Tuesday, July 08, 2008

IWM Grand Slam

Over the past few weeks I've explored some system trading possibilities using the RSI2. I also looked at the CCI as a viable system parameter and for today's study I've merged the RSI2 and CCI8 into a single system I call Grand Slam2. Both the RSI and CCI signals must be in sync for trades to trigger.
One consequence of this double entry filter is that the total number of trades is reduced. Still, the system manages to enter a trade about every 2 weeks over the 5 year test period, which is the type of trade frequency I'm looking for, if, for no other reason, to gauge the ETF's current position within the support/resistance cycle.
Here's the TS2000i code. As usual, run without any stops. Add a 2-3% fixed stop and/or a trailing stop to further enhance total performance and reduce drawdown. Be prepared to deal with whipsaws created by stops as even the cleverest algorithm has to resolve the inevitable sway of the markets, especially in the ETFs. Not necessarily a bad thing, just something to be aware of and prepared for.
Below, the equity curve. . .looking a bit more consistent than Cheaphooker over the past 10 trades, but really just another way of looking at support and resistance for the same data set.
Of interest to me. . .the length of winning and losing trades is very similar using either Cheaphooker of Grand Slam2.


Will said...

Hi Bob,

Wanted to drop you a note saying thanks for the detailed blog posts and especially for sharing your actual code.

I converted this one to test in Ameritrade StrategyDesk, then ran it again using the signals from IWM but actually buying/shorting UWM, and the results made my eyeballs fall out.

Look forward to seeing more of your work. Best wishes.

Will (formerly of dummyspots.com)

Unknown said...

Bob, I second that. Everytime you post code like this, I test it in amibroker and tweak it. I have learnt so much from your blog. Its very refreshing to actually see some simple mechanical systems that give good results.

Keep up the great work :)

bzbtrader said...

Will & Ramon,
Yesterday I had decided to stop posting TS code as nobody had expressed any feedback interest.
I may rethink that based on your comments.

ScottZ said...

Will - could you post the SD code? I'm still getting the hang of program. This looks pretty interesting...