This is an update of my Cheaphooker system that's posted on the side panel of the blog as part of my Dirty Dozen systems. The code is the same as the original, I've just focused on a shorter time frame (14 months) in order to see how the inputs have changed. Obviously I've had to do some tweaking of the input values in order to reflect the downward market bias for the past year The system has a great balance of longs and shorts and has produced excellent max consecutive loser ratios. Although the system generates a good risk/reward return, another way to use this system is to monitor the equity curve and pay attention when it starts to flatten out.
TS2000i code shown below:
I've left the code with programmable inputs so you can run optimization tests on other ETFs, stocks, etc. that might better suit your trading interests.
Inputs: Len1(3), Len2(10), Len3(18), Len4(1), Len5(10), Len6(10);
Optimized inputs: Len1(3), Len2(6), Len3(6), Len4(1), Len5(8), Len6(12);
If DayOfWeek(date)=Len1 and Close < Average(C,Len2)
Then Buy This Bar on Close;
If BarsSinceEntry = Len3
Then ExitLong at Market;
If DayOfWeek(date)=Len4 and Close > Average(C,Len5)
Then Sell This Bar on Close;
If BarsSinceEntry = Len6
Then ExitShort at Market;