7 Winning Trading Systems Reviewed - 3 Day High/Low

Still, if someone bought the book and traded this strategy, they would come out with a 25.17% profit and a 15.35% draw-down.

Jan 1,2002 - Aug.1,2012

Profit = 112084.70 (112.08%), CAR = 7.36%, MaxSysDD = -32323.67 (-15.19%), CAR/MDD = 0.48, # winners = 1025 (73.79%), # losers = 364 (26.21%) 

Jan 1,2009- Aug.1,2012

Profit = 22155.67 (22.16%), CAR = 5.74%, MaxSysDD = -18627.71 (-15.19%), CAR/MDD = 0.38, # winners = 381 (71.48%), # losers = 152 (28.52%) 

Jan 1,2002 - Aug.1,2012:

Jan 1,2009- Aug.1,2012:

Detailed Stats:

Here are the detailed stats for the Non aggressive versions

2002-2012

Out-of Sample 2009-2012

Statistics

	All trades	Long trades	Short trades
Initial capital	100000.00	100000.00	100000.00
Ending capital	122155.67	104344.90	117810.77
Net Profit	22155.67	4344.90	17810.77
Net Profit %	22.16 %	4.34 %	17.81 %
Exposure %	11.07 %	6.02 %	5.05 %
Net Risk Adjusted Return %	200.07 %	72.15 %	352.54 %
Annual Return %	5.74 %	1.19 %	4.68 %
Risk Adjusted Return %	51.82 %	19.81 %	92.56 %
All trades	533	300 (56.29 %)	233 (43.71 %)
Avg. Profit/Loss	41.57	14.48	76.44
Avg. Profit/Loss %	0.41 %	0.17 %	0.73 %
Avg. Bars Held	4.91	4.79	5.08
Winners	381 (71.48 %)	216 (40.53 %)	165 (30.96 %)
Total Profit	76958.35	38256.95	38701.39
Avg. Profit	201.99	177.12	234.55
Avg. Profit %	1.83 %	1.58 %	2.17 %
Avg. Bars Held	3.62	3.47	3.82
Max. Consecutive	24	23	28
Largest win	948.27	835.21	948.27
# bars in largest win	3	2	3
Losers	152 (28.52 %)	84 (15.76 %)	68 (12.76 %)
Total Loss	-54802.67	-33912.05	-20890.62
Avg. Loss	-360.54	-403.71	-307.21
Avg. Loss %	-3.15 %	-3.45 %	-2.77 %
Avg. Bars Held	8.15	8.18	8.12
Max. Consecutive	10	10	10
Largest loss	-1767.74	-1767.74	-1361.94
# bars in largest loss	13	13	13
Max. trade drawdown	-2277.55	-2277.55	-1726.40
Max. trade % drawdown	-18.92 %	-18.92 %	-16.66 %
Max. system drawdown	-18627.71	-19432.71	-8024.43
Max. system % drawdown	-15.19 %	-16.39 %	-7.07 %
Recovery Factor	1.19	0.22	2.22
CAR/MaxDD	0.38	0.07	0.66
RAR/MaxDD	3.41	1.21	13.10
Profit Factor	1.40	1.13	1.85
Payoff Ratio	0.56	0.44	0.76
Standard Error	3221.90	5001.76	2781.37
Risk-Reward Ratio	1.33	0.35	0.91
Ulcer Index	2.70	5.92	2.31
Ulcer Performance Index	0.13	-0.71	-0.31
Sharpe Ratio of trades	1.05	0.41	1.75
K-Ratio	0.0459	0.0121	0.0314

Amibroker code:



//Code by VangelisM. (aka - sanzprophet )
//Part of Code taken by afl from Library - Paul's "Connors TPS - ETFs.afl"


Plot( C, "Close", ParamColor("Color", colorBlack ), styleNoTitle | ParamStyle("Style") | GetPriceStyle() ); 
SetBacktestMode( backtestRegularRaw );
aggresive=ParamToggle("Agreesive?","NO|YES",0);
Buy=Sell=Cover=Short=0;
SetTradeDelays(0,0,0,0);
BuyPrice=SellPrice=CoverPrice=ShortPrice=C;
qty=Param("PositionScoretions",1,1,50,1);
SetOption( "MaxOpenPositions", qty );


if(!aggresive)
{
aboveMA=C>MA(C,200);
belowMA5=C<MA(C,5);
Low3= H<Ref(H,-1) AND Ref(H,-1)<Ref(H,-2) AND Ref(H,-2)<Ref(H,-3)
AND L<Ref(L,-1) AND Ref(L,-1)<Ref(L,-2) AND Ref(L,-2)<Ref(L,-3);


