The time period under investigation is only the last year. Extending the test period back 5 years requires a little tweaking of the hold period and the lookback period for highest values, but still proves robust.
I like the max consecutive losers . . 1 . . and the 82% profitable is a nice risk/reward ratio. Max drawdown is a bit of a concern for this size account, and I'll explore possible ways to scale it back in future posts.
This is the optimization report for a 10 day holding range. Not sure what's magic about 9 days, but that's the number to hit for the past year. Holding this short anywhere from 3 to 9 days pays out a respectable amount. The other lesson to be learned from this little system is that new highs have been followed by extended selloffs, not continued new highs.
TS200i code shown below:
If Close=highestFC(close,1) and Low=highestFC(low,1) and High=highestFC(high,1)
Then Sell This Bar at Close;
If BarsSinceEntry=9 Then ExitShort this bar at close;