Monday, October 20, 2008

Visiting the Cheaphooker

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;

5 comments:

GS751 said...

the best thing about this system is the name lmao.

bzbtrader said...

George,
As I keep trying to emphasize, IMHO the best risk management approach is to utilize a basket of non-corrrelated systems, which is why I posted the KOP 10 and KOP Qs. My own experience with the Hooker has been very profitable, which is why I decided to share it. It works almost as well on the Qs, which is something of a surprise.

ramon said...

Hi bob, can you please clarify for me - is the only exit for this system a time based exit? I am having trouble understanding the average hold periods again. Thanks again as always!

bzbtrader said...

Ramon,
As usual, your keen eye has caught the nuances of this system. What happens is a Sell signal reverses a Buy signal and vice versa, so the BarsSinceEntry exits only kick in if there has not been an intervening BUY or Sell signal. This prevents you from being Long and Short at the same time.
For the best Hooker results use
(3,6,6,1,8,12) IWM settings for the last year.

GS751 said...

I love the equity curve idea. You make a lot of good systems for the Q's.