Short Swing Trading

[SaidBitar]

Hi All

this strategy is based on the book Short Swing Trading that was deposited by Nick in this forum. So few weeks ago i coded it exactly as it is.
I will post parts/all the code so we can verify it and work to improve it.

here is a summary for those that did not read/finish the book yet

//General Information and Source

Source : Short Swing Trading book
System Type : Swing Trading
System Duration : Daily
//

---

//Index Filter

50 Days MA of the $SPX
//

---

//Entry

+DI Crossing or touching -DI
Enter if the price passed the last significant high
//

---

//Exit

Initial Stop:
just bellow the previous significant low
Trailing Stop:
just bellow the low of the new significant bar
if the ROC(C,1) > 5% the trailing stop is 50% of the bar
//

---

//Position size

5% Risk on any one trade
//

---

*/

[SaidBitar]

here are the results of single run
Universe Russell 3000
Price filter from 10 – 100$
1/1/1995 – 2/17/2016

[SaidBitar]

[SaidBitar]

Here how a trade looks like

[SaidBitar]

Entry condition 1
the stock should be above the 50 days MA

Code:

//Stock MA
PF1 = ParamField(“Channel Top Price Field”,3);
MAD = Param(“Share MA Duration”, 50,1,300,1);
MaVal = MA(PF1,MAD);

Entry condition 2
+DI Crossing or touching -DI
Enter if the price passed the last significant high
duration of Directional movement is 8 periods

Code:

//Directional Movement
DIPeriod = Param(“DI Periods”,8,1,300,1);
PlusDI = PDI(DIPeriod);
MinusDI = MDI(DIPeriod);

Buy entry
Enter if the price passed the last significant high
inside bars are not counted

Code:

StopBuyPrice = IIf(H < Ref(H,-1) AND L > Ref(L,-1),IIf(Ref(H,-1) < Ref(H,-2) AND Ref(L,-1) > Ref(L,-2),Ref(H,-2) + 0.01 ,Ref(H,-2) + 0.01),H + 0.01);

here i am checking to remove the inside bars for the last 3 days and the stop buy price is 1 cent above the high
in order to check more than 3 days (which is more as per the book) then a loop should be created but for the moment i will leave it like this

Entry Conditions

Code:

//Conditions
Cond1 = C > MaVal;
Cond2 = Cross(PlusDI,MinusDI); // test with touching
Cond3 = HDBFilter AND UniverseFilter AND IndexFilt AND OptFilt;

note that the index filter is 200 days MA of the $SPX
the reason that i moved touching condition is that the universe is huge enough maybe later it can be tested with touching condition

[SaidBitar]

Initial Stop:
just bellow the previous significant low
just bellow is 0.5% of the price bellow the low

Code:

InitialStop = IIf(H < Ref(H,-1) AND L > Ref(L,-1),IIf(Ref(H,-1) < Ref(H,-2) AND Ref(L,-1) > Ref(L,-2),Ref(L,-2) * 0.995,Ref(L,-2) * 0.995),L *0.995);
InitialRisk = C – InitialStop;

again here loop can be used to determine the exact low but i think the above condition is capable of catching it.

Buy Set up

Code:

BuySetUp = Cond1 AND Cond2 AND Cond3;
LE = Ref(BuySetUp,-1) AND NT==0 AND H >= Ref(StopBuyPrice,-1) ;

NT is just to check if the stock is going to be delisted

Trailing Stop:
just bellow the low of the new significant bar
if the ROC(C,1) > 5% the trailing stop is 50% of the bar

Code:

//=================================================================================================
//Looping
//=================================================================================================
Buy = 0;
Sell = 0;
PriceAtBuy = 0;
LBIT = 0;
LStop = Null;
ROCD = Ref(ROC(C,1),-1);

//————————————————————————————————-
for( j = 3;j < BarCount;j++) { if(PriceAtBuy == 0 AND LE[j]) { Buy[j] = True; BuyPrice[j] = Max(O[j],StopBuyPrice[j-1]); PriceAtBuy = BuyPrice[j]; LBIT[j] = 1; LStop[j] = InitialStop[j-1]; LStop[j-1] = InitialStop[j-1]; if(LBIT[j] > 1 AND C[j-1] <= LStop[j-1]) { Sell[j] = True; SellPrice[j] = Open[j]; PriceAtBuy = 0; } } if(PriceAtBuy > 0)
{
LBIT[j] = LBIT[j-1] + 1;
if(LBIT[j] > 1)
{
if(H[j-1] < H[j-2] AND L[j-1] > L[j-2])
{
if(H[j-2] < H[j-3] AND L[j-2] > L[j-3])
{
LStop[j] = Max(LStop[j-1],L[j-3] * 0.995);
}
else
{
LStop[j] = Max(LStop[j-1],L[j-2] * 0.995);
}
}
else
if(ROCD[j] >= 5)
{
LStop[j] = Max(LStop[j-1],(H[j-1]-L[j-1])/2 + L[j-1]);
}
else
{
LStop[j] = Max(LStop[j-1],L[j-1] * 0.995);
}
}

if(LBIT[j] > 1 AND (C[j-1] <= LStop[j-1] OR NTEx[j])) { Sell[j] = True; SellPrice[j] = Open[j]; PriceAtBuy = 0; } } } //-------------------------------------------------------------------------------------------------

[SaidBitar]

So technically that’s all, everything else i.e. plotting and exploring and filters are as per the course.

[Nick Radge]

Nice work. Thanks Said.

A low Profit Factor is reason to investigate the system a little deeper. A low profit factor is easier to cope with when you have a high trade frequency, but less so when you have a low trade frequency.

[Author]

Posts