Testing some more of David Varadi's strategies from CSS Analytics

20/80 DV Supper Smoothed Double Stochastic Oscillator

Long Strategy
• Entry if DV Oscillator <= 20
• Exit if DV Oscillator >= 80

Short Strategy
• Entry if DV Oscillator >= 80
• Entry if DV Oscillator <= 20

System Rules:

Simple Donchian 40/20 Strategy

Rules for both systems are the same except for the type (SMA,EMA) of the MA's being used

1. Enter position on break of 40 day Donchian Channel
Long Entry at 40 day High
Filter: only enter Long position if 50 MA > 200 MA
Short Entry at 40 day Low
Filter: only enter Short position if 50 MA < 200 MA
2. Exit position on break of 20 day Donchian Channel in opposite direction
• Long Exit at 20 day Low
• Short Exit at 20 day High

• Risk 1% of Equity on each Trade
• Position Size = ((Account Equity * 1%)/2 ATR)
• Transaction Slippage = 2 ticks
• Markets Traded: ES, NQ, TF, GC, SI, HG, CL, HO, NG, RB, ZC, CC, CT, KC, ZW, LE, HE, ZS, SB, AUD, GBP, JPY, EUR, CHF

System Rules:

Rules for all systems are the same except for the type (SMA,EMA) and length(10/50,50/200) of the MA's being used

1. Enter position at the open if the previous day's faster MA(10,50) crosses the slower MA(50,200)
• Long Entry = 10(50) MA > 50(200) MA
• Short Entry = 10(50) MA < 50(200) MA
2. Exit position at the open if the previous day's faster MA(10,50) crosses the slower MA(50,200) in the opposite direction
• Long Exit = 10(50) MA < 50(200) MA
• Short Exit = 10(50) MA > 50(200) MA

• Risk 1% of Equity on each Trade
• Position Size = ((Account Equity * 1%)/2 ATR)
• Transaction Slippage = 2 ticks
• Markets Traded: ES, NQ, TF, GC, SI, HG, CL, HO, NG, RB, ZC, CC, CT, KC, ZW, LE, HE, ZS, SB, AUD, GBP, JPY, EUR, CHF

System Rules:

Rules for both systems are the same except for the length of the SMA's being used

1. Enter position at the open if the previous day's faster SMA(10,50) crosses the slower SMA(50,200)
• Long Entry = 10(50) SMA > 50(200) SMA
• Short Entry = 10(50) SMA < 50(200) SMA
2. Exit position at the open if the previous day's faster SMA(10,50) crosses the slower SMA(50,200) in the opposite direction
• Long Exit = 10(50) SMA < 50(200) SMA
• Short Exit = 10(50) SMA > 50(200) SMA

• Risk 1% of Equity on each Trade
• Position Size = ((Account Equity * 1%)/2 ATR)
• Transaction Slippage = 2 ticks
• Markets Traded: ES, NQ, TF, GC, SI, HG, CL, HO, NG, RB, ZC, CC, CT, KC, ZW, LE, HE, ZS, SB, AUD, GBP, JPY, EUR, CHF

Base Donchian Channel System (100 day channel entry / 20 day channel exit) with market selection by RS Momentum

System Rules:

1. Enter on 100 day Donchian Channel breakouts
2. Exit on 20 day Donchian Channel breakouts
3. 2 ATR (10 day exponential average) stop.
4. Market selection based on RS Momentum Ranking
• Strategy 1
  Enter top 6 markets ranked by ((1 year price change + 1 month price change)/2) / (10 day ATR)
• Strategy 2
  Enter bottom 3 markets ranked by (3 year price change) / (10 day ATR)

• Position Size = ((Account Equity * 1%)/2 ATR)
• Transaction Slippage = 2 ticks
• Markets Traded: ES, NQ, TF, GC, SI, HG, CL, HO, NG, RB, ZC, CC, CT, KC, ZW, LE, HE, ZS, SB, AUD, GBP, JPY, EUR, CHF

This system is an expansion of David Varadi's Percent Exposure Donchian Channel Method strategy with the RS momentum market sellection he suggested in his follow-up.

System Rules:

1. The 200 day channel dictates the main trend.
2. Smaller channels are traded using a 2 ATR (10 day exponential average) stop.
• Strategy 1 = 20 day Donchian Channel
• Strategy 2 = 50 day Donchian Channel
• Strategy 3 = 100 day Donchian Channel
3. Donchian Channel length doubled for trades taken chounter to the main trend.
4. Reduce position size by half when trading counter to the main trend.
5. Entries only triggered by new channel breaks (current breakout must be preceded by break in the opposing direction).
6. Market selection based on RS Momentum Ranking
• Enter top 6 markets ranked by ((1 year price change + 1 month price change)/2) / (10 day ATR)
• Enter bottom 3 markets ranked by (3 year price change) / (10 day ATR)

System Rules:

1. Enter on 100 day Donchian Channel breakouts
2. Exit on 20 day Donchian Channel breakouts
3. 2 ATR (10 day exponential average) stop.

• Position Size = ((Account Equity * 1%)/2 ATR)
• Transaction Slippage = 2 ticks
• Markets Traded: ES, NQ, TF, GC, SI, HG, CL, HO, NG, RB, ZC, CC, CT, KC, ZW, LE, HE, ZS, SB, AUD, GBP, JPY, EUR, CHF

This idea was put forth by David Varadi over at CSS Analytics. (see his orignial post here, and the follow-up)

The basis of the method David describes in his post is to use a larger Donchian Channel to determine the main trend, then scale into positions using smaller channel breakouts. Position size is adjusted according to the size of the channel being traded (larger channel = larger position size) and whether the position is in the same direction or counter to the main trend.

The rules I implemented to test this strategy are as follows:

1. The 200 day channel dictates the main trend.
2. Smaller channels are traded using a 2 ATR (10 day exponential average) stop.
• Strategy 1 = 20 day Donchian Channel
• Strategy 2 = 50 day Donchian Channel
• Strategy 3 = 100 day Donchian Channel
3. Donchian Channel length doubled for trades taken chounter to the main trend.
4. Reduce position size by half when trading counter to the main trend.
5. Entries only triggered by new channel breaks (current breakout must be preceded by break in the opposing direction).