Replies to post #13464 on ETF SWING & DAY TRADING

[MetalFillBoy]

RE: positiontrader,WLD: R3/RSI 2 system.

PT,

Wanted to let you know that I did get a chance to look at Connors R3 system this weekend, but do not have the results in front of me (they are at home). I will post a system backtest results tonight sometime.

Some observations (from memory, using the SPY from 1/1/1995 to present):
- close to 90% on the long side correct.
- close to 70% on the short side correct.
- In the market only 20% (long and short).
- Avg winning was bigger than avg loser.

WLD:
Having some experience in doing some backtesting of system, for this system, I sweeped two of the parameters on the long side. One was with rule 1: If the market is above a 200 day SMA. The other was the sell rule: Sell when the RSI(2) closes above 75.

I swept rule 1 from 10 to 300 in 10 day steps. From 20 to 280 day SMA, the system results when up, then declined. There was not a "spike" in returns at 280; if plotted, it made a rolling hill (for lack of a better phrase).

I swept the sell rule from 55 to 95 in steps of 5. Once again, results grew from 55 to 85 and then declined from there. No spike in the returns at 85.

If you wanted to "curve fit" the parameter to the SPY, you could use the 280/85 parameters. From this point of view, it would appear that Connor did not curve fit his parameters, and if you move the numbers around in any directions, you still get some decent results.

Of cource I have not covered all possible combos for this system and I am sure you will still find some scrunity in his system, but it would still appear to be a good system to trade.

Once again, I will post system backtest results sometime tonight.

Any and all comments are welcome!

Metal
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