Buy1=aboveMA AND belowMA5 AND Low3;
Buy=Buy1;
Sell=!belowMA5;
Sell=ExRem(Sell,Buy);


High3= H>Ref(H,-1) AND Ref(H,-1)>Ref(H,-2) AND Ref(H,-2)>Ref(H,-3)
AND L>Ref(L,-1) AND Ref(L,-1)>Ref(L,-2) AND Ref(L,-2)>Ref(L,-3);


Short1=C<MA(C,200) AND !belowMA5 AND High3;
Short=Short1;
Cover=belowMA5;


PositionSize=-98/qty;
PositionScore=IIf(Buy,100-RSI(3),RSI(3));


}


if(aggresive)
{


aboveMA=C>MA(C,200);
belowMA5=C<MA(C,5);
Low3= H<Ref(H,-1) AND Ref(H,-1)<Ref(H,-2) AND Ref(H,-2)<Ref(H,-3)
AND L<Ref(L,-1) AND Ref(L,-1)<Ref(L,-2) AND Ref(L,-2)<Ref(L,-3);


Buy1=aboveMA AND belowMA5 AND Low3;
Sell=!belowMA5;




High3= H>Ref(H,-1) AND Ref(H,-1)>Ref(H,-2) AND Ref(H,-2)>Ref(H,-3)
AND L>Ref(L,-1) AND Ref(L,-1)>Ref(L,-2) AND Ref(L,-2)>Ref(L,-3);
Short1=C<MA(C,200) AND !belowMA5 AND High3;
Cover=belowMA5;




BarsSinceSell = BarsSince(Sell);
InFirstPos =Flip(Buy1,Sell);
FirstTrigger = ExRem(InFirstPos, Sell);
BarsSinceFirstTrigger = BarsSince(FirstTrigger);
FirstTriggerPrice = IIf(BarsSinceFirstTrigger < BarsSinceSell,Ref(C,-BarsSinceFirstTrigger), 0 );


SecondEntry = aboveMA AND C < FirstTriggerPrice AND InFirstPos AND Ref(InFirstPos,-1);
InSecondPos = Flip(SecondEntry, Sell);
SecondTrigger = ExRem(InSecondPos, Sell);
BarsSinceSecondTrigger = BarsSince(SecondTrigger);
SecondTriggerPrice = IIf(BarsSinceSecondTrigger < BarsSinceSell,
Ref(C,-BarsSinceSecondTrigger), 0);


BarsSinceCover = BarsSince(Cover);


FirstShortEntry = Short1; ;
InFirstShortPos = Flip(FirstShortEntry, Cover );
FirstShortTrigger = ExRem(InFirstShortPos, Cover );
BarsSinceFirstShortTrigger = BarsSince(FirstShortTrigger);
FirstShortTriggerPrice = IIf(BarsSinceFirstShortTrigger < BarsSinceCover ,Ref(C,-BarsSinceFirstShortTrigger), 0 );
//FirstTriggerPrice = IIf(BarsSinceFirstTrigger < BarsSinceSell,Ref(O,-BarsSinceFirstTrigger+1), 0 );




SecondShortEntry = !aboveMA AND C > FirstShortTriggerPrice AND InFirstShortPos AND Ref(InFirstShortPos,-1);
InSecondShortPos = Flip(SecondShortEntry, Cover );
SecondShortTrigger = ExRem(InSecondShortPos, Cover );
BarsSinceSecondShortTrigger = BarsSince(SecondShortTrigger);
SecondShortTriggerPrice = IIf(BarsSinceSecondShortTrigger < BarsSinceCover,
Ref(C,-BarsSinceSecondShortTrigger), 0);


PositionSize=-98/qty;
PositionScore=IIf(Buy OR SecondEntry ,100-RSI(3),RSI(3));


Buy=IIf(Buy1,1,IIf(SecondEntry AND Sum(Secondentry,BarsSinceSell)==1 ,sigScaleIn,0));
Short=IIf(Short1,1,IIf(SecondShortEntry AND Sum(SecondShortentry,BarsSinceCover)==1 ,sigScaleIn,0));
}


GfxSelectPen( colorBlack, 2 ); 
GfxSelectFont("Times New Roman", 12, 200, False ); 
GfxTextOut("3 Day High/Low",10,20);




shape = Buy * shapeUpArrow + Sell * shapeDownArrow;


PlotShapes( shape, IIf( Buy, colorGreen, colorYellow ), 0,C );