• Registered: 2013-06-12
  • Posts: 20

Topic: Slow Stochastics Extremes with Commodity Channel Index Filter

Slow Stochastics Extremes with Commodity Channel Index Filter
This mean reversion system initiates trades whenever both the slow stochastics and commodity channel index (CCI) indicators achieve extreme overbought or oversold levels. Exits occur when slow stochastics retreats from these unsustainable extremes or the failsafe stop loss level is triggered. Using CQG, the programming code for our slow stochastics mean reversion system with CCI filter and 1.5 percent stop loss is written in this way:
Long Entry:
SSD(@,14,Smo,3,Smo,3)[–1] XBELOW 15 AND CCI(@,10) [–1] < –100
Long Exit—Condition #1:
SSD(@,14,Smo,3,Smo,3)[–1] XABOVE 30
Long Exit—Condition #2 set “Price” field to:
EntryPrice(@,0,All,ThisTradeOnly)–(.015*EntryPrice(@,0,All, ThisTradeOnly))
Short Entry:
SSD(@,14,Smo,3,Smo,3)[-1] XABOVE 85 AND CCI(@,10)[–1] > 100
Short Exit—Condition #1:
SSD(@,14,Smo,3,Smo,3)[–1] XBELOW 70
Short Exit—Condition #2 set “Price” field to:
EntryPrice(@,0,All,ThisTradeOnly)+(.015* EntryPrice(@,0,All, ThisTradeOnly))

Not sure how to program this one...

  • footon
  • footon
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  • Registered: 2009-08-17
  • Posts: 2,965

Re: Slow Stochastics Extremes with Commodity Channel Index Filter

Here you are:

[Opening Point of the Position]
     Bar Opening
     Enter the market at the beginning of the bar
     Base price  -  Open

[Opening Logic Condition]
     Stochastics
     The Slow %D crosses the Level line downward
     Smoothing method  -  Simple
     %K period  -  14
     Fast %D period  -  3
     Slow %D period  -  3
     Level  -  15
     Use previous bar value  -  Yes

[Opening Logic Condition]
     Commodity Channel Index
     The CCI is lower than the Level line
     Smoothing method  -  Simple
     Base price  -  Typical
     Smoothing period  -  10
     Level  -  -100
     Multiplier  -  0.015
     Use previous bar value  -  Yes

[Closing Point of the Position]
     Bar Closing
     Exit the market at the end of the bar
     Base price  -  Close

[Closing Logic Condition]
     Stochastics
     The Slow %D crosses the Level line upward
     Smoothing method  -  Simple
     %K period  -  5
     Fast %D period  -  3
     Slow %D period  -  3
     Level  -  30
     Use previous bar value  -  No

  • Registered: 2013-06-12
  • Posts: 20

Re: Slow Stochastics Extremes with Commodity Channel Index Filter

Thanks

  • Blaiserboy
  • Blaiserboy
  • Junior Part-Time Aspiring Space Cadet
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  • From: Toronto
  • Registered: 2010-09-06
  • Posts: 2,848

Re: Slow Stochastics Extremes with Commodity Channel Index Filter

How are these working for you.?

Blaiserboy's Website

  • Registered: 2013-06-12
  • Posts: 20

Re: Slow Stochastics Extremes with Commodity Channel Index Filter

Blaiserboy wrote:

How are these working for you.?

It's really frustrating - none are working out. I'm playing around with the generator at the moment

  • Registered: 2012-10-11
  • Posts: 65

Re: Slow Stochastics Extremes with Commodity Channel Index Filter

Hi Themaxx,
Thanks for sharing the strategies!
Have you tried them?
How are they running for you?

  • Registered: 2013-06-12
  • Posts: 20

Re: Slow Stochastics Extremes with Commodity Channel Index Filter

kazik1616 wrote:

Hi Themaxx,
Thanks for sharing the strategies!
Have you tried them?
How are they running for you?

It's really frustrating - none are working out. I'm playing around with the generator at the moment