Monday, January 26, 2009


I'm embarking on a streamlining and update of the BZB Dirty Dozen systems. In the process I intend to get back to the focus of my months long exploration (begun May 2008) of using a basket of non-correlated systems (KOP) with a small baskets of ETFs in order to generate a high probability, low exposure revenue stream.
Today's post is one step in that direction. In this case SAR stands for Support And Resistance, not stop and reverse. Basically, I'm looking for tells when the RSI2 is about to roll over to the upside or the downside. I've found that a 2 day lookback yields the most consistent results. . . further back than that cuts into the equity curve considerably.
Those first drawdowns, putting the equity curve in negative territory are essentially all short trades, which bears a closer look as I merge this code into the new KOP. The problem there is that the fixed exit is set at 10, which caused early 3-4 day short gains to become losses as the market rallied. Adding a trailing stop should help fix that problem and will, of course, be a component of the new Son of KOP.
What the fixed bar Exits does reveal is a fairly consistent timing cycle "fingerprint" of each ETF (when other ETFs are tested and optimized).
As with many of the other RSI2 systems I've tested over the past year, 20 and 80 continue to perform as consistent S & R levels for the IWM.
TS2000i code is below and open code is posted as comment #1.

1 comment:

bzbtrader said...

Inputs: Len(4), len2(10), OverSold(21), Overbought(80);

If RSI(Close,2)[1]< RSI(Close,2)[2]
and RSI(Close,2)[2]< RSI(Close,2)[3]
and RSI(Close,2) Crosses Above Oversold
Then Buy This Bar at Close;

If BarsSinceEntry = Len
Then ExitLong This Bar at Close;

If RSI(Close,2)[1]> RSI(Close,2)[2]
and RSI(Close,2)[2]> RSI(Close,2)[3]
and RSI(Close,2) Crosses Below Overbought
Then Sell This Bar at Close;

If BarsSinceEntry = Len2
Then ExitShort This Bar at Close;