Now, I wasn't able to program this as an automated strategy because I haven't worked out the exit rules, those (for now) are based solely on discretion. So, the results are based on a SPY 10-min chart. I have found this timeframe to reduce whipsaw signals while also presenting ample entries for intra-day trading.
Entry is based on a First Cross signal (red/green dot on the bottom of the chart) AND a break of a two-period price channel (highest high of the last two bars, lowest low of the last two bars). I didn't include entries that broke a 2-period channel immediately following a signal entry. However, these can present opportunities that are just as good. Stops were based on the previous bar's low (for long entries, previous bar's high for short entries). These stops can also entertain some discretion depending on the range of the bar the entry is given on; if entry is a wide range bar the stop/risk can be shortened.
So, out of 29 trading sessions there were 21 entries based on the rules mentioned above.
16 entries went in your direction and relied on you to take profits accordingly.
5 entries were stopped out.
+68.75%
Here are some charts, the green vertical line marks a profitable entry taken:
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Also, I based this study strictly on SPY, simply b/c of the liquidity and relative order in the SPY tape (in other words the market cycles in and out of trends, instead of staying in a chop for long periods). So, using it successfully on other stock issues just requires some range and liquidity to be inherent (I did the same study on FCX and got 23 entries that resulted in 16 out of 7, or +69.5%).
If anyone has anything to add to (or even detract from) this post, please feel free to comment.
1 comment:
Just thought I would leave a quick thought. Why not try only the trades that trace the fast moving line below the zero line?
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