December 26th, 2011 | 
Author: Intro
This is the first strategy built entirely using patterns discovered from the tstPattern Searching software. The strategy is set to exit after being in the trade for 5 bars. Obviously, 5 bars is not an ideal exit. However, it provides a uniform baseline to build with room to improve in the future. The pattern consists almost entirely of RSI based inputs.
The in-sample testing period consists of 6/1/2001 – 1/1/2011 on 5 minute ES bars.
Pattern Inputs
AddParam(RSI(3,1)[0],”RSI3 “);
AddParam(RSI(7,1)[0],”RSI7 “);
AddParam(RSI(14,1)[0],”RSI14 “);
AddParam(RSI(21,1)[0],”RSI21 “);
AddParam(RSI(30,1)[0],”RSI30 “);
AddParam(RSI(45,1)[0],”RSI45 “);
AddParam(RSI(60,1)[0],”RSI60 “);
AddParam(ADX(3)[0],”ADX3 “);
AddParam(ADX(21)[0],”ADX21 “);
AddParam(ADX(45)[0],”ADX45 “);
AddParam(RSI(ATR(5),3,1)[0],”RSIATR5 “);
AddParam(RSI(ATR(14),3,1)[0],”RSIATR14 “);
AddParam(RSI(Volume,3,1)[0],”RSIVOLUME3 “);
Observations
When we ran the pattern searching software against our testing file a total of 220 patterns exceeding statistical significance were generated. Shown here is the top pattern discovered. Keep in mind, because this is only one pattern, the number of trades is a bit low. Because of this we also validate the pattern against the Dow Mini (YM). This allows us to feel more confident that the pattern is not simply curve fit to the ES data.
Strategy In-sample Results
Profit: $26,192
PF: 2.14
Trades: 650
Win %: 62.26
Expectancy: +$41.40 per contract
Strategy Out of Sample Results (1/1/2011 – 12/1/2011)
Profit:$5,062
PF: 2.19
Trades: 97
Win %: 67.01
Expectancy: +$52.19
Strategy On YM
Profit: +$22,770
PF: 1.70
Trades: 827
Win %: 59.61
Expectancy: +$27.53
Summary
This new method for generating strategies has a lot of promise, but a lot of work left to do. We have built the main pattern reading software into a DLL so that we can distribute it with the strategy. Although we have built this blog to share with the world our techniques, there still exists IP that we do not wish to share completely. Before you can use the pattern below, you must install the pattern reading software. Follow the instructions here: DLL Installation
Download Pattern Strategy
Download Pattern File
Posted in