Size matters

Above are results for the HLC Low system for IWM, Qs and SPY.

Optimimized inputs are as follows: IWM 7,14 ; Qs 4,13; SPY 2,13

Average % profitable is 70%.

I haven't explored the importance of volume in the systems I've previously profiled, but here's a quick look at what happens when we add a volume component to the HLC Low system.
TS2000i code for the 3 performance reports below now reads:

Inputs: Len1(2), Len2(9);
If Close=HighestFC(close, Len1) and low=highestFC(low, Len1) and high=highestFC(high, Len1) and Volume=highestFC(Volume,Len1)
Then Sell This Bar at Close;
If BarsSinceEntry=Len2
Then ExitShort this bar at Close

The code highlighted in blue is the sole addition to the previous HLC Low code.

We could tweak the system a little further by making the volume length a separate input variable (Len3), but I'll leave that testing to my more motivated readers.

Note that the Inputs for IWM have been optimized to 2,9. The top optimized value is actually 2,13, which yields an additional $1000, but from a risk management perspective I prefer this max consecutive win/loss ratio in lieu of the enhanced return.

Optimized Inputs for the Qs are 1,12.

Optimized Inputs for the SPY are 1,14.

The average % profitable for the 3 examples has now risen to 83% with a considerably improved max consecutive win/loss ratio.

This system is just something to play around with and should be regarded only as a jumping off point for further volume impact explorations. Nevertheless, the win/loss ratios and % profitable numbers are very impressive and may warrant the time and effort of additional testing.

Keep in mind these are all SHORT ONLY examples. The long side trades perform no where near as well, no doubt reflecting the downtrend momentum of most of the test period. This can also be noted in Monday equity curve profile, where the first dozen trades produced only marginal returns since the markets were still uptrending at that point.