Copyright - Vestyl Software L. Delayed intraday data provided by DDFPlus. They are provided purely for informational and research purposes. I did notice one discrpancy between the filters listed and the ones O'Connor lists in his book. I therefore assume that he is using the standard Bollinger Band settings of 20,2. A similar backtest on your proposed settings for the long filter yields the following results: I think I will stick with the standard settings for now.
SPY ratio is more than 2 standard deviations below its MA Likely reversion to the MA. Short Filter - EWH - composite score of 4 out of a possible 6. It has gone up 4. EWZ - composite score of 4 out of a possible 6. How do you determine when to exit with a profit though, since the systems have different exits. Are you just picking one and going with it?
As to which exit to take - assuming that 4 separate filters call this one as a long or short, then take the first filter exit that is triggered. Save the cash for something else. I tried using to with no profit or stop losses, no max of days to hold etc. In fairness, I recognize that certain aspects of Connors strategies cannot be coded.
Just wondered your thoughts on this? You can boost your return on account considerably by increasing your trade size reduce max number of daily or open trades.More...