This is an update of my earlier post Qs Engulfing System, sometimes known as the big gulp.
For comparison sake I've used the 3/07 - current time frame that we've been playing with for the past week.
The inputs have been kept the same as the original and, as with the original, pyramiding has been turned on producing a net 4x position (both long and short) at various times .
The original test period was 10/07 to 2/09 so we've moved the current test period forward 6 months and backward 6 months.
Performance results are impressively similar with no fade-off shown in recent trades as has been the pattern with several of the other systems profiled recently.
This situation alone makes a good argument for giving credence to the candlestick signals provided by the system and supports the case for engaging non-correlated entry signals in building a basket trading system.
This is a very simple setup using a default TS algorithm (see code in original post above) and results can be improved with use of a trailing and/or breakeven stop.
Although the system doesn't generate a large net gain is does reflect several attractive features:
. .Balance between long and short trades
. .Low drawdown (especially considering max position is 400 shares at some points)
. .Max consecutive losers is 3 or less
. .Abbreviated exposure time (average is 4 days for winners, long or short)
Although there is some differential returns between the longs and the shorts (68 vs 78%) this is probably reflective of the dominate bearish trend of the test period.