Thursday, September 18, 2008

KOP Qs

Well that was an interesting day which I suspect many will label a classic one day reversal. We shall see. In the meantime, the XLFs traded a mind boggling 852 million shares today as yesterday's hated financials became today's must haves.
Although the vast majority of the systems I have profiled over the past few months have featured IWM, I have not forgotten my beloved Qs and am therefore posting a Qs version of the KOP format.
I actually like this system quite a bit and it's unusual to find this type of risk control with the Qs when not employing stops.
I've merged Grand Slam 2 and the %R RSI2 system and added a couple wild cards to create this simple KOP. The max consecutive losers is very attractive . . 2 for both the long and short side and the max intraday drawdown on the longs is half of the IWM model (short side, a little different story). With 304 trades over 283 weeks, this is an active system with short exposure. . . average 2 days for the longs and 3 days for the shorts.
The downside is that average trade gain is only $43/100 shares so you need to deploy some capital with this system in order to make it worthwhile. A fixed bar exit (BarsSinceEntry) of 8 increases yield a bit and is can easily be tacked on the code.
Something for you to play with but (IMHO) definitely useful as a stand alone short term timing model for the Qs.
TS 2000i code shown below:
For those who don't have TS 8.3 and are considering it, TS is waiving platform fees until 12/31 for new accounts ($5000 minimum). This is not a solicitation or endorsement of TS, just an FYI.
Go to http://www.tradestation.com/ for details, if interested.

Condition1 = PercentR(3) Crosses Below 81 and RSI(Close,2) Crosses Below 77;
Condition2 = PercentR(3) Crosses Above 13 and RSI(Close,2) Crosses Above 27;
Condition3 = RSI(Close,2) > 80 and CCI(7) > 82;
Condition4 = RSI(Close,2) < 31 and CCI(7) < 30;
Condition5 = RSI(Close,2) < 29 and CCI(7) < 39;
Condition6 = RSI(Close,2) > 81 and CCI(7) > 89;
Condition7 = Close > High[1] and High[1] > High[2];
Condition8 = Close Crosses Above Average(close,12) Or LinearRegValue(Close,27, 0) > 50;

If Condition1 OR Condition3 OR Condition7 Then Sell This Bar on Close;
If Condition4 Then ExitShort This Bar on Close;
If Condition2 Then Buy at Market;
If Condition6 Then ExitLong at Market;
If Condition5 Then Buy This Bar on Close;If Condition8 Then ExitLong This Bar on Close;

6 comments:

Cuccaa said...

Thank YOU! Finally, a Q's system, I shall immediately test it out, and then proceed to totally screw it up, hahahahahahaha!!

Cuccaa said...

Are you working with 8.3 now??

bzbtrader said...

Cucca,
I'm in the process of funding an 8.3 account, but not active yet. Was surprised to hear that the TS cash sweeps pays next to nothing, I get over 2% on my Schwab money.

bzbtrader said...

Cucca,
FYI, pyramiding is NOT turned on for the posted KOP Qs. Try it out with the middle pyramid setting, the results are significantly improved (but so is the max intraday drawdown).

chancee said...

Just ran across our site... what time frame are you running this strategy on?

bzbtrader said...

chancee,
The way you read these studies is to look at the top of the Performance Summary Report. That tells you the frequency (daily) and the time range (2003-2008).
Hope that helps.