And the results are comparable to out other 3 Day Low models, if you're not intimidated by the frequency of the trades.
If Close = LowestFC(close, Len1)
The MA filter cuts the number of total trades in half, as well as the total return. With current stops in place, the only significant risk gain by utilizing the MA filter is a reduction in max intraday drawdown. The MA filter system has (surprisingly) fewer consecutive losers, a nice feature that balances the marginal loss of overall system efficiency. Worth a closer look for you code tweakers.
Again, I use these systems to gauge short term market momentum as I daytrade 5 and 10 minute bars, although I will occasionally put on a longer term 5-10 day trade to capture clearly trending markets.
I recently profiled a system I called the Grand Slam Cross (GSC) which was based on the CROSS OVER (cross back over) of overbought and oversold CCI and RSI levels. IMHO the system had a number if attractive features including a monthly frequency, relatively muted max intraday drawdown and a geat winners/losers ratio, especially the consecutive ones, which tend to make most traders waffle about the reliability of the system on anything above 3.
As I was fiddling around with the code, I tested several variations of the inputs in an attempt to goose the overall return. This is the result.
While the GSC generated respectable returns, the second system . . Grand Slam 2 (GS2), uses the same thinking but executes on the threshold of overbought and oversold levels. The Input values are optimized for the GS2 and, as expected, trigger at different levels since they are looking for the initial cross rather than the cross back. Triggers on the immediate threshold cross typically leave some money on the table as momentum is often not yet exhausted at the cross. That being said, the GS2 system puts that thinking to the test as it reflects over twice the return for the IWM over the same test period.GS2 has 3 times as many trades and the winners/losers (including consecutive losers) is still acceptable. However, what you buy with the GS2 system is the added max intraday drawdown and an increased size of the losing trades.
As usual, I have not applied any stops to this little test and, based on the results of previous studies profiled here, a breakeven floor stop or a simple stop loss should decrease that intraday drawdown and increase the bottom line.
The XLF is also showing signs of life, perhaps in the wake of surviving earnings season and the lack of any more significant bank failures (s0 far). The was no doubt a lot of short covering going on Friday and the collapse in the last 15 minutes on the XLF was indicative of the underlying weakness that's still festering there. Thinking about short the XLF and long the IWM/Qs for the near term, just to keep things in balance. My Qs SEPT 45 butterfly play hasn't turned out that great, but risk is fixed so I'm not THAT concerned.
I'll post more on the butterfly spread next week if anyone's interested. It's a nice little premium decay setup with limited risk and the potential for a nice revenue stream if the markets don't get too volatile going into the fall . . . which is just wishful thinking on my part, and has no statistical basis.
In case you missed it, Brett has a link to a new prop shop blog that will provide a little reality check about how these firms think and trade. Some insightful tips.
Here's an update of the above charts (minus the NYAD) and now in 5 minute bars so you can appreciate the commonality of the markets. The lower panel technicals are virtually identical as the markets move in lockstep. The lag in the Qs has now been eliminated with the pop to R2 mirroring the IWM. The breakout off R2 and the subsequent pullback in the first 20 minutes of 13:00 are further indications of the glue that holds this pair together and the arbitrage opportunities when divergences appear.