This is part of my continuing upgrading to the BZB Dirty Dozen systems that I mentioned earlier in the week. I've decided for now to focus on improving the Qs' systems, as the IWM based systems are chugging along just fine with their original default settings. The Qs, of course, are a bit more problematic that the IWM, due to volatility, only 100 stocks in lieu of the IWM's 2000 and a number of other issues. After years of trading both these ETFs, the IWM is the much easier road to hoe for systems traders, but HEY!, I'm a glutton for punishment, so like Curious George, I'm digging in.
This particular study was inspired by a simple system developed by Larry Connors known as the Double 7s. Rules are to buy the SPY if the close is a 7 day low, and then exit the position when SPY gets to a 7 day high. Needless to say the results of this system with the Qs are pretty awful. That's because the Qs have a totally different support/resistance cycle and reflect different trader biases.
So, I've tweaked the original concept a bit and used fixed bar exits to help define the Qs cycle.
these adjustments yield a fairly reliable trading model.
The system only trades 71 times, about once a week, with an equal number of long and short trades. Drawdown is kept fairly well in check (no stops). The only thing I don't like is the max consecutive losers on the short side. 4 is pushing my comfort level, as I prefer to see a number of 2 or less.
Nevertheless, keep in mind the intent of these single system studies is to build a more robust Kit of Parts of non-correlated systems that will yield high probability EOD (at close) signals
Now I need to back up a bit and mention that for the new KOP Qs (Son of KOP Qs) I'm only going to use the backtest period of 9/14/08 to the present. That's because there's obviously been a shift in market momentum during that period and I want the systems in this version of the KOP Qs to fully reflect that. While the market dump didn't really begin until 11/08, going back to 9/14 let's me use a 50 day MA lookback without cutting into my target 11/1 start date.
TS2000i code shown below:
Inputs: Len1(9), Len2(3), Len3(5), Len4(10);
If Close = LowestFC(Close, Len1)
Then BUY This Bar at Close;
If BarsSinceEntry= Len3
Then ExitLong This Bar at Close;
If Close = HighestFC(Close, Len2)
Then SELL This Bar at Close;
If BarsSinceEntry= Len4
Then ExitShort This Bar at Close;