!RL_WW Strategy and Backtesting Vers 1.0

By : July 31, 2011 at 10:50 am

Backtesting Strategy:

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!RL_WW Strategy:

 

This is a strategy for back-testing and research.  I have enclosed both the ELD and a sample worksheet using the strategy and with TradeStation’s Timed Exits (exit on a fixed number of bars).  You of course can use any exit you wish.  This strategy only goes long or short.  If you do not provide your own exits, the strategy will stay in the market 100% of the time, alternating between long and short.

 

The inputs are :

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Input Description
adv_up: Data Stream containing either the advancing or up volume symbol
dec_dwn: Data Stream containing either the declining or down volume symbol
len: The length of the interested ADT or UDT
buyThrustLength: The time window to look for a Buy Thrust move (if negative looking for a downward thrust  from Overbought to Oversold)
0 = disable thrust buying
sellThrustLength: The time window to look for a Sell Thrust Move (if negative looking for a downward thrust  from Overbought to Oversold)
0 = disable thrust selling
os_buy: The oversold  value for the buy logic
ob_buy: The overbought value for the buy logic
os_sell: The oversold  value for the sell logic
ob_sell: The overbought value for the sell logic
buyX: Buy on a cross of the absolute value of this input, if the input is negative the cross is above to below, if positive the cross is below to above
0 = disable cross trigger for a buy
shortX Short on a cross of the absolute value of this input, if the input is negative the cross is above to below, if positive the cross is below to above
0 = disable cross trigger short
enbText If set to true some text will appear on the screen indicating what entry condition the strategy is looking for
rev: Current revision of the strategy.

 

There are two modes of entry in this strategy.  A thrust mode and cross mode.  Both can be disabled by placing a zero in their values.

 

It is possible to have both modes on by simply setting their values as desired.

 

Example WorkSheet Setups:

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Example #1: Buy and Shorting Thrusts (left)

 

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This is  the worksheet example that is packaged with the strategy:

 

  • In our example, data stream 4 is setup with $ADV, the NYSE advancing issues symbol. Data stream 5 is setup with $DECL or the NYSE declining issues symbol.
  • ADT length is set to 7 bars on our daily chart, so we are looking at an ADT7 calculation.
  • For a buy we are interested in a thrust length of 14 (a move from over sold up to over bought in 14 trading days) or for a sell or short we want a downward thrust of -7 (a move from overbought down to oversold in a 7 day period).
  • The levels considered oversold for the short and buy are both 35.8, for overbought 63.
  • The cross over mode is disabled via the buyX and shortX inputs set to zero
  • We have enabled the handy text to tell us how we are setup:

 

So what is the strategy doing?

Each bar, the strategy is generating a new ADT7 and looking over the past 7 bars to see if we have moved up from 35.8 to 63 in the last 14 trading days.  If so then we want to buy the next bar.

 

Or because we have a –7 in the shortThrustLength input, if our ADT7 has moved from 63 (ob) to 35.8 (os) during 7 trading days, we want to short the next bar.

 

Our example worksheet has a time bar exit strategy inserted for both closing shorts and longs.  The settings on these time exits are 5 bars.

 

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Example #2: Watiing for a Cross for buying or shorting. (right chart)

 

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This example also looks at the NYSE advancing and declining issues setup on data stream 4 and 5 respectively.

We are :

  • Interested in an ADT7
  • The buy and short thrust trading logic is disabled via the 0 in buyThrustLenght and ShortThrust length
  • We ignore the settings in os_buy, ob_buy, os_sell, ob_sell since we are not in thrust mode
  • buyX is set to –50.5 so we want to go long when the ADT7 crosses below 50.5 (since it is a negative number)
  • sellX is set ot 46.99 se we want to short when the ADT7 crosses above 46.99
  • Hand text is enabled
  • We want the text place at 95% above the bottom of the screen

These ELDs and worksheets are available to gold members only.  If you are interested in joining you can do so here:

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This content is only available to premium members. If you would like to join and have access to all my indicators checkout the current special being offered here: <a href=”http://www.redliontrader.com/membership/”>Premium Membership </a>

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Download Strategy ELD:

 

Download Strategy Example Worksheet

 

If you have any questions or issues email: marlin@redliontrader.com or 617-803-4776.

Enjoy!

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