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March 2011 Stocks and Commodities Traders Tips


Three-Bar Inside Bar Pattern:

AIQ Version:

Original article by Johnan Prathap
AIQ Code by Richard Denning

The AIQ code for the system from the article by Johnan Prathap’s, “Three-Bar Inside Bar Pattern”, is shown below. I tested the system on three ETFs, SPY (SP500 Index), IWM (Russell 2000 Index), and QQQQ (NASDAQ 100 Index) over the period 1/1/2001 to 1/11/2011. I did not allow exits on same bar as entries as it is impossible to tell whether the stop loss or the profit target would have been hit on the day of entry. Hence all exits where applied on the second bar of the trade. The long trades for the portfolio lost an average of 0.17% per trade on 119 trades. The short trades lost an average of 0.24% per trade on 170 trades. The average holding period was 1.6 bars. Commission and slippage were not considered in these results.

EDS Code for Three-Bar Inside Pattern:
ThreeBarInside.EDS
(right click and choose Save As)



Traders Studio Version :

Original article by Johnan Prathap
Traders Studio Code by Richard Denning

The TradersStudio code for Johnan Prathap’s article, “Three-Bar Inside Pattern” is shown below. In testing the trading system suggested by the author, I used Pinnacle data for the same three futures contracts, ZG (electronic gold), ZU (electronic crude oil) and ZI (electronic silver). I used the electronically traded data since the pit trading for these contracts has nearly disappeared and the volumes are too light. Unfortunately I was not able to obtain results that were close to the author’s as the consolidated portfolio lost $1,650 with a maximum draw-down of $29,810 trading one each of the three contracts. In addition, no provision was made for commission and slippage. The difference in performance is probably due to the difference in the data between the Tradestation data (which the author used) and the Pinnacle data.

In Figure 1 & Figure 2, I show the resulting consolidated equity curve and consolidated underwater equity curve, respectively, for the portfolio of futures contracts using Pinnacle data for the electronically traded contracts.

Traders Studio Code for Three-Bar Inside Pattern:
THREE_BAR_INSIDE_TSZ.zip
(right click and choose Save As)

 

 

 

 

 

 

 

 

 

 

 

 

 

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