For this update I've turned on pyramiding, which requires a maximum risk exposure 0f 600 shares in 100 share increment positions.
As expected by the trend confirming requirements of the 3FR, the system has prevented any short entries since March 5th, when the last pyramided short trade ended dead on the trend reversal.
As with yesterday's review of the 3FL, the performance metrics still show an 80+ % return and the equity curve is shown below. The revised input settings for the system are (46,5,14,10). The code remains the same.
As with the 3FL mentioned yesterday, an ongoing project is the development of fractal versions of the system using 2, 10 and 30 minute bars to generate more trades and, hopefully, enhanced returns over the same timeframe.
And finally, under the heading of "Articles I wish I'd seen earlier", this nugget from Bespoke.