Registered User
Joined: 6/30/2017
Posts: 1,227
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Happy Hump Day Bruce!
It's Larry-Connors-Week here at Starbucks, and I dusted off an old pulback setup. This one uses Wilder's instead of Connors' RSI, so I can use TC2000 for this instead of AmiBroker. (I can't/won't give up my TC2000! :)
Let's try to get this all done in one post ...
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Price filter: I got this.
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Volume filter: Got it.
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100‐day Historical Volatility: Got it. (Thanks!)
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ADX filter: Got it.
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Closed down for N‐1 of the last N trading days, where N = 4, 5, or 6, so I could use PCFs that are true for the following conditions:
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Closed down 3 of the last 4 days
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Closed down 4 of the last 5 days
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Closed down 5 of the last 6 days
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Today the stock’s lowest price is at least X% (X = 3, 4, 5, or 6) below the previous day’s. Looks like I need four PCFs. Or one template.
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2‐period RSI filter. Got it.
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If the above rules are met today, buy the stock tomorrow on a further intraday limit Z% below today’s closing price (Z = 4, 6, 8, 10). We talked about this earlier; thanks!
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RSI(2) Exit. Got it.
That's it. I can handle all but two of the conditions. Before long, I'll have that yacht in my driveway.
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Registered User
Joined: 9/17/2010
Posts: 484
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Closed down for N‐1 of the last N trading days, where N = 4, 5, or 6, so I could use PCFs that are true for the following conditions:
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Closed down 3 of the last 4 days
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Closed down 4 of the last 5 days
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Closed down 5 of the last 6 day
TrueInRow(C<C1,4)=3 or TrueInRow(C<C1,5)=4 or TrueInRow(C<C1,5)=4
if one day must be up or use >= if all days could be down
Today the stock’s lowest price is at least X% (X = 3, 4, 5, or 6) below the previous day’s. Looks like I need four PCFs. Or one template.
L<C*.97
if below previous day's Close. Use L instead of C if below previous day's Low. Why test for different per cents? If its at least 3% below, then it could be 4%, 5% or 6% (or more)
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Registered User
Joined: 6/30/2017
Posts: 1,227
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Thanks, b!
For the Closed down for N-1 of the last N trading days... condition, the intent is to pick one of the criteria in advance, so I'll lose the OR's and chop the code up into three PCFs. Larry's strategies usually give you a choice of values for each input parameter, so you can tailor it to your preferences.
For the second criteria, again, Larry's setups give you a choice. In this case, if you want more trades (the tradeoff being lower returns) you can choose to look for 3%. If you want fewer trades but a higher return, look for 6%, If you want something in between, look for something in between.
That's what I appreciate about Connors' research, it is ALL quantified. You can look at the test results and pick-your-poison, to steal a cliche. Or in this case, pick-your-profits.
There are no magic parameter values - each one involves a tradeoff. It's up to the individual how he/she wants to trade according to their individual plan.
Can't wait for Friday's webinar. Thanks for the link. The book looks very promising. Bummer about TC2000 not being able to handle ConnorsRSI. I may have to add AmiBroker to my toolbox. Oh, well - the barista will thank me later. Fewer tips now, bigger tips later! lol.
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