as it would require approximately 18 pages of print out that I would have to cut and paste or paint into blogger.