Greatest Swing Value(GSV) system. Backtest. T-Bonds
A GSV backtest is held from Larry Williams, which helped him win the Robbins World Cup in 1987. And it is also possible that this system helped win to his daughter Michel in 1990 in the same cup and show a yield of 1000% per annum, but this is not accurate, because he said that his daughter won using a simple mechanical bond trading system, but he didn’t say which one.
Rules
Buy on Tuesdays, Wednesdays, Fridays. Closing today is lower than 5 days ago. Buy with a breakdown of opening + 180% of GSV (4 days).
Sale on any day of the week. Closing today is higher than 6 days ago. Sell at the breakdown of the opening - 180% of GSV (4 days). Gold is lower than 20 days ago.
Output
Bailout exit system.
Profit is fixed at the first profitable opening after being in the market for 2 days.
Stop
$ 1600 or 1600 points.
Summary
On the left are examples of transactions only in a long position, on the right only in a short position. The yield curve does not look attractive in both cases. It walks in waves, often below 0. It seems that the times of this system have passed.
Of the additions, Larry, in his book, suggests transferring the stop to the level of opening the day after entering a position, but unfortunately such an algorithm cannot be programmed for Tradingview, just as Larry could not program it, as he wrote in the book. Testing was conducted from 2002 to 2020.
Of the existing filters, it should be noted that the gold filter for short transactions significantly improves the yield curve. When it is turned off, the curve is constantly below 0.
Rules
Buy on Tuesdays, Wednesdays, Fridays. Closing today is lower than 5 days ago. Buy with a breakdown of opening + 180% of GSV (4 days).
Sale on any day of the week. Closing today is higher than 6 days ago. Sell at the breakdown of the opening - 180% of GSV (4 days). Gold is lower than 20 days ago.
Output
Bailout exit system.
Profit is fixed at the first profitable opening after being in the market for 2 days.
Stop
$ 1600 or 1600 points.
Summary
On the left are examples of transactions only in a long position, on the right only in a short position. The yield curve does not look attractive in both cases. It walks in waves, often below 0. It seems that the times of this system have passed.
Of the additions, Larry, in his book, suggests transferring the stop to the level of opening the day after entering a position, but unfortunately such an algorithm cannot be programmed for Tradingview, just as Larry could not program it, as he wrote in the book. Testing was conducted from 2002 to 2020.
Of the existing filters, it should be noted that the gold filter for short transactions significantly improves the yield curve. When it is turned off, the curve is constantly below 0.
Comment:
Equity curves. Blue line is summary of two equity curves for long and for short.
