i went at this a bit different. instead of looking for the best number of days to keep the trades open, i looked for the best number of red and/or white days to keep them open...while limiting the total open time to less than 7 days.
i tested against individually against NDX, SPX and DJIA, took the values that appeared to do best across all three, and simulatated against past 5 years using constant 20% of equity for each trade. buy and hold returns ~5% over the same period.
SPX produced the worst results, and going long was more consistent across the three indexes than going short. as others have noted, the market is not symmetrical.
4 red candle long
white/red candle limits
best NDX : 4/2, 3/3, 4/3
best SPX : 99/3, 4/3, 3/3
best DJIA : 4/3, 4/2, 3/3
4/3
98 wins / 58 losses
27% return while being in cash 94% of the time
max drawdown was 5%
4/2
51 wins / 49 losses
26% return while being in cash 95% of the time
max drawdown was 4%
4 white candle short
white/red candle limits
best NDX : 3/4, 3/2, 2/2
best SPX : 2/2, 2/3
best DJIA : 2/2, 2/1, 3/2
2/2
50 wins / 28 losses
14% return while being in cash 97% of the time
max drawdown was 2% |
