If you need an introduction to the Double 7s series, go here.
The graphs are the result of running an optimization report in AmiBroker. Testing in Tradestation yielded an optimum setting of 2 and 11 days, rather than the 7 and 7 as publicized by TradingMarkets. The AmiBroker report confirms the Tradestation results.
Some explanations are in [...]
I thought the above equity curve might capture some attention. I’ll explain how we get to that beauty in a bit.
Over the last few weeks, I’ve been Deconstructing the Double 7s, analyzing the system metrics, and hoping that there might be an improvement that can be made.
Mikey may have saved me some time with his [...]
TradingMarkets does a good job of providing technical setups, as well as trader education services, with most of it available free-of-charge. Some of the recent publications from TradingMarket’s Larry Connors and authors Cesar Alvarez and David Penn promise simple yet profitable strategies. Indeed, as I found, the Double 7s does make money, although the test [...]
As mentioned in the previous post, running a backtest of the Double 7s system on different platforms exposed inconsistencies in the data used for the tests.
Comparing each platform’s trade-by-trade report shows that data provided by Norgate had 14 instances of prices that did not match the prices provided by Tradestation data. Many of these inconsistencies [...]
Before breaking down the Double 7s, I should highlight a few features of the system. The rules can be expressed in 3 lines:
The SPY is above its 200-day moving average.
If the SPY closes at a 7-day low, buy the close.
If the SPY closes at a 7-day high, sell your long position at the close.
The system [...]
TradingMarkets describes the Double 7s as one of their “more effective ETF trading strategies…” As one would expect of a simple trading strategy published in a popular book, the Double 7s strategy has been discussed on various sites and in the blogosphere.
Other than Kirk Dolan’s report of his modifications, I have not found any other [...]
